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On the volatility of daily stock returns of Total Nigeria Plc: Evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial Innovation 6 (2020) 1, pp. 1-25

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting. We use daily data for Total Nigeria Plc...

Persistent link: https://www.econbiz.de/10012602854

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

Persistent link: https://www.econbiz.de/10012268756

Forecasting volatility in bitcoin market

Segnon, Mawuli; Bekiros, Stelios - In: Annals of finance 16 (2020) 3, pp. 435-462

Persistent link: https://www.econbiz.de/10012496404

Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

Persistent link: https://www.econbiz.de/10011285427

Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240

Persistent link: https://www.econbiz.de/10013167733

Estimation of Multivariate Asset Models with Jumps

Loregian, Angela - 2018

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

Persistent link: https://www.econbiz.de/10012937321

Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model

Mehrdoust, Farshid; Noorani, Idin - In: Mathematics and financial economics 15 (2021) 3, pp. 501-543

Persistent link: https://www.econbiz.de/10012586206

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752

Persistent link: https://www.econbiz.de/10012500185

Mixture periodic GARCH models : theory and applications

Hamdi, Fayçal; Souam, Saïd - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1925-1956

Persistent link: https://www.econbiz.de/10011950345

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178

Persistent link: https://www.econbiz.de/10012194752