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Learning and conditional heteroscedasticity in asset returns
Mizrach, Bruce Marshall - 1995
Persistent link: https://www.econbiz.de/10000921748
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The search for chaos and nonlinearities in Swedish stock index returns
Amilon, Henrik; Byström, Hans N. E. - 1998
Persistent link: https://www.econbiz.de/10000994651
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger - 1996
Persistent link: https://www.econbiz.de/10001410584
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Semiparametric maximum likelihood estimation of GARCH models
Yang, Jian - 1998
Persistent link: https://www.econbiz.de/10001364106
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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan
Mahmood, Asif - 2015
Persistent link: https://www.econbiz.de/10011419532
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Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016
Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true …
Persistent link: https://www.econbiz.de/10011420698
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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019
identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …. The bootstrap methods considered are a wild bootstrap, a moving blocks bootstrap and a GARCH residual based bootstrap …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that …
Persistent link: https://www.econbiz.de/10012041300
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SRISK : a conditional capital shortfall measure of systemic risk
Brownlees, Christian; Engle, Robert F. - 2017
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...
Persistent link: https://www.econbiz.de/10011975954
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
Persistent link: https://www.econbiz.de/10011995757
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - 2018
Persistent link: https://www.econbiz.de/10012064840