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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143
Persistent link: https://www.econbiz.de/10010205105
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Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
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Semiparametrically efficient R-estimation for dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - 2014
Persistent link: https://www.econbiz.de/10010418928
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A correcting note on forecasting conditional variance using ARIMA vs. GARCH model
Azimi, Mohammad Naim; Shahidzada, Seyed Farhad - In: International journal of economics and finance 11 (2019) 5, pp. 145-152
Persistent link: https://www.econbiz.de/10012012282
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The stock returns volatility based on the GARCH (1,1) model : the superiority of the truncated standard normal distribution in forecasting volatility
Gulay, Emrah; Emec, Hamdi - In: Iranian economic review : journal of University of Tehran 23 (2019) 1, pp. 87-108
Persistent link: https://www.econbiz.de/10012152550
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Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
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Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model
Agbo, Hanan Mahmoud Sayed - In: Review of economics and political science : REPS 8 (2023) 2, pp. 123-133
Purpose: This study focuses on forecasting the price of the most important export crops of vegetables and fruits in … used instead. The GARCH (1,1) is found to be a better model in forecasting price of potatoes. Originality/value: The study … food in these economies, so forecasting agricultural prices is a substantial requirement for drawing up many economic plans …
Persistent link: https://www.econbiz.de/10014279456
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Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data
Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10014487297
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An adaptive long memory conditional correlation model
Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014491877