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Economic policy uncertainty in US and Europe : time-varying Granger causality
Mladenovic, Zorica - In: Applied economics letters 30 (2023) 20, pp. 2913-2920
Persistent link: https://www.econbiz.de/10014414040
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach
Shanthi, A.; Thamilselvan, R. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 4, pp. 363-380
Persistent link: https://www.econbiz.de/10012153148
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Modelling price volatility in energy futures during Covid-19
Khatun, Yashmin; Digal, Sabat Kumar; Mahadik, Dushyant - In: International journal of trade and global markets 19 (2024) 1, pp. 85-109
Persistent link: https://www.econbiz.de/10015062749
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Forecasting commodity market returns volatility : a hybrid ensemble learning GARCH-LSTM based approach
Kakade, Kshitij; Mishra, Aswini Kumar; Ghate, Kshitish; … - In: Intelligent systems in accounting, finance & management 29 (2022) 2, pp. 103-117
Persistent link: https://www.econbiz.de/10013274256
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Modeling and forecasting the volatility of NIFTY 50 using GARCH and RNN models
Mahajan, Vanshu; Thakan, Sunil; Malik, Aashish - In: Economies : open access journal 10 (2022) 5, pp. 1-20
, several scholars have lately been interested in forecasting stock market volatility. This study analyzed India VIX (NIFTY 50 … volatility index) to identify the behavior of the Indian stock market in terms of volatility and then evaluated the forecasting … become essential to manage risk in the Indian stock market, and volatility plays a critical part in assessing the risks of …
Persistent link: https://www.econbiz.de/10013199403
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An empirical evaluation in GARCH volatility modeling : evidence from the Stockholm stock exchange
Dritsaki, Chaido - In: Journal of mathematical finance 7 (2017) 2, pp. 366-390
Persistent link: https://www.econbiz.de/10011673942
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Real-Time GARCH
Smetanina, Ekaterina - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16
memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …
Persistent link: https://www.econbiz.de/10011854876
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Modeling and forecasting firm-specific volatility : the role of asymmetry and long-memory
González-Pla, Francisco; Lovreta, Lidija - In: Finance research letters 48 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013463084