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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Overnight GARCH-Itô volatility models
Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
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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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On the modeling of financial time series
Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015
Persistent link: https://www.econbiz.de/10011326692
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845
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Volatilitätsprozesse mit Faktor-GARCH-Modellen : eine empirische Studie für den deutschen Aktienmarkt
Kaiser, Thomas - 1997
Persistent link: https://www.econbiz.de/10000971500
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
high-frequency data better and produce more accurate forecasts than competing realized volatility and option …
Persistent link: https://www.econbiz.de/10012855793
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Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets
Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10013256597
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Application of GARCH model to forecast data and volatility of share price of energy (Study on Adaro Energy Tbk, LQ45)
Virginia, Erica; Ginting, Josep; Elfaki, Faiz A. M. - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 131-140
Persistent link: https://www.econbiz.de/10011881316