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Modeling exchange rate volatility : application of GARCH models with a Normal Tempered Stable distribution
Charfi, Sahar; Mselmi, Farouk - In: Quantitative finance and economics 6 (2022) 2, pp. 206-222
Persistent link: https://www.econbiz.de/10013498930
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An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Conditional volatility and distribution of exchange rates : GARCH and FIGARCH models with NIG distribution
Kiliç, Rehim - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10009513025
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001477784
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The information content of risk-neutral skewness for volatility forecasting
Byun, Suk Joon; Kim, Jun Sik - In: Journal of empirical finance 23 (2013), pp. 142-161
Persistent link: https://www.econbiz.de/10010221765
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GARCH Model With Fat-Tailed Distributions and Bitcoin Exchange Rate Returns
Guo, Zi-Yi - 2020
In the era of diminishing power from US dollar and increasing competition among world currencies, Bitcoin, as a completely new concept as a medium of exchange, has received increasing attentions over the world. Nowadays, Bitcoin also becomes an investment vehicle, which carries attractive...
Persistent link: https://www.econbiz.de/10012826608
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Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124
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A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns
Chang, Kuang-Liang - In: Computational economics 58 (2021) 4, pp. 965-999
Persistent link: https://www.econbiz.de/10012697775