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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
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Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions
Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10009521860
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Augmented half-life estimation based on high-frequency data
Huang, Mao-Lung; Liao, Shu-Yi; Lin, Kuo-Chin - In: Journal of forecasting 34 (2015) 7, pp. 523-532
Persistent link: https://www.econbiz.de/10011390442
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Forecasting latent volatility through a Markov chain approximation filter
Lo, Chia Chun; Skindilias, Konstantinos; … - In: Journal of forecasting 35 (2016) 1, pp. 54-69
Persistent link: https://www.econbiz.de/10011417712
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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George; Dionysopoulos, Thomas; Achim, Alin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259