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Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step …-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized …-GARCH), and a detailed forecasting and backtesting investigation is performed. …
Persistent link: https://www.econbiz.de/10012591721
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Modelling and forecasting the volatility of the Nordic power market : an application of the GARCH-jump process
Dutta, Anupam - In: Revisiting Electricity Market Reforms : Lessons for …, (pp. 143-158). 2022
Persistent link: https://www.econbiz.de/10013447658
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023
Persistent link: https://www.econbiz.de/10014366596
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019
Persistent link: https://www.econbiz.de/10012134816
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Modelling and forecasting volatility dynamics using quadratic GARCH-factor models : empirical evidence from international foreign exchange markets
Saidane, Mohamed; Lavergne, Christian - In: Stock returns : cyclicity, prediction and economic …, (pp. 231-267). 2009
Persistent link: https://www.econbiz.de/10003945037
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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Forecasting intra-day return volatility using ultra-high-frequency GARCH : does the duration model matter?
Hujer, Reinhard; Grammig, Joachim - 2001
Persistent link: https://www.econbiz.de/10014553638
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On the modeling of financial time series
Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015
Persistent link: https://www.econbiz.de/10011326692
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Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment
Gupta, Rangan; Pierdzioch, Christian - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 23-44). 2023
Persistent link: https://www.econbiz.de/10014282545
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Forecasting high-frequency stock returns : a comparison of alternative methods
Akyildirim, Erdinc; Bariviera, Aurelio Fernández; … - In: Risk management decisions and value under uncertainty, (pp. 639-690). 2022
Persistent link: https://www.econbiz.de/10013341974