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Dynamics of volatility behaviour and transmission : evidences from BRICS countries
Narula, Isha - In: Decision 43 (2016) 1, pp. 31-51
Persistent link: https://www.econbiz.de/10011534256
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Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
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Do BRIC countries stock market volatility move together? : an empricial analysis of using multivariate GARCH models
Tripathy, Nalini Prava - In: International journal of business and emerging markets … 9 (2017) 2, pp. 104-123
Persistent link: https://www.econbiz.de/10011776067
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Stock market volatility and anomalies in India : a behavioural approach
Siddiqui, Taufeeque Ahmad; Narula, Isha - In: Asia-Pacific journal of management research and … 12 (2016) 3/4, pp. 194-202
Persistent link: https://www.econbiz.de/10011785023
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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011306665
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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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
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Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano
Castaño, Elkin; Gómez, Karoll; Gallón, Santiago - In: REVISTA CUADERNOS DE ECONOMÍA (2008)
El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un … número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su …
Persistent link: https://www.econbiz.de/10005603782
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Measuring persistence in stock market volatility using the FIGARCH approach
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197
the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …
Persistent link: https://www.econbiz.de/10011058943
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A note on conditional variance and decaying rate : Chinese equity market
Amanjot Singh - In: Journal of quantitative economics 16 (2018) 2, pp. 595-611
Persistent link: https://www.econbiz.de/10012418518