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Bayesian inference methods for univariate and multivariate Garch models : a survey

Virbickaite, Audrone; Ausin, M. Concepción; Galeano, Pedro - In: Journal of economic surveys 29 (2015) 1, pp. 76-96

Persistent link: https://www.econbiz.de/10011381831

On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas

Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88

Persistent link: https://www.econbiz.de/10009733297

A functional approach to test trending volatility

Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016

In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices...

Persistent link: https://www.econbiz.de/10011456514

Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152

Persistent link: https://www.econbiz.de/10011556809

Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series

Kömm, Holger; Küsters, Ulrich - In: International journal of forecasting 31 (2015) 3, pp. 598-608

Persistent link: https://www.econbiz.de/10011474425

Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

Testing causality between two vectors in multivariate GARCH models

Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894

Persistent link: https://www.econbiz.de/10011474616

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

The temporal aggregation effect on the predictability of exchange rate volatility

Lee, Keun-yeong - In: The Korean economic review 13 (1997) 1, pp. 103-126

Persistent link: https://www.econbiz.de/10001234810

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10012626337