Results 111 to 120 of about 3,916 (205)

Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]

Ann Oper Res, 2023
Candila V, Gallo GM, Petrella L.
europepmc   +1 more source

Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework. [PDF]

Entropy (Basel), 2022
Ou J, Huang X, Zhou Y, Zhou Z, Nie Q.
europepmc   +1 more source

Modelos de aprendizaje automático y de volatilidad condicional en la predicción de la volatilidad del Índice S&P/BVL Peru General

Quipukamayoc
Objetivo: Evaluar la eficacia de los modelos de aprendizaje profundo y sus extensiones con los modelos de volatilidad condicional en la predicción de la volatilidad del Índice S&P/BVL Peru General.
Abraham Puente De La Vega Caceres
doaj   +1 more source

The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence from S&P500 Index Volatility

The Lahore Journal of Business, 2012
This article studies the ability of the GARCH family of models to accurately forecast the volatility of S&P500 stock index returns across the financial crisis that affected markets in 2003–07.
Mahreen Mahmud
doaj  

A model-free approach to do long-term volatility forecasting and its variants. [PDF]

Financ Innov, 2023
Wu K, Karmakar S.
europepmc   +1 more source

Evaluating exponential GARCH models [PDF]

In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing ...
Malmsten, Hans
core  

Dynamic Returns Linkages and Volatility Transmission between South African and World Major Stock Markets [PDF]

This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 199-2007. Also analysed is the nature of volatility, the long term trend of volatility and
M.J. Aziakpono, Z. Chinzara
core   +1 more source

Do commodity assets hedge uncertainties? What we learn from the recent turbulence period? [PDF]

Ann Oper Res, 2022
Hasan MB, Hossain MN, Junttila J, Uddin GS, Rabbani MR.   +4 more
europepmc   +1 more source

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns [PDF]

This paper models different components of the return distribution which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components.
John M. Maheu, Thomas H. McCurdy
core