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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
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Performance of the realized-GARCH model against other GARCH types in predicting cryptocurrency volatility
Queiroz, Rhenan G. S.; David, Sergio A. - In: Risks : open access journal 11 (2023) 12, pp. 1-13
Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model is a well-known...
Persistent link: https://www.econbiz.de/10014446600
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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
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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
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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return … basis in the simulation results a simple framework is proposed and illustrated. -- Return variability forecasting …
Persistent link: https://www.econbiz.de/10003694144
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The stochastic volatility in mean model
Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000
(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …
Persistent link: https://www.econbiz.de/10011303314
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Scientific stochastic volatility models for the European carbon markets : forecasting and extracting conditional moments
Solibakke, Per Bjarte - In: International journal of business 19 (2014) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10010344777
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … variability are studied. Second, based on the simulation results a simple but general framework is proposed and illustrated. The …
Persistent link: https://www.econbiz.de/10003829997