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Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
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Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
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Conditional Autoregressive Range (CARR) based volatility spillover index for the Eurozone markets
Bayraci, Selcuk; Demiralay, Sercan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 595-603
Persistent link: https://www.econbiz.de/10010519718
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A range-based volatility approach to measuring volatility contagion in securitized real estate markets
Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic modelling 45 (2015), pp. 223-235
Persistent link: https://www.econbiz.de/10011334089
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A new variant of RealGARCH for volatility modeling
Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443
Persistent link: https://www.econbiz.de/10012388363
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A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
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Forecasting time-varying covariance with a range-based dynamic conditional correlation model
Chou, Ray; Wu, Chun-Chou; Liu, Nathan - In: Review of Quantitative Finance and Accounting 33 (2009) 4, pp. 327-345
Persistent link: https://www.econbiz.de/10008531529
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Models for time-varying moments using maximum entropy applied to a generalized measure of volatility
Herrmann, Klaus - 2008
We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …
Persistent link: https://www.econbiz.de/10010299748
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Structural breaks and financial volatility: Lessons from BRIC countries
Morales, Lucía; Gassie, Esmeralda - 2011
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...
Persistent link: https://www.econbiz.de/10010306930
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …
Persistent link: https://www.econbiz.de/10011335762