Similar Search Results - EconBiz

The common and specific components of dynamic volatility

Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255

Persistent link: https://www.econbiz.de/10003320262

Stock market dynamics in a regime-switching asymmetric power GARCH model

Ané, Thierry; Ureche-Rangau, Loredana - In: International review of financial analysis 15 (2006) 2, pp. 109-129

Persistent link: https://www.econbiz.de/10003320645

Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....

Persistent link: https://www.econbiz.de/10003321460

A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH

Lee, Mingchih; Chiou, Jer-shiou; Lin, Cho-min - In: Applied financial economics letters 2 (2006) 3, pp. 183-188

Persistent link: https://www.econbiz.de/10003326276

Testing for weekday anomaly in international stock index returns with non-normal errors

Lindén, Mikael; Louhelainen, Mika - In: Applied financial economics letters 2 (2006) 3, pp. 193-197

Persistent link: https://www.econbiz.de/10003326279

Volatility relationship between stock performance and real output

Ahn, Eun S.; Lee, Jin Man - In: Applied financial economics 16 (2006) 11, pp. 777-784

Persistent link: https://www.econbiz.de/10003350994

Multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003351679

Decomposing densities of stock indexes returns

Sun, Yiguo (contributor) - 2004

Persistent link: https://www.econbiz.de/10003357872

A re-examination of the asymmetric power ARCH model

Karanasos, Menelaos; Kim, Jinki - In: Journal of empirical finance 13 (2006) 1, pp. 113-128

Persistent link: https://www.econbiz.de/10003278634

Determinants of returns and volatility of Chinese ADRs at NYSE

Kutan, Ali Mustafa; Zhou, Haigang - In: Journal of multinational financial management 16 (2006) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10003280994

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