Comparing COVID-19 with the GFC: A shockwave analysis of currency markets. [PDF]
Res Int Bus Finance, 2021 Gunay S.
europepmc +1 more source
Time series properties of ARCH processes with persistent covariates [PDF]
We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates affect various characteristics of volatility.
Han, Heejoon, Park, Joon Y.
core +1 more source
Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies. [PDF]
Front Appl Math StatSubramoney SD, Chinhamu K, Chifurira R.
europepmc +1 more source
Modelling stock market data in China: Crisis and Coronavirus. [PDF]
Financ Res Lett, 2021 Cristofaro L +3 more
europepmc +1 more source
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models [PDF]
Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established.
Paolo Zaffaroni, Peter M Robinson
core
Long Memory in LME Volatility through the ARFIMA and FIGARCH Model
Korean Journal of Financial Engineering, 2016 null Jaehwan Park, null 김현숙
openaire +1 more source
On the Forecasting Accuracy of Multivariate GARCH Models [PDF]
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems.
Francesco Violante +2 more
core
Stock Market Volatility and Return Analysis: A Systematic Literature Review. [PDF]
Entropy (Basel), 2020 Bhowmik R, Wang S.
europepmc +1 more source
Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches [PDF]
In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of GARCH-type and stochastic volatility ...
Aurea Grane, Helena Veiga
core
Market-crash forecasting based on the dynamics of the alpha-stable distribution. [PDF]
Physica A, 2020 Molina-Muñoz J +2 more
europepmc +1 more source