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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009628606
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228
Persistent link: https://www.econbiz.de/10010351158
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Dynamics of inflation and inflation uncertainty in Pakistan
Munir, Kashif; Riaz, Nimra - In: International journal of monetary economics and finance … 13 (2020) 2, pp. 130-145
Persistent link: https://www.econbiz.de/10012254279
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Examination of the predictability of BDI and VIX : a threshold approach
Bildirici, Melike; Ersin, Özgür Ömer; Onat, Işil Şahin - In: International journal of transport economics : IJTE 46 (2019) 3, pp. 9-28
Persistent link: https://www.econbiz.de/10012136039
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Volatility analysis in international indices
Altin, Hakan - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014290701
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
suggest that a non-zero autoregression coefficient tends to increase the deviation of option prices from Black & Scholes …
Persistent link: https://www.econbiz.de/10010310007
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1998
the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference …
Persistent link: https://www.econbiz.de/10010310056
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Detecting positive feedback trading when autocorrelation is positive
Angelovska, Julijana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10010258923