Results 111 to 120 of about 1,916 (133)

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices.
openaire   +2 more sources

Persistence in Variance, Structural Change, and the GARCH Model

Journal of Business and Economic Statistics, 1990
William D Lastrapes
exaly  

Bitcoin, gold and the dollar – A GARCH volatility analysis

Finance Research Letters, 2016
Anne Haubo Dyhrberg
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, Ling-Yun He
exaly  

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

Journal of Econometrics, 1997
Jin-Chuan Duan
exaly  

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Bernoulli, 2004
Christian Francq, Jean-Michel Zakoian
exaly  

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

Energy Conversion and Management, 2015
Huaiwei Sun
exaly  

Additive outliers, GARCH and forecasting volatility

International Journal of Forecasting, 1999
Philip Hans Franses
exaly