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Dynamics of volatility behaviour and transmission : evidences from BRICS countries
Narula, Isha - In: Decision 43 (2016) 1, pp. 31-51
Persistent link: https://www.econbiz.de/10011534256
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Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
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Do BRIC countries stock market volatility move together? : an empricial analysis of using multivariate GARCH models
Tripathy, Nalini Prava - In: International journal of business and emerging markets … 9 (2017) 2, pp. 104-123
Persistent link: https://www.econbiz.de/10011776067
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Stock market volatility and anomalies in India : a behavioural approach
Siddiqui, Taufeeque Ahmad; Narula, Isha - In: Asia-Pacific journal of management research and … 12 (2016) 3/4, pp. 194-202
Persistent link: https://www.econbiz.de/10011785023
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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A note on conditional variance and decaying rate : Chinese equity market
Amanjot Singh - In: Journal of quantitative economics 16 (2018) 2, pp. 595-611
Persistent link: https://www.econbiz.de/10012418518
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Modelling persistence in the conditional mean of inflation using the ARFIMA process with GARCH and GJR-GARCH innovations : the case of Ghana and South Africa
Boateng, Alexander; Lesaoana, Maseka; Siweya, Hlengani; … - In: African review of economics & finance : AREF : (a … 9 (2017) 2, pp. 96-130
Persistent link: https://www.econbiz.de/10011780438
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The analytics of momentum
Kwon, Oh Kang; Satchell, Stephen - In: The journal of asset management 20 (2019) 6, pp. 433-441
Persistent link: https://www.econbiz.de/10012125379