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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
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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
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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
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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
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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
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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
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Common Persistence in Conditional Variances
Bollerslev, Tim; Engle, Robert F. - 1994
-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …
Persistent link: https://www.econbiz.de/10009475524
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Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
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Sequentielle Methoden zur Aufdeckung von Veränderungen der Erwartungswertstruktur bei finanzwissenschaftlichen Zeitreihen
Severin, Thomas - 1999 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001388996
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Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10011430513