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A multivariate conditional autoregressive range model

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  • Fernandes, Marcelo
  • de Sa Mota, Bernardo
  • Rocha, Guilherme

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  • Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March.
    • Handle: RePEc:eee:ecolet:v:86:y:2005:i:3:p:435-440
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    15. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
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    Cited by:

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    2. Angela He & Alan Wan, 2009. "Predicting daily highs and lows of exchange rates: a cointegration analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(11), pages 1191-1204.
    3. He, Angela W.W. & Kwok, Jerry T.K. & Wan, Alan T.K., 2010. "An empirical model of daily highs and lows of West Texas Intermediate crude oil prices," Energy Economics, Elsevier, vol. 32(6), pages 1499-1506, November.
    4. Xiong, Tao & Li, Chongguang & Bao, Yukun, 2017. "Interval-valued time series forecasting using a novel hybrid HoltI and MSVR model," Economic Modelling, Elsevier, vol. 60(C), pages 11-23.
    5. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    6. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A high-low model of daily stock price ranges," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 103-119.
    7. Piotr Fiszeder, 2018. "Low and high prices can improve covariance forecasts: The evidence based on currency rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 641-649, September.
    8. Chou, Ray Yeutien & Liu, Nathan, 2010. "The economic value of volatility timing using a range-based volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2288-2301, November.
    9. Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    10. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    11. Lakshmi Padmakumari & S. Maheswaran, 2018. "Covariance estimation using random permutations," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-21, March.
    12. Lee, O. & Shin, D.W., 2008. "Geometric ergodicity and [beta]-mixing property for a multivariate CARR model," Economics Letters, Elsevier, vol. 100(1), pages 111-114, July.
    13. Reboredo, Juan C., 2014. "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, vol. 36(C), pages 229-234.
    14. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
    15. Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker, 2016. "Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 113-146, March.
    16. Wu, Xinyu & Yin, Xuebao & Umar, Zaghum & Iqbal, Najaf, 2023. "Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

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