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Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520

Persistent link: https://www.econbiz.de/10010228561

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Modeling and forecasting realized volatility : getting the most out of the jump component

Clements, Adam; Liao, Yin - 2013

Persistent link: https://www.econbiz.de/10009789511

Volatility and Kurtosis of daily stock returns at MSE

Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 209-221

risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non …-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility …

Persistent link: https://www.econbiz.de/10011456336

Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657

Persistent link: https://www.econbiz.de/10011562539

The impact of shocks on higher moments

Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105

Persistent link: https://www.econbiz.de/10003826483

Multifractal volatility : theory, forecasting, and pricing

Calvet, Laurent E.; Fisher, Adlai - 2008

Persistent link: https://www.econbiz.de/10003719647

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

) with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the … sufficiently many volatility components. In comparison with a Binomial MSM specification [7], results are almost identical. This …

Persistent link: https://www.econbiz.de/10003721498

Modeling dynamic volatilities and correlations under skewness and fat tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10011386468

Evaluating density forecasts from models of stock market returns

Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10002841826