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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717

Bootstrapped nonlinear impulse-response analysis : the FTSE100 (UK) and the NDX100 (US) indices 2012-2021

Solibakke, Per Bjarte - In: International journal of computational economics and … 12 (2022) 1/2, pp. 197-221

Persistent link: https://www.econbiz.de/10012939622

Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes

Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547

Persistent link: https://www.econbiz.de/10011663340

Forecasting volatility of carbon under EU ETS : a multi-phase study

Dhamija, Ajay K.; Yadav, Surendra S.; Jain, Pramod Kumar - In: Environmental economics and policy studies 19 (2017) 2, pp. 299-335

Persistent link: https://www.econbiz.de/10011648594

Value at risk forecasting for volatility index

Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620

Persistent link: https://www.econbiz.de/10011853568

Threshold stochastic volatility : properties and forecasting

Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123

Persistent link: https://www.econbiz.de/10011746949

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552

Modeling and forecasting Saudi stock market volatility using wavelet methods

Tariq S. Alshammari; Mohd Tahir Ismail; Sadam Al-Wadi; … - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 11, pp. 83-93

Persistent link: https://www.econbiz.de/10012671642

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

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