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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
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Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach
Shanthi, A.; Thamilselvan, R. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 4, pp. 363-380
Persistent link: https://www.econbiz.de/10012153148
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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The volatility model of the ASEAN stock indexes
Singagerda, Faurani Santi; Septarina, Linda; Sanusi, Anuar - In: Investment management and financial innovations 16 (2019) 1, pp. 226-238
Persistent link: https://www.econbiz.de/10012056146
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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Modeling asset market volatility in a small market : accounting for non-synchronous trading effects
Lange, Stephen - In: Journal of international financial markets, … 9 (1999) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001402112
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …
Persistent link: https://www.econbiz.de/10011520881
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019
Persistent link: https://www.econbiz.de/10012134816