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1
The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009627354
Saved in:
2
The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009628606
Saved in:
3
How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela
;
Mansouri, Fayçal
- In:
Journal of quantitative economics : official journal of …
11
(
2013
)
1/2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
Saved in:
4
Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava
- In:
International journal of economics and business research
6
(
2013
)
2
,
pp. 210-228
Persistent link: https://www.econbiz.de/10010351158
Saved in:
5
Dynamics of inflation and inflation uncertainty in Pakistan
Munir, Kashif
;
Riaz, Nimra
- In:
International journal of monetary economics and finance …
13
(
2020
)
2
,
pp. 130-145
Persistent link: https://www.econbiz.de/10012254279
Saved in:
6
Examination of the predictability of BDI and VIX : a threshold approach
Bildirici, Melike
;
Ersin, Özgür Ömer
;
Onat, Işil Şahin
- In:
International journal of transport economics : IJTE
46
(
2019
)
3
,
pp. 9-28
Persistent link: https://www.econbiz.de/10012136039
Saved in:
7
Volatility analysis in international indices
Altin, Hakan
- In:
International journal of sustainable economies …
11
(
2022
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014290701
Saved in:
8
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
suggest that a non-zero
autoregression
coefficient tends to increase the deviation of option prices from Black & Scholes …
Persistent link: https://www.econbiz.de/10010310007
Saved in:
9
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
-
1998
the volatility process we assume
GARCH
, TGARCH and stochastic volatility. The results indicate that standard QML inference …
Persistent link: https://www.econbiz.de/10010310056
Saved in:
10
Detecting positive feedback trading when autocorrelation is positive
Angelovska, Julijana
- In:
Zagreb international review of economics & business
16
(
2013
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10010258923
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