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23 ta ish

Ish: Stochastic Volatility Models with Endogenous Breaks in Volatility Forecasting

  1. Generalized autoregressive conditional heteroskedasticity

    Tim Bollerslev

    Maqola198611 iqtibos
    ABI

  2. Conditional Heteroskedasticity in Asset Returns: A New Approach

    Daniel B. Nelson

    Maqola19917 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

    Maqola19934 iqtibos
    ABI

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

    Christopher G. Lamoureux, William D. Lastrapes

    Maqola19903 iqtibos
    ABI

  5. The Model Confidence Set

    Maqola20113 iqtibos
    ABI

  6. Structural breaks and GARCH models of exchange rate volatility

    David E. Rapach, Jack Strauss

    Maqola20083 iqtibos
    ABI

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

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

    Maqola20203 iqtibos
    ABI

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

    Lutz Kilian, Cheolbeom Park

    Maqola20093 iqtibos
    ABI

  9. A New Approach to Markov-Switching GARCH Models

    Markus Haas

    Maqola20042 iqtibos
    ABI

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

    Nikos K. Nomikos, Panos K. Pouliasis

    Maqola20102 iqtibos
    ABI

  11. Modeling and forecasting petroleum futures volatility

    Perry Sadorsky

    Maqola20062 iqtibos
    ABI

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

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

    Maqola20072 iqtibos
    ABI

  13. Selection of estimation window in the presence of breaks

    M. Hashem Pesaran, Allan Timmermann

    Maqola20062 iqtibos
    ABI

  14. Multivariate Stochastic Variance Models

    Andrew Harvey, Esther Ruiz, Neil Shephard

    Maqola19942 iqtibos
    ABI

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

    Amélie Charles, Olivier Darné

    Maqola20172 iqtibos
    ABI

  16. 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

    Maqola20182 iqtibos
    ABI

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

    David Ardia, Keven Bluteau, Kris Boudt +1

    Maqola20182 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