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Specification tests for nonlinear dynamic models
Kheifets, Igor L. - In: The econometrics journal 18 (2015) 1, pp. 67-94
Persistent link: https://www.econbiz.de/10011345998
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Bayesian inference methods for univariate and multivariate Garch models : a survey
Virbickaite, Audrone; Ausin, M. Concepción; Galeano, Pedro - In: Journal of economic surveys 29 (2015) 1, pp. 76-96
Persistent link: https://www.econbiz.de/10011381831
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Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
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Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series
Kömm, Holger; Küsters, Ulrich - In: International journal of forecasting 31 (2015) 3, pp. 598-608
Persistent link: https://www.econbiz.de/10011474425
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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Testing causality between two vectors in multivariate GARCH models
Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894
Persistent link: https://www.econbiz.de/10011474616
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The volatility of Romanian exchange rate : a GARCH approach
Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99
Persistent link: https://www.econbiz.de/10011411168
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337
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Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro - In: International journal of forecasting 37 (2021) 4, pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
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Self-weighted LSE and residual-based QMLE of ARMA-GARCH models
Ling, Shiqing; Zhu, Ke - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...
Persistent link: https://www.econbiz.de/10012888234