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Assessment of volatility using exponential generalized autoregressive conditional heteroscedastic model in BSE stock market
Kundu, Amit - In: The Indian journal of economics 97 (2017) 387, pp. 589-605
Persistent link: https://www.econbiz.de/10011991586
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Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Barunik, Jozef; Vácha, Lukáš - 2014
-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized …
Persistent link: https://www.econbiz.de/10010407510
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Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J. - 2015
stationary process to have a spectral density function, wavelets can represent both stationary and nonstationary processes. As …
Persistent link: https://www.econbiz.de/10011382237
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Long memory in stock returns : an analysis using a wavelet based semi-parametric estimator
Bhandari, Avishek - In: The empirical economics letters : a monthly … 17 (2018) 2, pp. 167-176
Persistent link: https://www.econbiz.de/10011912845
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Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
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Estimation of long memory in volatility using wavelets
Kraicová, Lucie; Baruník, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
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Endogenous volatility in the foreign exchange market
Bargigli, Leonardo; Cifarelli, Giulio - 2024
Persistent link: https://www.econbiz.de/10015338752
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Modelling changes in the unconditional variance of long stock return series
Amado, Cristina; Teräsvirta, Timo - In: Journal of empirical finance 25 (2014), pp. 15-35
Persistent link: https://www.econbiz.de/10010462094
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010509631
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010501257