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A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Ejaz, Abdullah; Polak, Petr - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200
Persistent link: https://www.econbiz.de/10012659646
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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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Identification of asymmetric conditional heteroscedasticity in the presence of outliers
Carnero, M. Angeles; Pérez, Ana; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 179-201
The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between …
Persistent link: https://www.econbiz.de/10011458810
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Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 17-30
Persistent link: https://www.econbiz.de/10010468803
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The effects of U.S. unconventional monetary policy on Asian stock markets
Lee, Chien-chiang; Chen, Mei-Ping; Huang, Chun-Chie - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 917-945
Persistent link: https://www.econbiz.de/10012509364
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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124
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Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
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Structural attribution of observed volatility clustering
Granger, C. W. J.; Machina, Mark J. - In: Journal of econometrics 135 (2006) 1/2, pp. 15-29
Persistent link: https://www.econbiz.de/10003376075
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An introduction to univariate GARCH models
Teräsvirta, Timo (contributor) - 2006
This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review. --...
Persistent link: https://www.econbiz.de/10003394988