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On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

What should the value of lambda be in the exponentially weighted moving average volatility model?

Bollen, Bernard - In: Applied economics 47 (2015) 7/9, pp. 853-860

Persistent link: https://www.econbiz.de/10010512092

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Estimation of geometric Brownian motion model with a t-distribution-based particle filter

Nkemnole, Bridget; Abass, Olaide - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012018946

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10011858928

Endogenous second moments : a unified approach to fluctuations in risk, dispersion, and uncertainty

Straub, Ludwig; Ulbricht, Robert - 2016

Persistent link: https://www.econbiz.de/10012216957

Naira-Dollar exchange rate volatility modeling using Quadratic Moving Average Conditional Heteroscedasticity (QMACH)

Olarewaju, Odunayo Magret; Olasehinde, Timilehin John - In: EuroEconomica 36 (2017) 2, pp. 106-116

Persistent link: https://www.econbiz.de/10011798639

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

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

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