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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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The impacts of outliers on different estimators for GARCH processes: an empirical study
Ardelean, Vlad - 2009
The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH …
Persistent link: https://www.econbiz.de/10010299759
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Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
Fischer, Matthias J. - 2002
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to...
Persistent link: https://www.econbiz.de/10010299799
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for … densities and their parametric competitors within different generalized GARCH models such as APARCH and GJR-GARCH. …
Persistent link: https://www.econbiz.de/10010299994
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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011
Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still...
Persistent link: https://www.econbiz.de/10010305714
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Impact of the monetary policy instruments on Islamic stock market index return
Albaity, Mohamed Shikh - 2011
variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the …
Persistent link: https://www.econbiz.de/10010305856
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Structural breaks and financial volatility: Lessons from BRIC countries
Morales, Lucía; Gassie, Esmeralda - 2011
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...
Persistent link: https://www.econbiz.de/10010306930
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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011306665
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The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model
Giovanis, Eleftherios - In: International Journal of Economic Sciences and Applied … 7 (2014) 3, pp. 43-61
Heteroskedasticity (ARCH) effects existence. For this reason Generalized GARCH models are estimated. Two approaches are followed. The … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …
Persistent link: https://www.econbiz.de/10011310275
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Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10011335467