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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

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

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10011605063

Impact of the monetary policy instruments on Islamic stock market index return

Albaity, Mohamed Shikh - 2011

variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the …

Persistent link: https://www.econbiz.de/10010305856

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

Persistent link: https://www.econbiz.de/10010290338