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Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic
Caiado, Jorge; Lúcio, Francisco - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014485321
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Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
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Exploring the impact of oil security attention on oil volatility : a new perspective
Wang, Lu; Li, Shan; Liang, Chao - In: International finance : the only journal bridging the … 27 (2024) 1, pp. 61-80
Persistent link: https://www.econbiz.de/10014532201
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Influence of local and global economic policy uncertainty on the volatility of US state-level equity returns : evidence from a GARCH-MIDAS approach with shrinkage and cluster analy...
Candila, Vincenzo; Cepni, Oguzhan; Gallo, Giampiero M.; … - 2024
Persistent link: https://www.econbiz.de/10015051333
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Regular variation and extremal dependence of GARCH residuals with application to market risk measures
Laurini, Fabrizio; Tawn, Jonathan A. - In: Econometric reviews 28 (2009) 1/3, pp. 146-169
Persistent link: https://www.econbiz.de/10003800712
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Improving many volatility forecasts using cross-dectional volatility clusters
Coretto, Pietro; Rocca, Michele la; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 4/64, pp. 1-23
The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a …-sectional distribution of realized volatility is captured by a finite Gaussian mixture model plus a uniform component that represents … abnormal variations in volatility. Based on the cross-sectional mixture model, at each time point, memberships of assets to …
Persistent link: https://www.econbiz.de/10012302505
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Modeling the Nigerian inflation rates using periodogram and Fourier Series Analysis
Omekara, Chukwuemeka O.; Ekpenyong, Emmanuel J.; … - In: CBN journal of applied statistics 4 (2013) 2, pp. 51-68
This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation … obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze …
Persistent link: https://www.econbiz.de/10011474361
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Saddlepoint approximations for short and long memory time series : a frequency domain approach
La Vecchia, Davide; Ronchetti, Elvezio - In: Journal of econometrics 213 (2019) 2, pp. 578-592
Persistent link: https://www.econbiz.de/10012304589
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Did Harvard barometers allow for the prediction of the 1929 Stock market crash?
Romana, Ignacio Escañuela - In: Journal of economics and political economy : JEPE 5 (2018) 1, pp. 105-120
Persistent link: https://www.econbiz.de/10011880248
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Cluster analysis for regime identification and forecasting with application to the enhanced index tracking problem
Paulo, Wanderlei Lima de; Costa, Oswaldo Luiz do Valle - In: Investment management and financial innovations 11 (2014) 3, pp. 44-52
Persistent link: https://www.econbiz.de/10010512184