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Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …
Persistent link: https://www.econbiz.de/10012804913
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Forecasting the Artificial Intelligence index returns : a hybrid approach
Zhang, Yue-jun; Zhang, Han; Gupta, Rangan - 2021
Persistent link: https://www.econbiz.de/10012692569
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Stylized facts of high-frequency financial time series data
Shakeel, Moonis; Srivastava, Bhavana - In: Global business review 22 (2021) 2, pp. 550-564
Persistent link: https://www.econbiz.de/10012520248
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock …
Persistent link: https://www.econbiz.de/10012604174
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Forecasting gains by using extreme value theory with realised GARCH filter
Paul, Samit; Sharma, Prateek - In: IIMB management review 33 (2021) 1, pp. 64-70
Persistent link: https://www.econbiz.de/10013205188
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083
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Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility
Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80
Persistent link: https://www.econbiz.de/10013177289
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Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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Hedging the Black Swan : Conditional Heteroskedasticity and Tail Dependence in S&P500 and Vix
Abbas, Sawsan - 2010
The recent financial crisis has accentuated the fact that extreme outcomes have been overlooked and not dealt with adequately. While extreme value theories have existed for a long time, the multivariate variant is difficult to handle in the financial markets due to the prevalent...
Persistent link: https://www.econbiz.de/10013148084