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Time-changed GARCH versus GARJI model for extreme events : an empirical study
Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015046799
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Modelling and forecasting inflation in Egypt : univariate and multivariate approaches
Ahmed, Doaa Akl; Abdelsalam, Mamdouh Abdelmoula Mohamed - In: Middle East development journal : a publication of the … 9 (2017) 1, pp. 127-159
Persistent link: https://www.econbiz.de/10011722559
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Forecasting stock market volatility under parameter and model uncertainty
Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014463139
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Jump, non-normal error distribution and stock price volatility : a nonparametric specification test
Rahman, Mohammad Masudur; Ara, Laila Arjuman; Zheng, … - In: The Singapore economic review : journal of the Economic … 54 (2009) 1, pp. 101-121
Persistent link: https://www.econbiz.de/10003851283
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias; Gao, Yang; Herrmann, Klaus - 2010
financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions …
Persistent link: https://www.econbiz.de/10003943186
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Forecasting daily return densities from intraday data : a multifractal approach
Hallam, Mark; Olmo, Jose - In: International journal of forecasting 30 (2014) 4, pp. 863-881
Persistent link: https://www.econbiz.de/10010517781
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How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …
Persistent link: https://www.econbiz.de/10009767120
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A simple two-component model for the distribution of intraday returns
Coroneo, Laura; Veredas, David - In: The European journal of finance 18 (2012) 9/10, pp. 775-797
Persistent link: https://www.econbiz.de/10009691780
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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