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Forecasting volatility in commodity markets with long-memory models
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios - In: Journal of commodity markets 28 (2022), pp. 1-29
Persistent link: https://www.econbiz.de/10014335250
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Modeling fractional cointegration between high and low stock prices in Asian countries
Afzal, Alia; Sibbertsen, Philipp - In: Empirical economics : a quarterly journal of the … 60 (2021) 2, pp. 661-682
Persistent link: https://www.econbiz.de/10012490321
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Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …
Persistent link: https://www.econbiz.de/10012591721
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Forecasting realized volatility : HAR against Principal Components Combining, neural networks and GARCH
Vortelinos, Dimitrios I. - In: Research in international business and finance 39 (2017), pp. 824-839
Persistent link: https://www.econbiz.de/10011912382
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …
Persistent link: https://www.econbiz.de/10010732607
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732623
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Forecasting volatility of Bitcoin
Bergsli, Lykke Øverland; Lind, Andrea Falk; Molnár, Peter - In: Research in international business and finance 59 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013402137
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Doubly multiplicative error models with long- and short-run components
Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014528556
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
TTourism is a major source of service receipts. The two leading tourism countries for Taiwan are Japan and USA. Daily data from 1/1/1990 to 31/12/2008 are used to model tourist arrivals from the world, USA and Japan to Taiwan, as well as their associated volatility. Inclusion of the exchange...
Persistent link: https://www.econbiz.de/10008489840