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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Volatility modeling and dependence structure of ESG and conventional investments
Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25
, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail … financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …
Persistent link: https://www.econbiz.de/10012805838
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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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A time series analysis of major indexes using GARCH model with regime shifts
Hassan, S. Aun - In: International journal of financial research 8 (2017) 4, pp. 127-133
Persistent link: https://www.econbiz.de/10011782425
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Mean and variance equation dynamics : time deformation, GARCH, and a robust analysis of the London housing market
Cook, Steve; Watson, Duncan - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 304-318
Persistent link: https://www.econbiz.de/10011960361
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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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Measuring volatility in the Indian commodity futures
Kirithiga, S.; Naresh, G.; Thiyagarajan, S. - In: International journal of bonds and derivatives 3 (2017) 3, pp. 253-274
Persistent link: https://www.econbiz.de/10011875999
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Asymptotic properties of GARCH-X processes
Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10011334332