Similar Search Results

On the volatility of cryptocurrencies

Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022

Persistent link: https://www.econbiz.de/10012938838

Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension

Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819431

Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model

Tan, Chia-Yen; Koh, You-Beng; Ng, Kok-Haur; Ng, Kooi-Huat - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821468

Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?

Lin, Ling; Zhou, Zhongbao; Jiang, Yong; Ou, Yangchen - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012822126

Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks

Segnon, Mawuli; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10012800652

A three-tiered nested analytical approach to financial integration : the case of emerging and frontier equity markets

Cagliesi, Gabriella; Guidi, Francesco - In: International review of financial analysis 74 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10012803928

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Hansen, Peter Reinhard - 2018

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov …

Persistent link: https://www.econbiz.de/10012919202

A New Approach to Volatility Modeling : The High-Dimensional Markov Model

Augustyniak, Maciej - 2018

A new model - the factorial hidden Markov volatility (FHMV) model - is proposed for financial returns and their latent … variances. It is also applicable to model directly realized variances. Volatility is modeled as a product of three components: a … Markov chain driving volatility persistence, an independent discrete process capable of generating jumps in the volatility …

Persistent link: https://www.econbiz.de/10012923745

Realized volatility forecasting : Robustness to measurement errors

Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57

Persistent link: https://www.econbiz.de/10012692572

Forecasting crude oil price volatility via a HM-EGARCH model

Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012512591