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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results

Herrmann, Klaus - 2009

generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …

Persistent link: https://www.econbiz.de/10010299757

Das CAPM mit zeitabhängigen Beta-Faktoren : eine empirische Untersuchung am deutschen Kapitalmarkt

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GARCH models : structure, statistical inference and financial applications

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Decomposing European bond and equity volatility

Christiansen, Charlotte - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 105-122

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Terrorism and capital markets : the effects of the Madrid and London bomb attacks

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The world oil price movements and stock returns in several Southeast Asia's capital markets

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The impact of German macroeconomic data announcements on the Czech financial market

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generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory …

Persistent link: https://www.econbiz.de/10011317142

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

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Measuring time-varying financial market integration : an unobserved components approach

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The relationship between financial liberalization and stock market volatility : the mediating role of financial crises

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