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Conditional volatility asymmetry of business cycles : evidence from four OECD countries

Ho, Kin-Yip; Tsui, Albert K.; Zhang, Zhaoyong - In: Journal of economic development 38 (2013) 3, pp. 33-56

Persistent link: https://www.econbiz.de/10010196456

Identifying time variability in stock and interes rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - In: Investment management and financial innovations 10 (2013) 2, pp. 73-83

Persistent link: https://www.econbiz.de/10010201094

Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing

Messow, Philip - 2013

Persistent link: https://www.econbiz.de/10009793512

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Analyzing dependence structure of equity, bond and money markets by using time-varying copulas

Nguyen, Cuong; Nguyen, Tristan - In: International journal of economics and finance 6 (2014) 3, pp. 37-54

Persistent link: https://www.econbiz.de/10010339644

Bayesian unit root test in double threshold heteroskedastic models

Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490

Persistent link: https://www.econbiz.de/10010249863

Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach

Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10011504612

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed … the Maximum Likelihood (ML) estimator in Monte Carlo simulation experiments. The ML estimate is computed with a simulation …

Persistent link: https://www.econbiz.de/10011518987

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

Persistent link: https://www.econbiz.de/10011520881

A panel-regressions investigation of exchange rate volatility

Grossmann, Axel; Orlov, Alexei G. - In: International journal of finance & economics : IJFE 19 (2014) 4, pp. 303-326

Persistent link: https://www.econbiz.de/10010471892