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Testing causality between two vectors in multivariate GARCH models
Wo´zniak, Tomasz - 2012
Persistent link: https://www.econbiz.de/10009553209
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Modelling the Conditional Distribution of Daily Stock Index Returns : An Alternative Bayesian Semiparametric Model
Kalli, Maria - 2013
index returns. The proposed models capture key stylized facts of such returns, namely heavy tails, asymmetry, volatility … asymmetric. Volatility is modeled parametrically. The new model is applied to the daily returns of the S\&P 500, FTSE 100, and … EUROSTOXX 50 indices and is compared to GARCH, Stochastic Volatility, and other Bayesian semi-parametric models …
Persistent link: https://www.econbiz.de/10013092788
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Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Virbickaitė, Audronė; Ausín, M. Concepción; … - In: Energy economics 92 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012519661
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Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012649885
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation
Alanya, Willy; Rodriguez, Gabriel - In: Journal of emerging market finance 17 (2018) 3, pp. 354-385
Persistent link: https://www.econbiz.de/10011964842
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Modeling of stock indices with HMM-SV models
Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011795001
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Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index
Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....
Persistent link: https://www.econbiz.de/10012508859