Narrow search
Showing 1 - 10 of 50,280
Cover Image
Portfolio risk analysis using ARCH and GARCH models in the context of the global financial crisis
Predescu, Oana Mădălina; Stancu, Stelian - In: Theoretical and applied economics : GAER review 18 (2011) 2, pp. 75-88
Persistent link: https://www.econbiz.de/10009580376
Cover Image
Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
Cover Image
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657
Cover Image
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
Cover Image
Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
Cover Image
Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
Cover Image
Evaluating density forecasts from models of stock market returns
Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10002841826
Cover Image
Forecasting financial volatilities with extreme values : the conditonal autoregressive range (CARR) model
Chou, Ray Yeutien - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 561-582
Persistent link: https://www.econbiz.de/10003012785
Cover Image
Choosing the best volatility models : the model confidence set approach
Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - In: Oxford bulletin of economics and statistics 65 (2003) suppl, pp. 839-861
Persistent link: https://www.econbiz.de/10001860213
Cover Image
Choosing the best volatility models : the model confidence set approach
Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2003
Persistent link: https://www.econbiz.de/10001831943