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Citations for "Improving Garch Volatility Forecasts"

by Klaassen, F.J.G.M.

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  1. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques.
  2. Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012. "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, vol. 29(6), pages 2435-2443.
  3. Franc Klaassen, 2005. "Long Swings in Exchange Rates: Are They Really in the Data?," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 87-95, January.
  4. Brandner, Peter & Grech, Harald & Stix, Helmut, 2006. "The effectiveness of central bank intervention in the EMS: The post 1993 experience," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 580-597, June.
  5. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Krämer, Walter, 2006. "Long memory with Markov-Switching GARCH," Technical Reports 2006,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  7. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Society for Computational Economics, vol. 39(3), pages 259-287, March.
  8. Michael Frömmel, 2010. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
  9. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers 2004,05, Christian-Albrechts-University of Kiel, Department of Economics.
  10. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
  11. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  12. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
  13. Klaassen, F.J.G.M., 1999. "Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model," Discussion Paper 1999-10, Tilburg University, Center for Economic Research.
  14. Azamo, Baudouin Tameze & Krämer, Walter, 2006. "Structural Change and long memory in the GARCH(1,1)-model," Technical Reports 2006,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  15. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  16. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
  17. Francq, Christian & ZakoI¨an, Jean-Michel, 2008. "Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3027-3046, February.
  18. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.