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Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
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Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143
Persistent link: https://www.econbiz.de/10010205105
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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Modeling volatility and dependence of European carbon and energy prices
Berrisch, Jonathan; Pappert, Sven; Ziel, Florian; … - In: Finance research letters 52 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014471974
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Improve volatility forecasting with realized semivariance-evidences from intra-day large data sets in Chinese
Yin, Lianqian; Liu, Bo; Du, Zhen - In: International journal of economics and finance 6 (2014) 12, pp. 64-70
Persistent link: https://www.econbiz.de/10010460882
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Robust value-at-risk forecasting of Karachi Stock Exchange
Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146
Persistent link: https://www.econbiz.de/10011748632
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Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances
Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51
Persistent link: https://www.econbiz.de/10011511029
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042