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Nakajima, Jouchi - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10009564869

A switching ARCH (SWARCH) model of stock market volatility : some evidence from Latin America

Canarella, Giorgio; Pollard, Stephen K. - In: International review of economics : journal of civil economy 54 (2007) 4, pp. 445-462

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Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets

Changqing, Luo; Chi, Xie; Cong, Yu; Yan, Xu - In: Economic modelling 51 (2015), pp. 657-671

Persistent link: https://www.econbiz.de/10011476241

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Monetary shocks, equity returns and volatility : a firm-level panel data analysis

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Persistent link: https://www.econbiz.de/10011412709

The non-linear trade-off between return and risk : a regime-switching multi-factor framework

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Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011297653

Estimating value-a-risk via Markov switching ARCH models : an empirical study on stock index returns

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Persistent link: https://www.econbiz.de/10002195609

Volatility estimation via hidden Markov models

Rossi, Alessandro; Gallo, Giampiero M. - In: Journal of empirical finance 13 (2006) 2, pp. 203-230

Persistent link: https://www.econbiz.de/10003296949

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of econometrics 122 (2004) 1, pp. 185-212

Persistent link: https://www.econbiz.de/10002136532