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Ye, Xunyu; Yan, Rui; Li, Handong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 125-144

Persistent link: https://www.econbiz.de/10010347331

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

Persistent link: https://www.econbiz.de/10010350103

Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram

Ye, Xunyu; Gao, Ping; Li, Handong - In: Economic modelling 46 (2015), pp. 167-179

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Time series econometrics

Neusser, Klaus - 2016

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Generalized ARMA models with martingale difference errors

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Pricing Nikkei 225 options using realized volatility

Ubukata, Masato; Watanabe, Toshiaki - In: The Japanese economic review : the journal of the … 65 (2014) 4, pp. 431-467

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Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcemen...

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: International review of economics & finance : IREF 30 (2014), pp. 101-119

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Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility

Jánský, Ivo; Rippel, Milan - 2011

more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in … periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index … separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA …

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The rise and fall of US inflation persistence

Beechey, Meredith Jane; Österholm, Pär - 2007

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