Results 211 to 220 of about 3,586 (227)

Portfolio optimization based on GARCH-EVT-Copula forecasting models

International Journal of Forecasting, 2018
Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark   +2 more
exaly  

BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY

Journal of Economic Surveys, 2015
Audrone Virbickaite, M Concepción Ausin, Pedro Galeano   +2 more
exaly  

Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?

International Review of Economics and Finance, 2019
Yue-Jun Zhang, Ting Yao, Ling-Yun He
exaly  

Can GARCH-class models capture long memory in WTI crude oil markets?

Economic Modelling, 2011
Yudong Wang, Chongfeng Wu
exaly  

Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries

International Journal of Forecasting, 2005
Valentina Corrádi
exaly  

International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models

Energy Economics, 2010
Hassan Mohammadi
exaly  

Asymmetry and leverage in GARCH models: a News Impact Curve perspective

Applied Economics, 2019
Massimiliano Caporin, Michele Costola
exaly  

Multivariate GARCH Modeling

2006
openaire   +1 more source

Parameter change tests for ARMA–GARCH models

Computational Statistics and Data Analysis, 2018
Junmo Song, Jiwon Kang
exaly  

Multivariate GARCH Modeling

2007
openaire   +1 more source