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Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH
Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23
analyse their effects on the modelling and forecasting performance. The high-frequency volatility models were validated in …
Persistent link: https://www.econbiz.de/10012018629
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MODELLING VOLATILITY OF THE GOLD PRICES BY USING GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY METHOD: THE CASE OF TURKEY
ALPTEKIN, VOLKAN; GUVENEK, BURCU; BOYACIOGLU, MELEK ACAR - In: Journal of Academic Research in Economics 2 (2010) 2 (November), pp. 197-212
When the world economies are taken into consideration, gold market maintains its function as a traditional investment place. The volatility in the gold prices can be seen as an indicator of non-stability for the market as a whole. Under such circumstances, the investors rearrange their savings...
Persistent link: https://www.econbiz.de/10008752913
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Missing mean does no harm to volatility!
Anatolyev, Stanislav; Tarasyuk, Irina - In: Economics letters 134 (2015), pp. 62-64
Persistent link: https://www.econbiz.de/10011432253
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Large vector autoregressions with stochastic volatility and flexible priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016
Persistent link: https://www.econbiz.de/10011549652
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Advances in the prediction of stock market volatility
Hamid, Alain - 2015
Persistent link: https://www.econbiz.de/10011414413
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Using a normal jump-diffusion model for interest variation in a low-rate and high-volatility environment
Huotari, Antti - 2016
Persistent link: https://www.econbiz.de/10011478288
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Time series econometrics
Neusser, Klaus - 2016
Persistent link: https://www.econbiz.de/10011485298
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011373232
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10011373822
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591