Results 191 to 200 of about 5,743 (206)

Forecasting rate of return after extreme values when using AR- t -GARCH and QAR-Beta- t -EGARCH

Finance Research Letters, 2018
Szabolcs Blazsek
exaly  

A differential harmony search based hybrid interval type2 fuzzy EGARCH model for stock market volatility prediction

International Journal of Approximate Reasoning, 2015
Rajashree Dash, Ranjeeta Bisoi
exaly  

Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?

Applied Economics, 2015
Szabolcs Blazsek
exaly  

QARMA-Beta-t-EGARCH versus ARMA-GARCH: an application to S&P 500

Applied Economics, 2016
Szabolcs Blazsek
exaly  

Goodness-of-fit tests for Log-GARCH and EGARCH models

Test, 2016
Christian Francq, Jean-Michel Zakoïan, Olivier Wintenberger   +2 more
exaly  

On periodic EGARCH models

Communications in Statistics Part B: Simulation and Computation, 2022
exaly  

Asymptotic Normality of the QMLEs in the EGARCH(1,1) Model

SSRN Electronic Journal, 2013
Antonis Demos, Dimitra Kyriakopoulou
openaire   +1 more source

Day-ahead electricity price forecasting using WT, CLSSVM and EGARCH model

International Journal of Electrical Power and Energy Systems, 2013
Zhongfu Tan
exaly  

Range-Based EGARCH Option Pricing Models

SSRN Electronic Journal, 2023
openaire   +1 more source

Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices

Physica A: Statistical Mechanics and Its Applications, 2008
Yi-Hsien Wang
exaly