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Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach
Xia, Qiang; Wong, Heung; Liu, Jinshan; Liang, Rubing - In: Computational economics 50 (2017) 3, pp. 353-372
Persistent link: https://www.econbiz.de/10011783316
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Measuring contagion risk in high volatility state among Taiwanese major banks
Su, Ender - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 185-241
Persistent link: https://www.econbiz.de/10011885900
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Liquidity risk and volatility risk in credit spread models : a unified approach
Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901
Persistent link: https://www.econbiz.de/10011865496
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Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
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Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index
Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710
Persistent link: https://www.econbiz.de/10012312671
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018
Persistent link: https://www.econbiz.de/10011891048
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Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
Lauenstein, Philipp; Walther, Thomas - In: International journal of financial engineering and risk … 2 (2016) 3, pp. 172-199
Persistent link: https://www.econbiz.de/10011778834
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587