Narrow search
Showing 1 - 10 of 671,608
Cover Image
Some stylised facts about the exchange rate behaviour of Central European currencies
Vejmělek, Jan - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 24 (2016) 2, pp. 3-17
Persistent link: https://www.econbiz.de/10011537495
Cover Image
Money laundering risk in developing and transitive economies : analysis of cyclic component of time series
Levchenko, Valentyna; Boyko, Anton; Bozhenko, Victoria; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 20 (2019), pp. 492-508
volatility and persistence using the Hurst exponent. We determined the peaks, downturns and duration of the money laundering …
Persistent link: https://www.econbiz.de/10012221542
Cover Image
Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component
Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220
In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into … simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …
Persistent link: https://www.econbiz.de/10011899155
Cover Image
Using conditional asymmetry to predict commodity futures prices
Dias, Fabio S. - In: International Journal of Financial Markets and … 8 (2021) 2, pp. 185-203
Persistent link: https://www.econbiz.de/10012598664
Cover Image
Macroeconomic variables, leverage, stock returns and stock return volatility
Marozva, Godfrey; Magwedere, Margaret Rutendo - In: Acta Universitatis Danubius / Oeconomica 13 (2017) 4, pp. 237-260
Persistent link: https://www.econbiz.de/10012137022
Cover Image
Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
Persistent link: https://www.econbiz.de/10011995731
Cover Image
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
Persistent link: https://www.econbiz.de/10012064799
Cover Image
Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …
Persistent link: https://www.econbiz.de/10011393264
Cover Image
An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
Cover Image
Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317