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Level changes in volatility models
Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of Finance 8 (2012) 2, pp. 277-308
Persistent link: https://www.econbiz.de/10010866518
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Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008
Rueda, Diego Alonso Agudelo; Castaño, Milena - UNIVERSIDAD EAFIT - 2011
, both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk …
Persistent link: https://www.econbiz.de/10010762786
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Efficient modeling and forecasting of electricity spot prices
Ziel, Florian; Steinert, Rick; Husmann, Sven - In: Energy Economics 47 (2015) C, pp. 98-111
several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and …
Persistent link: https://www.econbiz.de/10011189287
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Time varying spillovers between the online search volume and stock returns: Case of CESEE markets
Škrinjarić, Tihana - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-30
series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression …
Persistent link: https://www.econbiz.de/10013200237
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Time varying spillovers between the online search volume and stock returns : case of CESEE markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 4/59, pp. 1-30
series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression …
Persistent link: https://www.econbiz.de/10012150478
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Time varying volatility indices and their determinants : evidence from developed and emerging stock markets
Prasad, Nalin; Grant, Andrew; Kim, Suk-Joong - In: International review of financial analysis 60 (2018), pp. 115-126
Persistent link: https://www.econbiz.de/10012007551
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Essays in computational statistics with applications to volatility forecasting and forecast combination
Knaus, Simon D. - 2014
Der erste Aufsatz der vorliegenden Dissertation untersucht die Dynamik der realisierten Volatilität. Ein erfolgreiches Model in diesem Bereich ist das sogenannte heterogene auto-regressive Modell (HAR), das konzeptionell einfach und gut für Vorhersagen geeignet ist. Eine neue Herangehensweise...
Persistent link: https://www.econbiz.de/10010350528
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Universal regimes for rates and inflation : the effect of local elasticity on market and counterparty risk
Chorniy, Vladimir; Kotecha, Vinay - In: Quantitative finance 20 (2020) 1, pp. 99-117
Persistent link: https://www.econbiz.de/10012194857
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Influence of Foreign Institutional Investments (FIIs) on the Indian stock market
Vardhan, Harsh; Sinha, Pankaj - Volkswirtschaftliche Fakultät, … - 2014
the sub - periods. The daily data has been analyzed by Vector Autoregressive framework using different VAR models for …
Persistent link: https://www.econbiz.de/10011259596
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Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales
Declerck, Francis; Indjehagopian, Jean-Pierre; Bellocq, … - ESSEC Business School - 2015
à terme du pétrole, est menée à partir de modèles de d’autorégression vectorielle (VAR) en lien avec la cointégration …
Persistent link: https://www.econbiz.de/10011195739