Forecasting volatility: does continuous time do better than discrete time? [PDF]
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
core
, 2020 Bu çalışmada ,Risk hesaplamada kullanılan alternatif metodlar karşılaştırılmış ve IMKB 30 hisselerini içeren bir portföy belirli bir risk düzeyinde maximum getir sağlamasın için portföy oluşturan hisse senetlerinin hangi oranda dağıtılması gerektiğinin hesaplaması yapılmıştır.
openaire +1 more source
"On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models" [PDF]
Non-linear time series models, especially regime-switching models, have become increasingly popular in the economics, finance and financial econometrics literature.
Felix Chan, Michael McAleer
core
STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US [PDF]
We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US.
Giorgio Busetti, Matteo Manera
core
Sensitivity analysis of volatility: a new tool for risk management [PDF]
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models.
Ceci, Vladimiro +2 more
core
Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models
Lahore Journal of EconomicsIn this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan.
G.R. Pasha, Tahira Qasim, Muhammad Aslam
doaj
Asymmetric GARCH and the financial crisis: a preliminary study [PDF]
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility.
Baumöhl, Eduard, Výrost, Tomáš
core +1 more source
Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models. [PDF]
Sci RepDagnew GA, Alamneh BW, Hailu WG.
europepmc +1 more source
Dynamic Analysis of the Insurance Linked Securities Index [PDF]
This paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial ...
Dominique Guegan, Mathieu Gatumel
core
On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]
PLoS OneManzli YS +4 more
europepmc +1 more source