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Forecasting volatility with component conditional autoregressive range model

Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012659660

Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index

Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187

Persistent link: https://www.econbiz.de/10011888169

Conditional Autoregressive Range (CARR) based volatility spillover index for the Eurozone markets

Bayraci, Selcuk; Demiralay, Sercan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 595-603

Persistent link: https://www.econbiz.de/10010519718

A range-based volatility approach to measuring volatility contagion in securitized real estate markets

Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic modelling 45 (2015), pp. 223-235

Persistent link: https://www.econbiz.de/10011334089

A new variant of RealGARCH for volatility modeling

Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443

Persistent link: https://www.econbiz.de/10012388363

A conditional autoregressive range model with gamma distribution for financial volatility modelling

Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356

Persistent link: https://www.econbiz.de/10011761274

Empirical performance of the Czech and Hungarian index options under jump

Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001

find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …

Persistent link: https://www.econbiz.de/10010292775

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Volatilitätseffekte am US-amerikanischen Häusermarkt

Schindler, Felix - 2009

Renditeverteilung existieren und sich überwiegend auch ein Leverage-Effekt identifizieren lässt. Durch eine ARMA-GARCH …

Persistent link: https://www.econbiz.de/10010299182

Models for time-varying moments using maximum entropy applied to a generalized measure of volatility

Herrmann, Klaus - 2008

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …

Persistent link: https://www.econbiz.de/10010299748

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