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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?
Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645
Persistent link: https://www.econbiz.de/10012415313
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Range-based volatility forecasting : a multiplicative component conditional autoregressive range model
Xie, Haibin - In: Journal of risk 22 (2019/2020) 5, pp. 43-65
Persistent link: https://www.econbiz.de/10012421687
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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Stock market volatility modeling and forecasting with a special reference to BSE sensex
Malepati, Venkataramanaiah; Challa, Madhavi Latha; … - In: Research in finance 35 (2019), pp. 105-118
Persistent link: https://www.econbiz.de/10012228119
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Modeling time-varying coffee price volatility in Ethiopia
Abebe, Teshome Hailemeskel - In: Journal of applied economics 23 (2020) 1, pp. 497-518
Recently, modeling and forecasting of high-frequency data (such as daily price) volatility using GARCH-MIDAS attract …
Persistent link: https://www.econbiz.de/10012304625
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Out-of-sample forecasting of the Canadian unemployment rates using univariate models
Jaffur, Zameelah Rifkha Khan; Sookia, Noor Ul Hacq; … - In: Applied economics letters 24 (2017) 13/15, pp. 1097-1101
Persistent link: https://www.econbiz.de/10011716657
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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Forecasting stock volatility using after-hour information : evidence from the Australian Stock Exchange
Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 52 (2016), pp. 592-608
Persistent link: https://www.econbiz.de/10011642932
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An empirical evaluation in GARCH volatility modeling : evidence from the Stockholm stock exchange
Dritsaki, Chaido - In: Journal of mathematical finance 7 (2017) 2, pp. 366-390
Persistent link: https://www.econbiz.de/10011673942