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Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54
using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …
Persistent link: https://www.econbiz.de/10010478989
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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A study of Shanghai fuel oil futures price volatility based on high frequency data : long-range dependence, modeling and forecasting
Liu, Li; Wan, Jieqiu - In: Economic modelling 29 (2012) 6, pp. 2245-2253
Persistent link: https://www.econbiz.de/10009673777
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Volatility modeling and forecasting of Istanbul Gold Exchange (IGE)
Gencer, Gaye Hatice; Musoglu, Zafer - In: International journal of financial research 5 (2014) 2, pp. 87-101
Persistent link: https://www.econbiz.de/10010442903
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Real-time forecast of DSGE models with time-varying volatility in GARCH form
Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10012800653
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Modeling and forecasting the electricity price in Iran using wavelet-based GARCH model
Pourghorban, Mojtaba; Mamipour, Siab - In: Iranian journal of economic studies : IJES 9 (2020) 1, pp. 233-260
Persistent link: https://www.econbiz.de/10012547083
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On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012517048
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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
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Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
-GARCH), and a detailed forecasting and backtesting investigation is performed. …
Persistent link: https://www.econbiz.de/10012591721
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Modelling and forecasting crude oil prices during COVID-19 Pandemic
Hendrawaty, Ernie; Azhar, Rialdi; Kesumah, Fajrin Satria Dwi - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 2, pp. 149-154
Persistent link: https://www.econbiz.de/10012608864