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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …
Persistent link: https://www.econbiz.de/10003636008
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Time-varying autoregressive conditional duration model
Bortoluzzo, Adriana Bruscato; Morettin, Pedro A.; … - 2009
Persistent link: https://www.econbiz.de/10008797385
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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
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Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864
Persistent link: https://www.econbiz.de/10010513848
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009628606