Narrow search
Showing 1 - 10 of 1,620
Cover Image
Improving the CARR model using extreme range estimators
Miralles Marcelo, José Luis; Miralles-Quirós, José Luis - In: Applied financial economics 23 (2013) 19/21, pp. 1635-1647
Persistent link: https://www.econbiz.de/10010259753
Cover Image
Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
Cover Image
Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
Cover Image
Conditional Autoregressive Range (CARR) based volatility spillover index for the Eurozone markets
Bayraci, Selcuk; Demiralay, Sercan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 595-603
Persistent link: https://www.econbiz.de/10010519718
Cover Image
A range-based volatility approach to measuring volatility contagion in securitized real estate markets
Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic modelling 45 (2015), pp. 223-235
Persistent link: https://www.econbiz.de/10011334089
Cover Image
A new variant of RealGARCH for volatility modeling
Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443
Persistent link: https://www.econbiz.de/10012388363
Cover Image
A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
Cover Image
Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …
Persistent link: https://www.econbiz.de/10010292668
Cover Image
Empirical performance of the Czech and Hungarian index options under jump
Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001
find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …
Persistent link: https://www.econbiz.de/10010292775
Cover Image
Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
Pagan (1980)., We show that this test has nearly correct size in non-linear regression, ARMA, GARCH, and Unobserved …
Persistent link: https://www.econbiz.de/10010294011