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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010331352
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Time series analysis : textbook for students of economics and business administration ; [part 2]
Strohe, Hans Gerhard - 2004
Persistent link: https://www.econbiz.de/10009449118
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Exchange rate volatility in Nigeria: Consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 29-49
examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011482561
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Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student's t-error distribution
Abdullah, S. M.; Siddiqua, Salina; Siddiquee, Muhammad … - In: Financial Innovation 3 (2017) 18, pp. 1-19
(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)-GARCH(1, 1) is considered the best. …
Persistent link: https://www.econbiz.de/10011808257
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An introduction to univariate GARCH models
Teräsvirta, Timo - 2006
mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …
Persistent link: https://www.econbiz.de/10010281357
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Exchange rate volatility and imports demand for the Islamic Republic of Iran
Naghshpour, Shahdad - In: International journal of trade and global markets 7 (2014) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10010530871
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On identifying structural VAR models via ARCH effects
Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010237661
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Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143
Persistent link: https://www.econbiz.de/10010205105