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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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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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Commodities and macroeconomic factors : unconditional volatility measures
Fernández, Viviana - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 87-109
Persistent link: https://www.econbiz.de/10010485804
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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
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The volatility of Romanian exchange rate : a GARCH approach
Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99
Persistent link: https://www.econbiz.de/10011411168