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Influence of local and global economic policy uncertainty on the volatility of US state-level equity returns : evidence from a GARCH-MIDAS approach with shrinkage and cluster analy...

Candila, Vincenzo; Cepni, Oguzhan; Gallo, Giampiero M.; … - 2024

Persistent link: https://www.econbiz.de/10015051333

Regular variation and extremal dependence of GARCH residuals with application to market risk measures

Laurini, Fabrizio; Tawn, Jonathan A. - In: Econometric reviews 28 (2009) 1/3, pp. 146-169

Persistent link: https://www.econbiz.de/10003800712

Improving many volatility forecasts using cross-dectional volatility clusters

Coretto, Pietro; Rocca, Michele la; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 4/64, pp. 1-23

The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured...

Persistent link: https://www.econbiz.de/10012302505

Bifurcation routes to volatility clustering under evolutionary learning

Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - In: Journal of economic behavior & organization : JEBO 67 (2008) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10003762670

Intermittency, long-memory and financial returns

Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S. - In: Long memory in economics : with 50 tables, (pp. 39-68). 2006

Persistent link: https://www.econbiz.de/10003375590

Clustering financial time series : new insights from an extended hidden Markov model

Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864

Persistent link: https://www.econbiz.de/10010513848

Bifurcation routes to volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - 2000

A simple asset pricing model with two types of adaptively learning traders,fundamentalists and technical analysts, is studied. Fractions of these tradertypes, which are both boundedly rational, change over time according toevolutionary learning, with technical analysts conditioning their...

Persistent link: https://www.econbiz.de/10011313936