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A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...
Persistent link: https://www.econbiz.de/10009769897
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Ein neuer Ansatz für die Beschreibung der Varianz von Renditen
Geyer, Alois - In: Bank-Archiv : Zeitschrift für das gesamte Bank- und … 42 (1994) 3, pp. 202-206
Persistent link: https://www.econbiz.de/10001158105
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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
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Exponential series estimation of empirical copulas with application to financial returns
Chui, Chinman; Wu, Ximing - In: Nonparametric econometric methods, (pp. 263-290). 2010
Persistent link: https://www.econbiz.de/10010216413
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Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
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Copula function approaches for the analysis of serial and cross dependence in stock returns
Rivieccio, Giorgia; De Luca, Giovanni - In: Finance research letters 17 (2016), pp. 55-61
Persistent link: https://www.econbiz.de/10011596218
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Copula model estimation and test of inventory portfolio pledge rate
Zhou, Li; Dong, Jing - In: International journal of business and economics … 3 (2014) 4, pp. 150-154
Persistent link: https://www.econbiz.de/10010494128