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Improving GARCH volatility forecasts with regime-switching GARCH

Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394

Persistent link: https://www.econbiz.de/10001655658

A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets

Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114

Persistent link: https://www.econbiz.de/10011894407

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Co-movements in volatility of dependency between US dollar and euro : analysing by conditional heteroscedasticity models

Jamel, Lamia; Mansour, Sihem - In: International journal of management & enterprise … 18 (2019) 1/2, pp. 1-19

Persistent link: https://www.econbiz.de/10012116976

Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market

Kashyap, Suresh; Kashyap, Sachin - In: International journal of business innovation and … 22 (2020) 4, pp. 488-505

Persistent link: https://www.econbiz.de/10012270943

Bayesian stochastic volatility predictability of cryptocurrencies with the algorithm of Metropolis Hasting

Hachicha, Fatma; Ghabri, Yosra; Guesmi, Khaled; … - In: Revue Gestion 2000 : management & prospective 39 (2022) 6, pp. 163-186

Persistent link: https://www.econbiz.de/10014306107

Modelling exchange rate volatility of Somali Shilling against US Dollar by utilizing GARCH models

Ali, Abdullahi Osman - In: International journal of economics and financial issues … 11 (2021) 2, pp. 35-39

Persistent link: https://www.econbiz.de/10012509707

Modeling exchange rate volatility in selected WAMZ countries : evidence from symmetric and asymmetric GARCH models

Eregha, Perekunah B.; Egwaikhide, Festus O.; Osuji, Emeka - In: Spoudai : journal of economics and business 70 (2020) 1/2, pp. 58-80

volatility clustering among selected WAMZ countries for the period 1980-2016. The univariate symmetric and asymmetric ARCH …/GARCH modeling approach is employed with the Maximum Likelihood Estimation Technique and the results show exchange rate volatility …

Persistent link: https://www.econbiz.de/10012295359

A Bayesian semiparametric analysis of ARCH models

Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000

Persistent link: https://www.econbiz.de/10001497195

Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a … methodology to estimate volatility dependency patterns for both the SP&500 index and major cryptocurrencies. We thoroughly assess …-factor extensions and apply this method to estimate volatility measurements from high-frequency data, underscoring its exceptional …

Persistent link: https://www.econbiz.de/10015272743