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Complex model of market price development and its simulation

Stádník, Bohumil; Miečinskiene, Algita - In: Journal of business economics and management 16 (2015) 4, pp. 786-807

Persistent link: https://www.econbiz.de/10011384542

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

Unified moment-based modeling of integrated stochastic processes

Kyriakou, Ioannis; Brignone, Riccardo; Fusai, Gianluca - In: Operations research 72 (2024) 4, pp. 1630-1653

Persistent link: https://www.econbiz.de/10015045661

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - 1996

Persistent link: https://www.econbiz.de/10000596784

Semi-parametric modelling of the term structure

Bianchi, Marco; Orszag, Jonathan Michael; Steeley, James M. - 1997

Persistent link: https://www.econbiz.de/10000956524

Real exchange rate dynamics in the presence of nontraded goods and transaction costs

Yi, In-gu; Shin, Jonghyup - 2008

Persistent link: https://www.econbiz.de/10003774672

A comparison of biased simulation schemes for stochastic volatility models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006

Persistent link: https://www.econbiz.de/10003332143

Portfolio management implications of volatility shifts : evidence from simulated data

Fernández, Viviana (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003336111

Assessing the impact of algorithmic trading on markets : a simulation approach

Gsell, Markus - 2008

impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … conducted by comparing different simulation runs including and excluding a trader constituting an algorithmic trading model in … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation …

Persistent link: https://www.econbiz.de/10003863919

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