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A Markov regime switching appr...
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Modeling of stock indices with HMM-SV models
Nkemnole, E. B.
;
Wulu, J. T.
- In:
Theoretical and applied economics : GAER review
24
(
2017
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10011795001
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Volatility
estimation using a rational GARCH model
Takaishi, Tetsuya
- In:
Quantitative finance and economics
2
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
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2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Leverage effects and stochastic
volatility
in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
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Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
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Improving the asymmetric stochastic
volatility
model with ex-post
volatility
: the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
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Quantitative finance
23
(
2023
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1
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pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
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Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem
;
Farid, Daryush
;
Peymany, Moslem
; …
- In:
Iranian journal of finance
7
(
2023
)
3
,
pp. 1-24
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An empirical application of a stochastic
volatility
model with GH skew Student's t-distribution to the
volatility
of Latin-American stock returns
Lengua Lafosse, Patricia
;
Rodriguez, Gabriel
- In:
The quarterly review of economics and finance : journal …
69
(
2018
),
pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
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Forecasting methods for safeguarding ASEAN-5 stock exchanges during extreme
volatility
Chukiat Chaiboonsri
;
Prasert Chaitip
- In:
International journal of trade and global markets
10
(
2017
)
1
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pp. 123-130
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