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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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Modelling exchange rate volatility with random level shifts
Li, Ye; Perron, Pierre; Xu, Jiawen - In: Applied economics 49 (2017) 26, pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models
Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482
Persistent link: https://www.econbiz.de/10003739179
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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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Tests of excess forecast volatility in the foreign exchange and stock markets
Froot, Kenneth - 1987
Persistent link: https://www.econbiz.de/10009571466
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Volatility forecasting of exchange rate by quantile regression
Huang, Alex; Peng, Sheng-pen; Li, Fangjhy; Ke, Ching-jie - In: International review of economics & finance : IREF 20 (2011) 4, pp. 591-606
Persistent link: https://www.econbiz.de/10009303959
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Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts
Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142
Persistent link: https://www.econbiz.de/10011375830
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Long-memories and mean breaks in realized volatilities
Song, Hyejin; Shin, Dong-wan - In: Applied economics letters 22 (2015) 16/18, pp. 1273-1280
Persistent link: https://www.econbiz.de/10011380139