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Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - 2009

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Persistent link: https://www.econbiz.de/10003796151

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

Outlier detection in the lognormal logarithmic conditional autoregressive range model

Chiang, Min-Hsien; Chou, Ray Yeutien; Wang, Li-Min - In: Oxford bulletin of economics and statistics 78 (2016) 1, pp. 126-144

Persistent link: https://www.econbiz.de/10011494656

Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach

Lopes, Hedibert Freitas; Salazar, Esther - 2006

Persistent link: https://www.econbiz.de/10003350097

Fujiwara, Yoshi; Fujisaka, Hirokazu - In: Empirical science of financial fluctuations : the …, (pp. [186]-194). 2002

Persistent link: https://www.econbiz.de/10001679484

A new time-varying parameter autoregressive model for U.S. inflation expectations

Lanne, Markku; Luoto, Jani - In: Journal of money, credit and banking : JMCB 49 (2017) 5, pp. 969-995

Persistent link: https://www.econbiz.de/10011946516

Do oil-price shocks predict the realized variance of U.S. REITs?

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Energy economics 104 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013364407

Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?

Çepni, Oğuzhan; Gupta, Rangan; Pienaar, Daniel; … - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477404

A latent factor model for forecasting realized variances

Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909

Persistent link: https://www.econbiz.de/10012799052

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10012626337

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