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Citations for "Generalized autoregressive conditional heteroskedasticity"

by Tim Bollerslev

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  1. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  2. Avdulaj, Krenar & Barunik, Jozef, 2015. "Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data," Energy Economics, Elsevier, vol. 51(C), pages 31-44.
  3. Lazarczyk, Ewa, 2015. "Private and Public Information on the Nordic Intra-Day Electricity Market," Working Paper Series 1064, Research Institute of Industrial Economics.
  4. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
  5. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
  6. 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.
  7. Sucarrat, Genaro & Grønneberg, Steffen, 2016. "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper 68931, University Library of Munich, Germany.
  8. Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  9. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  10. Chatrath, Arjun & Adrangi, Bahram & Allender, Mary, 2001. "The impact of margins in futures markets: evidence from the gold and silver markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(2), pages 279-294.
  11. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  12. Chia-Lin Chang & Michael McAleer & Christine Lim, 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE 2011-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  13. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
  14. Levent Korap, 2006. "An Analysis of Central Bank Interventions on Forex Market For The Post-Crisis Period," Working Papers 2006/4, Turkish Economic Association.
  15. Scott Moss & Bruce Edmonds, 2005. "Towards Good Social Science," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 8(4), pages 1-13.
  16. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  17. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, October.
  18. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing covariance stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  19. Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation for Research in Economics, Yale University.
  20. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
  21. Gunther Schnabl & Christina Ziegler, 2008. "Exchange Rate Regime and Wage Determination in Central and Eastern Europe," CESifo Working Paper Series 2471, CESifo Group Munich.
  22. Dipendra Sinha, 2007. "Effects of Volatility of Exports in the Philippines and Thailand," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 78-83, September.
  23. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series 99, National Centre for Econometric Research.
  24. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
  25. Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," APUNTES DE ECONOMÍA 009097, UNIVERSIDAD ICESI.
  26. Hanabusa, Kunihiro, 2010. "Effects of foreign disasters on the petroleum industry in Japan: A financial market perspective," Energy, Elsevier, vol. 35(12), pages 5455-5463.
  27. Delaigle, Aurore & Meister, Alexander & Rombouts, Jeroen, 2016. "Root-T consistent density estimation in GARCH models," Journal of Econometrics, Elsevier, vol. 192(1), pages 55-63.
  28. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets : A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland, Institute for Economies in Transition.
  29. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics.
  30. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
  31. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  32. Samih Antoine Azar, 2013. "Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 723-733.
  33. Stanislav Anatolyev & Stanislav Khrapov, 2015. "Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting," Econometrics, MDPI, Open Access Journal, vol. 3(3), pages 610-610, August.
  34. Geert J. Almekinders & Sylvester C. W. Eijffinger, 1992. "Daily Bundesbank and Federal Reserve intervention and the conditional variance tale in DM/$-returns," International Finance Discussion Papers 438, Board of Governors of the Federal Reserve System (U.S.).
  35. Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
  36. Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih, 2012. "On the valuation of reverse mortgages with regular tenure payments," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 430-441.
  37. Bernd Hayo & Ali Kutan & Matthias Neuenkirch, 2015. "Financial market reaction to Federal Reserve communications: Does the global financial crisis make a difference?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 185-203, February.
  38. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  39. Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47.
  40. Allan Timmermann, 1999. "Moments of Markov Switching Models," FMG Discussion Papers dp323, Financial Markets Group.
  41. Müller, Luisa & Schiereck, Dirk & Simpson, Marc W. & Voigt, Christian, 2009. "Daylight saving effect," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 127-138, April.
  42. El Hedi Arouri, Mohamed & Huong Dinh, Thanh & Khuong Nguyen, Duc, 2010. "Time-varying predictability in crude-oil markets: the case of GCC countries," Energy Policy, Elsevier, vol. 38(8), pages 4371-4380, August.
  43. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper Series 63_13, The Rimini Centre for Economic Analysis.
  44. Oberndorfer, Ulrich & Schmidt, Peter & Wagner, Marcus & Ziegler, Andreas, 2013. "Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms," Journal of Environmental Economics and Management, Elsevier, vol. 66(3), pages 497-509.
  45. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
  46. Ismail Orgakcioglu & Roy Batchelor, 2002. "Event-related GARCH: the impact of stock dividends in Turkey," Working Papers wp02-02, Warwick Business School, Finance Group.
  47. BAUWENS, Luc & ROMBOUTS, Jeroen VK, "undated". "Bayesian inference for the mixed conditional heteroskedasticity model," CORE Discussion Papers RP 1931, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  48. Söderlind, Paul, 2000. "Inflation Forecast Uncertainty," CEPR Discussion Papers 2499, C.E.P.R. Discussion Papers.
  49. Jon Danielsson & Bjørn N. Jorgensen & Sarma Mandira & Gennady Samorodnitsky & C. G. de Vries, 2005. "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics 24668, London School of Economics and Political Science, LSE Library.
  50. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  51. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011. "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series 1376, European Central Bank.
  52. Blake LeBaron, . "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
  53. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, vol. 64(2), pages 199-206, February.
  54. Döpke, Jörg & Pierdzioch, Christian, 1998. "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers 899, Kiel Institute for the World Economy (IfW).
  55. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic Correlation Across International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt6vn9q79w, Anderson Graduate School of Management, UCLA.
  56. Gianna Boero & Emanuela Marrocu, 2005. "Evaluating non-linear models on point and interval forecasts: an application with exchange rates," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 58(232), pages 91-120.
  57. Wu, Chunchi & Xu, Xiaoqing Eleanor, 2000. "Return Volatility, Trading Imbalance and the Information Content of Volume," Review of Quantitative Finance and Accounting, Springer, vol. 14(2), pages 131-153, March.
  58. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank, Research Centre.
  59. Hayo, Bernd & Kutan, Ali M., 2005. "IMF-related news and emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1126-1142, November.
  60. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
  61. Thomas Lux & Mawuli K. Segnon & Rangan Gupta, 2015. "Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data," Working Papers 201511, University of Pretoria, Department of Economics.
  62. Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers EI 2009-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  63. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, EconWPA.
  64. Shehata, Emad Abd Elmessih, 2003. "الآثار الإقتصادیة لهجرة العمالة المصریة إلى الخارج
    [The Economic Impacts for the Egyptian Labor Emigration]
    ," MPRA Paper 43419, University Library of Munich, Germany, revised Sep 2003.
  65. Eduardo Acosta González & Fernando Fernández Rodríguez & Jorge Pérez Rodríguez, 2002. "Volatility bias in the GARCH model: a simulation study," Documentos de trabajo conjunto ULL-ULPGC 2002-02, Facultad de Ciencias Económicas de la ULPGC.
  66. Withanawasam, R.M. & Whigham, P.A. & Crack, Timothy Falcon, 2013. "Characterizing limit order prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5346-5355.
  67. Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
  68. VAN BINH, Tu & DUMONT, Michel, 2008. "A fishing expedition in the Mekong Delta: Market volatility and price substitutes for Vietnamese fresh water fish," Working Papers 2008002, University of Antwerp, Faculty of Applied Economics.
  69. Woo, C.K. & Ho, T. & Zarnikau, J. & Olson, A. & Jones, R. & Chait, M. & Horowitz, I. & Wang, J., 2014. "Electricity-market price and nuclear power plant shutdown: Evidence from California," Energy Policy, Elsevier, vol. 73(C), pages 234-244.
  70. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
  71. Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2011. "Communication Matters: U.S. Monetary Policy and Commodity Price Volatility," MAGKS Papers on Economics 201105, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  72. Carlos Capistrán & Manuel Ramos Francia, 2007. "Does Inflation Targeting Affect the Dispersion of Inflation Expectations?," Working Papers 2007-11, Banco de México.
  73. repec:dau:papers:123456789/2603 is not listed on IDEAS
  74. Park, Beum-Jo, 2011. "Asymmetric herding as a source of asymmetric return volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2657-2665, October.
  75. Ibrahim, Mansor H. & Ahmed, Huson Joher Ali, 2014. "Permanent and transitory oil volatility and aggregate investment in Malaysia," Energy Policy, Elsevier, vol. 67(C), pages 552-563.
  76. Bai, Jushan & Chen, Zhihong, 2008. "Testing multivariate distributions in GARCH models," Journal of Econometrics, Elsevier, vol. 143(1), pages 19-36, March.
  77. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013. "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper Series 28_13, The Rimini Centre for Economic Analysis.
  78. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, EconWPA.
  79. Cüneyt Akar & Serkan Çiçek, 2016. "“New” monetary policy instruments and exchange rate volatility," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 141-165, February.
  80. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
  81. Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2013. "Federal Reserve financial crisis lending programs and bank stock returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3819-3829.
  82. Don Bredin & John Elder & Stilianos Fountas, 2010. "Oil Volatility and the Option Value of Waiting: An analysis of the G-7," Working Papers 201004, Geary Institute, University College Dublin.
  83. Christopher F Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephen, 2014. "Credit rating agency downgrades and the Eurozone sovereign debt crises," National Bank of Poland Working Papers 177, National Bank of Poland, Economic Institute.
  84. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
  85. Christian Bordes & Samuel Maveyraud, 2008. "The Friedman's and Mishkin's Hypotheses (Re)Considered," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308571, HAL.
  86. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
  87. Arturo Lorenzo Valdés & Ricardo Massa Roldán, 2013. "Measuring dependence in financial crisis: A copula approach for Mexico and Brazil," Economía Mexicana NUEVA ÉPOCA, , vol. 0(2), pages 341-355, July-Dece.
  88. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
  89. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  90. Lord, Dominique & Mannering, Fred, 2010. "The statistical analysis of crash-frequency data: A review and assessment of methodological alternatives," Transportation Research Part A: Policy and Practice, Elsevier, vol. 44(5), pages 291-305, June.
  91. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  92. LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," CORE Discussion Papers 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  93. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
  94. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  95. Nikkin L. Beronilla & Dennis S. Mapa, 2008. "Range-based models in estimating value-at-risk (VaR)," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 45(2), pages 87-99, December.
  96. Klaster, Michel A. & Knot, Klaas H. W., 2002. "Toward an econometric target zone model with endogenous devaluation risk for a small open economy," Economic Modelling, Elsevier, vol. 19(4), pages 509-529, August.
  97. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  98. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May.
  99. repec:ipg:wpaper:9 is not listed on IDEAS
  100. A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
  101. Loredana Ureche-Rangau & Fabien Collado & Ulysse Galiay, 2011. "The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets," Economics Bulletin, AccessEcon, vol. 31(3), pages 2569-2583.
  102. Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
  103. John Geweke & Gianni Amisano, 2007. "Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns," Working Papers 0705, University of Brescia, Department of Economics.
  104. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
  105. Zou, Yongjie & Li, Honggang, 2014. "Time spans between price maxima and price minima in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 303-309.
  106. Villalba Padilla, Fátima Irina & Flores-Ortega, Miguel, 2014. "Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volati," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 17(1), pages 3-22, June.
  107. Moschini, GianCarlo & Myers, Robert J., 2002. "Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 589-603, December.
  108. Carluccio Bianchi & Maria Elena De Giuli & Dean Fantazzini & Mario Maggi, 2011. "Small sample properties of copula-GARCH modelling: a Monte Carlo study," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1587-1597.
  109. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 3-3, January.
  110. Feng, Yuanhua, 2004. "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, vol. 20(03), pages 563-596, June.
  111. Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012. "Identifying time variability in stock and interest rate dependence," Discussion Papers 24/2012, Deutsche Bundesbank, Research Centre.
  112. LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
  113. Charle Augusto Londoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109.
  114. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2003. "The economic value of volatility timing using "realized" volatility," Journal of Financial Economics, Elsevier, vol. 67(3), pages 473-509, March.
  115. John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
  116. Lucas, André & Zhang, Xin, 2015. "Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting," Working Paper Series 309, Sveriges Riksbank (Central Bank of Sweden).
  117. Eleanor Doyle, 2001. "Exchange rate volatility and Irish-UK trade, 1979-1992," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 249-265.
  118. Beaulieu, Marie-Claude, 1998. "Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 177-195, September.
  119. Enric Valor & Hipòlit Torró & Vicente Meneu, 2001. "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC 2001-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  120. António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
  121. Mauro Bernardi & Leopoldo Catania, 2016. "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, vol. 31(2), pages 579-608, June.
  122. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Amaral, Teodosio Perez, 2013. "The rise and fall of S&P500 variance futures," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 151-167.
  123. Lehar, Alfred & Scheicher, Martin & Schittenkopf, Christian, 2002. "GARCH vs. stochastic volatility: Option pricing and risk management," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 323-345, March.
  124. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  125. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.
  126. Sheriffdeen A. Tella & Olumuyiwa G. Yinusa & Ayinde Taofeek Olusola & Saban Celik, 2011. "Global Economic Crisis And Stock Markets Efficiency: Evidence From Selected Africa Countries," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 25(1), pages 139-169.
  127. Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
  128. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  129. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
  130. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance 691, Stockholm School of Economics.
  131. Dannemann, Tebbe & Prehn, Soren & Brümmer, Bernhard, 2014. "Optionshandel Und Maispreisvolatilitat: Does the Tail Wag the Dog?," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187371, German Association of Agricultural Economists (GEWISOLA).
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