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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Modelling long memory in stock market volatility : a fractionally integrated generalised arch approach
Psaradakis, Zacharias; Sola, Martin - 1995
Persistent link: https://www.econbiz.de/10000151421
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Duration-based volatility estimation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
Persistent link: https://www.econbiz.de/10003854415
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Fractionally integrated time varying GARCH model
Nasr, Adnen Ben; Boutahar, Mohamed; Trabelsi, Abdelwahed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 399-430
Persistent link: https://www.econbiz.de/10008649243
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Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?
Trifi, Amine (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10003559185
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Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10010511544
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An ARCH model without intercept
Hafner, Christian M.; Preminger, Arie - In: Economics letters 129 (2015), pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
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Econometric analysis of volatility component models
Wang, Fangfang; Ghysels, Eric - In: Econometric theory 31 (2015) 2, pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
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Prediction power of high-frequency based volatility measures : a model based approach
Hamid, Alain - In: Review of managerial science 9 (2015) 3, pp. 549-576
Persistent link: https://www.econbiz.de/10011283668