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Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Granger, C. W. J.; Sin, Chor-yiu - In: Journal of forecasting 19 (2000) 4, pp. 277-298
Persistent link: https://www.econbiz.de/10001504616
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Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Granger, C. W. J.; Sin, Chor-yiu - 1999
Persistent link: https://www.econbiz.de/10001395202
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Inflation uncertainty revisited : do different measures disagree?
Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - 2011
Persistent link: https://www.econbiz.de/10009312118
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Inflation uncertainty revisited : a proposal for robust measurement
Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - In: Empirical economics : a journal of the Institute for … 47 (2014) 4, pp. 1497-1523
Persistent link: https://www.econbiz.de/10010462019
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Modelling oil price volatility before, during and after the global financial crisis
Salisu, Afees A. - In: OPEC energy review 38 (2014) 4, pp. 469-495
Persistent link: https://www.econbiz.de/10010495856
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Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of financial econometrics 17 (2019) 2, pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …
Persistent link: https://www.econbiz.de/10011393264