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Modelling and estimating the forward price curve in the energy market
Chiarella, Carl; Chewlow, Les; King, Boda - 2009
Persistent link: https://www.econbiz.de/10008662359
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Robust multiple regimes in growth volatility
Kourtellos, Andros; Stylianou, Ioanna; Tan, Chih Ming - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 461-491
Persistent link: https://www.econbiz.de/10011288649
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Growth volatility indices
Fiaschi, Davide; Lavezzi, Andrea Mario - In: The complex networks of economic interactions : essays …, (pp. 37-59). 2005
Persistent link: https://www.econbiz.de/10003253878
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Forecasting crude oil market volatility : a Markov switching multifractal volatility approach
Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10011596312
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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
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Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena - In: Journal of financial econometrics 19 (2021) 4, pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
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Strategic asset allocation and Markov Regime Switch with GARCH
Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51
Persistent link: https://www.econbiz.de/10009776452
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An operational risk-based regime-switching model for stock prices
Kanamura, Takashi - In: The journal of operational risk 12 (2017) 3, pp. 1-15
Persistent link: https://www.econbiz.de/10011848822
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Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008
) with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the … sufficiently many volatility components. In comparison with a Binomial MSM specification [7], results are almost identical. This … distribution is very limited. -- Markov-switching multifractal ; scaling ; return volatility …
Persistent link: https://www.econbiz.de/10003715073