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The volatility model of the ASEAN stock indexes

Singagerda, Faurani Santi; Septarina, Linda; Sanusi, Anuar - In: Investment management and financial innovations 16 (2019) 1, pp. 226-238

Persistent link: https://www.econbiz.de/10012056146

Volatility effects of index trading and spillovers on US agricultural futures markets : a multivariate GARCH approach

Sanjuán-López, Ana I.; Dawson, Philip J. - In: Journal of agricultural economics 68 (2017) 3, pp. 822-838

Persistent link: https://www.econbiz.de/10011949368

Volatility modeling with leverage effect under laplace errors

Jiang, Zhengjun; Xia, Weixuan - In: Journal of time series econometrics 10 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011817685

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011903723

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866

Persistent link: https://www.econbiz.de/10011860776

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

Persistent link: https://www.econbiz.de/10011866456

Does the assumption on innovation process play an important role for filtered historical simulation model?

Altun, Emrah; Tatlidil, Huseyin; Ozel, Gamze; … - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-13

Most of the financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et al. (1999) theoretically and empirically. The main goal...

Persistent link: https://www.econbiz.de/10011855007

Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

Persistent link: https://www.econbiz.de/10012160811

Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach

Shanthi, A.; Thamilselvan, R. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 4, pp. 363-380

Persistent link: https://www.econbiz.de/10012153148

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