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Modelling exchange rate volatility with random level shifts

Li, Ye; Perron, Pierre; Xu, Jiawen - In: Applied economics 49 (2017) 26, pp. 2579-2589

Persistent link: https://www.econbiz.de/10011819611

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721

Persistent link: https://www.econbiz.de/10013332682

Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model

Tan, Shay Kee; Chan, Jennifer So Kuen; Kok Haur Ng - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 437-474

Persistent link: https://www.econbiz.de/10013334835

Bayesian stochastic volatility predictability of cryptocurrencies with the algorithm of Metropolis Hasting

Hachicha, Fatma; Ghabri, Yosra; Guesmi, Khaled; … - In: Revue Gestion 2000 : management & prospective 39 (2022) 6, pp. 163-186

Persistent link: https://www.econbiz.de/10014306107

Modelling prices and volatilities in the sharing economy

Pérez Rodríguez, Jorge V.; Hernández, Juan M.; … - In: Tourism economics : the business and finance of tourism … 30 (2024) 5, pp. 1189-1215

Persistent link: https://www.econbiz.de/10015056859

Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914

Persistent link: https://www.econbiz.de/10015084570

Long run volatility forecasting for individual stocks in a one factor model

Engle, Robert F.; Lee, Gary G. J. - 1993

Persistent link: https://www.econbiz.de/10000877958

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

Persistent link: https://www.econbiz.de/10003636113

Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482

Persistent link: https://www.econbiz.de/10003739179