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Asymmetric multivariate normal mixture GARCH
Haas, Markus (contributor); Mittnik, Stefan (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003651581
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Volatility of stock price as predicted by patent data : an MGARCH perspective
Chow, William W.; Fung, Michael Ka-yiu - In: Journal of empirical finance 15 (2008) 1, pp. 64-79
Persistent link: https://www.econbiz.de/10003692996
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Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee; Chan, Jennifer So Kuen; Kok Haur Ng - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
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Multivariate normal mixture GARCH
Haas, Markus (contributor); Mittnik, Stefan (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003351679
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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
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Value at risk using GARCH volatility models augmented with extreme value theory
Dicks, A.; Conradie, W. J.; De Wet, Tertius - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10010517322
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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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