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Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices

Roy, Subrata - In: Theoretical and applied economics : GAER review 28 (2021) 2/627, pp. 259-284

Persistent link: https://www.econbiz.de/10012693493

Dynamic forecasting : efficacy of rolling symmetric and asymmetric GARCH models

Talwar, Shalini - In: South Asian journal of management : SAJM 23 (2016) 3, pp. 102-142

Persistent link: https://www.econbiz.de/10011643885

Forecasting stock market volatility and information content of implied volatility index

Pati, Pratap Chandra; Barai, Parama; Rajib, Prabina - In: Applied economics 50 (2018) 23, pp. 2552-2568

Persistent link: https://www.econbiz.de/10011850295

A new Pearson-type QMLE for conditionally heteroscedastic models

Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565

Persistent link: https://www.econbiz.de/10011403239

Bootstrapped nonlinear impulse-response analysis : the FTSE100 (UK) and the NDX100 (US) indices 2012-2021

Solibakke, Per Bjarte - In: International journal of computational economics and … 12 (2022) 1/2, pp. 197-221

Persistent link: https://www.econbiz.de/10012939622

Value at risk forecasting for volatility index

Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620

Persistent link: https://www.econbiz.de/10011853568

The stochastic volatility in mean model

Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … in the mean equation. The same extension isdeveloped elsewhere for Autoregressive ConditionalHeteroskedastic (ARCH …

Persistent link: https://www.econbiz.de/10011303314