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Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
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UK stock market inefficiencies and the risk premium
Dēmos, Antōnēs A.; Vasillelis, George - In: Multinational finance journal : MF ; quarterly … 11 (2007) 1/2, pp. 97-122
Persistent link: https://www.econbiz.de/10003715213
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The role of log transformation in forecasting economic variables
Lütkepohl, Helmut; Fang, Xu - 2009
Persistent link: https://www.econbiz.de/10003900236
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Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
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A conditionally heteroskedastic global inflation model
Morales-Arias, Leonardo; Moura, Guilherme Valle - 2010
countries. -- Global inflation ; conditional heteroskedasticity ; inflation forecasting …
Persistent link: https://www.econbiz.de/10008738372
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Are international stock returns predictable? : An examination of linear and non-linear pridictability using generalized spectral tests
McPherson, Matthew Q.; Palardy, Joseph - In: Journal of international financial markets, … 17 (2007) 5, pp. 452-464
Persistent link: https://www.econbiz.de/10003609496
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Estimating demand uncertainty using judgmental forecasts
Gaur, Vishal; Kesavan, Saravanan; Raman, Ananth; … - In: Manufacturing & service operations management : M & SOM 9 (2007) 4, pp. 480-491
Persistent link: https://www.econbiz.de/10003578701
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Volatility forecasting with range-based EGARCH models
Brandt, Michael W.; Jones, Christopher S. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 470-486
Persistent link: https://www.econbiz.de/10003385173
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Essays on empirical term structure modeling
Zhao, Feng - 2004
Persistent link: https://www.econbiz.de/10003387673
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An introduction to univariate GARCH models
Teräsvirta, Timo (contributor) - 2006
This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is …. Stochastic volatility models remain outside this review. -- ARCH ; conditional heteroskedasticity ; GARCH; nonlinear GARCH …
Persistent link: https://www.econbiz.de/10003394988