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A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Citations

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Cited by:

  1. Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
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  6. Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
  7. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
  8. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
  9. N. Antonakakis & J. Darby, 2013. "Forecasting volatility in developing countries' nominal exchange returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1675-1691, November.
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  11. Neenu Chalissery & Suhaib Anagreh & Mohamed Nishad T. & Mosab I. Tabash, 2022. "Mapping the Trend, Application and Forecasting Performance of Asymmetric GARCH Models: A Review Based on Bibliometric Analysis," JRFM, MDPI, vol. 15(9), pages 1-23, September.
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  14. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
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  16. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
  17. Jonas Rothfuss & Fabio Ferreira & Simon Walther & Maxim Ulrich, 2019. "Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks," Papers 1903.00954, arXiv.org, revised Apr 2019.
  18. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
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  21. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  22. Miazhynskaia, Tatiana & Fruhwirth-Schnatter, Sylvia & Dorffner, Georg, 2006. "Bayesian testing for non-linearity in volatility modeling," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2029-2042, December.
  23. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2021. "A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance," Mathematics, MDPI, vol. 9(9), pages 1-28, May.
  24. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
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  29. Ismaila Y. Jammeh & Federico Giri & Alberto Russo, 2026. "Breaking the Dynastic Cycle: Inequality, Taxation, and Redistribution," Working Papers 505, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  30. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.).
  31. Xi, Yanhui & Peng, Hui & Qin, Yemei & Xie, Wenbiao & Chen, Xiaohong, 2015. "Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 117(C), pages 141-153.
  32. Andreas Brunhart, 2014. "Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(3), pages 161-190, September.
  33. repec:ebl:ecbull:v:3:y:2008:i:68:p:1-20 is not listed on IDEAS
  34. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
  35. Chris Brooks, 2005. "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 399-421.
  36. Altaf Muhammad & Zhang Shuguang, 2015. "Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets," Romanian Statistical Review, Romanian Statistical Review, vol. 63(1), pages 57-70, March.
  37. Dinghai Xu & Tony S. Wirjanto, 2008. "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers 08008, University of Waterloo, Department of Economics.
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  40. Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
  41. Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
  42. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-544, National Bureau of Economic Research, Inc.
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  44. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
  45. Turan Bali, 2007. "Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions," Annals of Operations Research, Springer, vol. 151(1), pages 151-178, April.
  46. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
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  48. Yaganti, C Hussain, 2018. "An analysis of time to maturity and volume effects on futures returns volatility: Agricultural commodity Futures Markets," Indian Journal of Agricultural Marketing, Indian Society of Agricultural Marketing, vol. 32(2).
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  50. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
  51. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023. "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
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