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Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...

Persistent link: https://www.econbiz.de/10014636061

Value at risk and conditional extreme value theory via Markov regime switching models

Samuel, Yau Man Ze-To - In: The journal of futures markets 28 (2008) 2, pp. 155-181

Persistent link: https://www.econbiz.de/10003647707

Volatility and VAR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria

Ñíguez, Trino-Manuel (contributor) - 2003 - 1. ed. [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115963

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

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...