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Dynamics of volatility behaviour and transmission : evidences from BRICS countries

Narula, Isha - In: Decision 43 (2016) 1, pp. 31-51

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Stock market volatility and anomalies in India : a behavioural approach

Siddiqui, Taufeeque Ahmad; Narula, Isha - In: Asia-Pacific journal of management research and … 12 (2016) 3/4, pp. 194-202

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Do BRIC countries stock market volatility move together? : an empricial analysis of using multivariate GARCH models

Tripathy, Nalini Prava - In: International journal of business and emerging markets … 9 (2017) 2, pp. 104-123

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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

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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes

Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547

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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …

Persistent link: https://www.econbiz.de/10011296114