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Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian - 2013
Persistent link: https://www.econbiz.de/10010243571
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Bayesian estimation of non-Gaussian stochastic volatility models
Elabed, Asma Graja; Masmoudi, Afif - In: Journal of mathematical finance 4 (2014) 2, pp. 95-103
Persistent link: https://www.econbiz.de/10010380909
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020
Persistent link: https://www.econbiz.de/10012373015
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Incorporating realized quarticity into a realized stochastic volatility model
Nugroho, Didit B.; Morimoto, Takayuki - In: Asia-Pacific financial markets 26 (2019) 4, pp. 495-528
Persistent link: https://www.econbiz.de/10012309817
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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827