Similar Search Results

Narrow search

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237

Modeling stock market return volatility : GARCH evidence from Nifty Realty Index

Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10013349014

Time-varying impacts of macroeconomic variables on stock market returns and volatility : evidence from Pakistan

Rashid, Abdul; Javed, Aamir; Jehan, Zainab; Iqbal, Uzma - In: Romanian journal of economic forecasting 25 (2022) 3, pp. 144-166

Persistent link: https://www.econbiz.de/10013414184

Forecasting the realized volatility of stock markets with financial stress

Guo, Chuan; Feng, Yiyun - In: Journal of risk 25 (2022) 1, pp. 23-48

Persistent link: https://www.econbiz.de/10013549680

Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility

Nonejad, Nima - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013534202

Volatility estimation when the zero-process is nonstationary

Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10013540630

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Tansuchat, Roengchai - 2010

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

Persistent link: https://www.econbiz.de/10013149274

The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach

Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146

Persistent link: https://www.econbiz.de/10014279147

On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19

Cremaschini, Alessandro; Punzón, Antonio; Martellucci, … - In: Applied economics 55 (2023) 32, pp. 3675-3688

Persistent link: https://www.econbiz.de/10014299197

A service of the

zbw