Similar Search Results

A coupled component GARCH model for intraday and overnight volatility

Linton, Oliver; Wu, Jianbin - 2018

Persistent link: https://www.econbiz.de/10012671142

A coupled component DCS-EGARCH model for intraday and overnight volatility

Linton, Oliver; Wu, Jianbin - In: Journal of econometrics 217 (2020) 1, pp. 176-201

Persistent link: https://www.econbiz.de/10012482745

Bitcoin returns and risk : a general GARCH and GAS analysis

Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193

Persistent link: https://www.econbiz.de/10012420417

Selection of value at risk models for energy commodities

Laporta, Alessandro G.; Merlo, Luca; Petrella, Lea - In: Energy economics 74 (2018), pp. 628-643

Persistent link: https://www.econbiz.de/10011972948

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …-type models. Notably, GAS-family models exhibit superior performance in terms of in-sample fit, out-of-sample forecast accuracy …

Persistent link: https://www.econbiz.de/10014252427

CO2 emission allowances risk prediction with gas and GARCH models

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Computational economics 61 (2023) 2, pp. 775-805

Persistent link: https://www.econbiz.de/10014228462

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored which model specification and distributional...

Persistent link: https://www.econbiz.de/10015050054

Forecasting renminbi quotes in the revised Chinese FX market : can we get implications for the onshore/offshore spread-behaviour?

Spreckelsen, Christian von; Kunze, Frederik; Windels, … - In: International journal of economic policy in emerging … 7 (2014) 1, pp. 66-76

Persistent link: https://www.econbiz.de/10010413320

GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks

Buczyński, Mateusz; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012795155

Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market

Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - In: International journal of computational economics and … 13 (2023) 4, pp. 446-489

Persistent link: https://www.econbiz.de/10014439728