Results 171 to 180 of about 1,114 (191)

Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Finance Research Letters, 2020
Zhongbao Zhou, Ximei Zeng
exaly  

Augmented GARCH (p,q) process and its diffusion limit

Journal of Econometrics, 1997
Jin-Chuan Duan
exaly  

Comprehensive evaluation of ARMA–GARCH(-M) approaches for modeling the mean and volatility of wind speed

Applied Energy, 2011
Ergin Erdem
exaly  

Closing the GARCH gap: Continuous time GARCH modeling

Journal of Econometrics, 1996
Feike C Drost, Bas J M Werker
exaly  

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Bernoulli, 2004
Jean-Michel Zakoïan
exaly  

Empirical investigation on modeling solar radiation series with ARMA–GARCH models

Energy Conversion and Management, 2015
Huaiwei Sun, Dong Yan, Jianzhong Zhou
exaly  

Additive outliers, GARCH and forecasting volatility

International Journal of Forecasting, 1999
Philip Hans Franses
exaly  

Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time‐varying beta

Journal of Forecasting, 2008
Taufiq Choudhry
exaly  

REIT volatility prediction for skew-GED distribution of the GARCH model

Expert Systems With Applications, 2010
Yen-Hsien Lee
exaly  

Improving GARCH volatility forecasts with regime-switching GARCH

Empirical Economics, 2002
Franc Klaassen, Klaassen Franc
exaly