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Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

In this paper, we analyze new possibilities in predicting daily ranges, i.e. differences between daily high and low prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges and explore the use of these more...

Persistent link: https://www.econbiz.de/10010461231

Measuring systemic risk with a dynamic copula-based approach

Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863

Persistent link: https://www.econbiz.de/10012627102

Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

A perturbation method to optimize the parameters of autoregressive conditional heteroscedasticity model

Feng, Xuejie; Zhang, Chiping - In: Computational economics 55 (2020) 3, pp. 1021-1044

Persistent link: https://www.econbiz.de/10012223692

Forecasting methods for safeguarding ASEAN-5 stock exchanges during extreme volatility

Chukiat Chaiboonsri; Prasert Chaitip - In: International journal of trade and global markets 10 (2017) 1, pp. 123-130

Persistent link: https://www.econbiz.de/10011722940

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866

Persistent link: https://www.econbiz.de/10011860776

Equity return modeling and prediction using hybrid ARIMA-GARCH model

Sun, Kaiying - In: International journal of financial research 8 (2017) 3, pp. 154-161

Persistent link: https://www.econbiz.de/10011779759

Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market

Giacalone, Massimiliano; Mattera, Raffaele; Cozzucoli, … - In: The empirical economics letters : a monthly … 18 (2019) 7, pp. 785-791

Persistent link: https://www.econbiz.de/10012315480

Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment

Gupta, Rangan; Pierdzioch, Christian - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 23-44). 2023

Persistent link: https://www.econbiz.de/10014282545

Time dependent relative risk aversion

Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang - In: Risk assessment : decisions in banking and finance, (pp. 15-46). 2008

Persistent link: https://www.econbiz.de/10003781602

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