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Strategic asset allocation and Markov Regime Switch with GARCH

Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10009776452

Volatility estimation for cryptocurrencies using Markov-switching GARCH models

Silva, Paulo Vitor Jordão da Gama; Klotzle, Marcelo Cabus - In: International Journal of Financial Markets and … 7 (2019) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012253524

Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

Persistent link: https://www.econbiz.de/10011882344

Modelling and forecasting long memory time series with exponential and switching GARCH models

Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425

Persistent link: https://www.econbiz.de/10012155069

Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

Persistent link: https://www.econbiz.de/10011995757

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Volatility regimes of selected central European stock returns : a Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894

the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the …-GJR-GARCH) were estimated in order to examine the volatility switches of the Central European transition stock markets. The t …-distribution of error terms was used to capture the dynamics of analysed returns more precisely. The results proved high volatility …

Persistent link: https://www.econbiz.de/10013499116

S&P 500 volatility, volatility regimes, and economic uncertainty

Adrangi, Bahram; Chatrath, Arjun; Raffiee, Kambiz - In: Bulletin of economic research 75 (2023) 4, pp. 1362-1387

Persistent link: https://www.econbiz.de/10014436045

Short-time near-the-money skew in rough fractional volatility models

Bayer, Christian; Friz, Peter K.; Gulisashvili, Archil; … - In: Quantitative finance 19 (2019) 5, pp. 779-798

Persistent link: https://www.econbiz.de/10012194716

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317