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A conditional autoregressive r...
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41
Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel
-
2020
Persistent link: https://www.econbiz.de/10012488824
Saved in:
42
Jumps and
volatility
dynamics in agricultural commodity spot prices
Boroumand, Raphaël Homayoun
;
Goutte, Stéphane
; …
- In:
Applied economics
49
(
2017
)
40
,
pp. 4035-4054
Persistent link: https://www.econbiz.de/10011820009
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43
Modelling the
volatility
of Bitcoin returns using GARCH models
Gyamerah, Samuel Asante
- In:
Quantitative finance and economics
3
(
2019
)
4
,
pp. 739-753
Persistent link: https://www.econbiz.de/10012176663
Saved in:
44
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
45
Conditional Autoregressive Range (
CARR
) based
volatility
spillover index for the Eurozone markets
Bayraci, Selcuk
;
Demiralay, Sercan
- In:
The empirical economics letters : a monthly …
13
(
2014
)
6
,
pp. 595-603
Persistent link: https://www.econbiz.de/10010519718
Saved in:
46
A new variant of RealGARCH for
volatility
modeling
Xie, Haibin
;
Qi, Nan
;
Wang, Shouyang
- In:
Finance research letters
28
(
2019
),
pp. 438-443
Persistent link: https://www.econbiz.de/10012388363
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47
Measuring and comparing the value-at-risk using GARCH and
CARR
models for CSI 300 index
Wu, Chunchou
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
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48
Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya
-
2014
Persistent link: https://www.econbiz.de/10010516044
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49
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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50
Volatility
smile interpolation with radial basis functions
Azemtsa Donfack, Hermann
;
Wafo Soh, Celestin
;
Kotze, Antonie
- In:
International journal of theoretical and applied …
25
(
2022
)
7/8
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014235131
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