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Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10012118184

Chapter 15 Volatility and Correlation Forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10014023691

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

Modelling financial time series with SEMIFAR-GARCH model

Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...