Results 91 to 100 of about 4,724 (162)
A model-free approach to do long-term volatility forecasting and its variants. [PDF]
Financ Innov, 2023 Wu K, Karmakar S.
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Modelling Volatility by Variance Decomposition [PDF]
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type.
Cristina Amado, Timo Teräsvirta
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When the market got the first dose: Stock volatility and vaccination campaign in COVID-19 period. [PDF]
Heliyon, 2023 To BCN, Nguyen BKQ, Nguyen TVT.
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"Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings" [PDF]
Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of major concern for the international financial community.
Felix Chan +2 more
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Revista de Métodos Cuantitativos para la Economía y la Empresa, 2018 Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of
El Jebari, Ouael , Hakmaoui, Abdelati
doaj
Do commodity assets hedge uncertainties? What we learn from the recent turbulence period? [PDF]
Ann Oper Res, 2022 Hasan MB +4 more
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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
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The effect of realised volatility on stock returns risk estimates [PDF]
In this paper, we estimate minimum capital risk requirements for short, long positions and three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility
Aurea Grane, Helena Veiga
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COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 Bouteska A, Sharif T, Abedin MZ.
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