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Identification of long memory in GARCH models
Statistical Methods and Applications, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimating yield spreads volatility using GARCH-type models
North American Journal of Economics and Finance, 2021Hojin Jung, Jong-Min Kim
exaly
2006
A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
openaire +2 more sources
A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
openaire +2 more sources
Stacking hybrid GARCH models for forecasting Bitcoin volatility
Expert Systems With Applications, 2021Serkan Aras
exaly
Empirical investigation on modeling solar radiation series with ARMA–GARCH models
Energy Conversion and Management, 2015Jianzhong Zhou, Huaiwei Sun
exaly