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23 ta ish

Ish: Stochastic Volatility Models with Endogenous Breaks in Volatility Forecasting

  1. Generalized autoregressive conditional heteroskedasticity

    Tim Bollerslev

    MaqolaOchiq kirish198616 iqtibos
    ABI

  2. Conditional Heteroskedasticity in Asset Returns: A New Approach

    Daniel B. Nelson

    Maqola19918 iqtibos
    ABI

  3. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

    Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle

    MaqolaOchiq kirish19935 iqtibos
    ABI

  4. THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*

    Lutz Kilian, Cheolbeom Park

    Maqola20094 iqtibos
    ABI

  5. Persistence in Variance, Structural Change, and the GARCH Model

    Christopher G. Lamoureux, William D. Lastrapes

    Maqola19903 iqtibos
    ABI

  6. The Model Confidence Set

    MaqolaOchiq kirish20113 iqtibos
    ABI

  7. Structural breaks and GARCH models of exchange rate volatility

    David E. Rapach, Jack Strauss

    Maqola20083 iqtibos
    ABI

  8. Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions

    Akram Shavkatovich Hasanov, Wai Ching Poon, Ajab A. Alfreedi +1

    Maqola20183 iqtibos
    ABI

  9. Forecasting volatility in the petroleum futures markets: A re-examination and extension

    Akram Shavkatovich Hasanov, Mohammed Sharaf Shaiban, Ajab A. Alfreedi

    Maqola20203 iqtibos
    ABI

  10. A New Approach to Markov-Switching GARCH Models

    Markus Haas

    MaqolaOchiq kirish20042 iqtibos
    ABI

  11. Forecasting petroleum futures markets volatility: The role of regimes and market conditions

    Nikos K. Nomikos, Panos K. Pouliasis

    Maqola20102 iqtibos
    ABI

  12. Modeling and forecasting petroleum futures volatility

    Perry Sadorsky

    Maqola20062 iqtibos
    ABI

  13. Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions

    I-Yuan Chuang, Jin‐Ray Lu, Pei‐Hsuan Lee

    Maqola20072 iqtibos
    ABI

  14. Selection of estimation window in the presence of breaks

    M. Hashem Pesaran, Allan Timmermann

    Maqola20062 iqtibos
    ABI

  15. Multivariate Stochastic Variance Models

    Andrew Harvey, Esther Ruiz, Neil Shephard

    MaqolaOchiq kirish19942 iqtibos
    ABI

  16. Forecasting crude-oil market volatility: Further evidence with jumps

    Amélie Charles, Olivier Darné

    MaqolaOchiq kirish20172 iqtibos
    ABI

  17. Forecasting risk with Markov-switching GARCH models:A large-scale performance study

    David Ardia, Keven Bluteau, Kris Boudt +1

    MaqolaOchiq kirish20182 iqtibos
    ABI

  18. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  19. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  20. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  21. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  22. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  23. Sarlavhasiz

    Boshqa1 iqtibos
    ABI