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Improving GARCH volatility forecasts with regime-switching GARCH
Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394
Persistent link: https://www.econbiz.de/10001655657
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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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Volatility forecasting models for the won-dollar exchange rate
Koo, Jaewoon; Lee, Seungjun - In: The Korean economic review 17 (2001) 2, pp. 253-269
Persistent link: https://www.econbiz.de/10001652198
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Bayesian Analysis of a Threshold Stochastic Volatility Model
Wirjanto, Tony S. - 2013
This paper proposes a parsimonious threshold stochastic volatility (SV) model for financial asset returns. Instead of … imposing a threshold value on the dynamics of the latent volatility process of the SV model, we assume that the innovation of … time-varying volatility of returns, but also can accommodate the asymmetric shape of conditional distribution of the …
Persistent link: https://www.econbiz.de/10013084224
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Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Virbickaitė, Audronė; Ausín, M. Concepción; … - In: Energy economics 92 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012519661
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Oil price shocks and economic growth : the volatility link
Maheu, John M.; Song, Yong; Yang, Qiao - In: International journal of forecasting 36 (2020) 2, pp. 570-587
Persistent link: https://www.econbiz.de/10012415259
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Bayesian nonparametrics for financial volatility modeling
Zaharieva, Martina Danielova - 2017
Persistent link: https://www.econbiz.de/10012200829
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Modeling of stock indices with HMM-SV models
Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011795001
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Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach
Xia, Qiang; Wong, Heung; Liu, Jinshan; Liang, Rubing - In: Computational economics 50 (2017) 3, pp. 353-372
Persistent link: https://www.econbiz.de/10011783316
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Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index
Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....
Persistent link: https://www.econbiz.de/10012508859