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Zumbach, Gilles O. [Author]

Discrete time series, processes, and applications in finance

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Berlin; Heidelberg [u.a.]: Springer, 2013 [erschienen] 2012

Published in: Springer finance
Ekanayake, E. M. [Author]; Dissanayake, Amila [Author]

Effects of real exchange rate volatility on trade: Empirical analysis of the United States exports to BRICS

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Basel: MDPI, 2022
Matei, Marius [Author]; Rovira, Xari [Author]; Agell, Núria [Author]

Bivariate volatility modeling with high-frequency data

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Basel: MDPI, 2019
Ekanayake, E. M. [Author]; Dissanayake, Amila [Author]

Effects of real exchange rate volatility on trade : empirical analysis of the United States exports to BRICS

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https://www.mdpi.com/1911-8074/15/2/73/pdf

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2022

Published in: Journal of risk and financial management ; 15(2022), 2 vom: Feb., Artikel-ID 73, Seite 1-21
Theodorakopoulos, Leonidas [Author]; Antonopoulou, Hera [Author]; Mamalougou, Vicky [Author]; Giotopoulos, Konstantinos [Author]

The Drivers of Volume Volatility : A Big Data Analysis Based on Economic Uncertainty Measures for the Greek Banking System

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https://ssrn.com/abstract=4306619

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[S.l.]: SSRN, 2022
Khoo, Zhi De [Author]; Ng, Kok Haur [Author]; Koh, You Beng [Author]; Ng, Kooi Huat [Author]

An Improved Garch-Type Model with Combined Weighted Volatility Measure and Weighted Volatility Indicator : Evidence from German DAX

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https://ssrn.com/abstract=4503613

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[S.l.]: SSRN, [2023]
Sheraz, Muhammad [Author]; Nasi, Imran [Author]

Information-theoretic measures and modeling stock market volatility : a comparative approach

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https://www.mdpi.com/2227-9091/9/5/89/pdf

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2021

Published in: Risks ; 9(2021), 5 vom: Mai, Artikel-ID 89, Seite 1-20
Sheraz, Muhammad [Author]; Nasi, Imran [Author]

Information-theoretic measures and modeling stock market volatility: A comparative approach

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Basel: MDPI, 2021
Herrmann, Klaus [Author]

Models for time-varying moments using maximum entropy applied to a generalized measure of volatility

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http://hdl.handle.net/10419/29550

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Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), 2008
Dimitrov, Valentin S. [Author] ; Friedmann, Ralph [Other]

Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen

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Saarbrücken: Saarländische Universitäts- und Landesbibliothek, 2015
Buczyński, Mateusz [Author]; Chlebus, Marcin [Author] ; Uniwersytet Warszawski Wydział Nauk Ekonomicznych

Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states

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https://www.wne.uw.edu.pl/files/6415/6501/7211/WNE_WP297.pdf

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Warsaw: University of Warsaw, Faculty of Economic Sciences, 2019

Published in: Working papers ; 2019,12
Gospodinov, Nikolay [Author]; Jamali, Ibrahim [Author]

The response of stock market volatility to futures-based measures of monetary policy shocks

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http://hdl.handle.net/10419/101038

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Atlanta, GA: Federal Reserve Bank of Atlanta, 2014
Haas, Markus [Other]; Krause, Jochen [Other]; Paolella, Marc S. [Other]; Steude, Sven Christian [Other]

Time-varying mixture GARCH models and asymmetric volatility

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https://ssrn.com/abstract=2229740

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Genève: Swiss Finance Inst., 2013

Published in: Swiss Finance Institute: Research paper series ; 2013,04
Vander Elst, Harry [Author]

FloGARCH: Realizing long memory and asymmetries in returns volatility

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http://hdl.handle.net/10419/144492

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Brussels: National Bank of Belgium, 2015
Peitz, Christian [Author]

Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten - [1. Aufl. 2016]

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Wiesbaden: Springer Gabler, 2016

Published in: SpringerLink ; Bücher
Kim, Young Shin [Other]; Račev, Svetlozar T. [Other]; Bianchi, Michele Leonardo [Other]; Mitov, Ivan [Other]; Fabozzi, Frank J. [Other]

Time series analysis for financial market meltdowns

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https://digbib.bibliothek.kit.edu/volltexte/1000019771

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Karlsruhe: KIT [u.a.], 2010

Published in: Working paper series in economics ; 2
Xu, Yongdeng [Author]

DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation

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http://hdl.handle.net/10419/230438

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Cardiff: Cardiff University, Cardiff Business School, 2019
Hansen, Peter Reinhard [Author] ; Huang, Zhuo [Other]

Exponential GARCH Modeling with Realized Measures of Volatility

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https://ssrn.com/abstract=3178886

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[S.l.]: SSRN, [2018]
Gabauer, David [Author]

Measures of Dynamic Connectednesss Based on DCC-GARCH : The Role of Volatility Transmission Mechanisms

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https://ssrn.com/abstract=3289865

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[S.l.]: SSRN, [2019]
Kumar P., Hemanth [Author] ; Patil S., Basavaraj [Other]

Volatility Forecasting – A Performance Measure of Garch Techniques With Different Distribution Models

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https://ssrn.com/abstract=3448336

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[S.l.]: SSRN, [2019]

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