Top results
business school w o r k i n g p a p e r s e r i e s ipag working papers are circulated for discussion and comments only. they have not been peer-reviewed and may not be reproduced
the spline-garch model for low frequency volatility and its global macroeconomic causes* robert f engle stern school of business new york university rengle@sternnyuedu jose…
testing garch and rv exchange rate volatility models using hinich tricorrelations sanja dudukovic 1 franklin university – switzerland abstract: the aim of this paper is…
modelling volatility: arch, garch and other models qiwei yao london school of economics [email protected] • arch & garch models: properties, estimation and tests •…
monte-carlo simulations of garch, gjr-garch and constant volatility on nasdaq-500 and the 10 year treasury lee, dongkeun liu, david duke university april 21, 2014 contents…
iosr journal of business and management (iosr-jbm) e-issn: 2278-487x, p-issn: 2319-7668. volume 17, issue 12 .ver. i (dec. 2015), pp 22-33 www.iosrjournals.org doi: 10.9790/487x-171212233…
iosr journal of business and management (iosr-jbm) e-issn: 2278-487x, p-issn: 2319-7668. volume 17, issue 12 .ver. i (dec. 2015), pp 22-33 www.iosrjournals.org doi: 10.9790/487x-171212233…
pertanika j. soc. sci. & hum. 10(2): 85-95 (2002) issn: 0128-7702 © universiti putra malaysia press modelling the volatility of currency exchange rate using garch…
iran. econ. rev. vol. 23, no. 1, 2019. pp. 87-108 the stock returns volatility based on the garch (1,1) model: the superiority of the truncated standard normal distribution
contents lists available at sciencedirect finance research letters journal homepage: wwwelseviercomlocatefrl the relationship between implied volatility and cryptocurrency…
predictability of stock return volatility from garch models amit goyal∗ anderson graduate school of management, ucla may 2000 preliminary and tentative - comments solicited…
volatility modelling of asset prices using garch models jens näsström reg nr: lith-isy-ex-3364-2003 february 11, 2003 volatility modelling of asset prices using garch…
arch and garch models phung thanh binh ▪ an overview of arima models ▪ arch model ▪ garch model ▪ garch-m model ▪ t-garch/egarch models ▪ factors of volatility…
bank of canada staff working papers provide a forum for staff to publish work-in-progress research independently from the bank’s governing council. this research may support…
real estate investment trusts and seasonal volatility: a periodic garch model marc winniford* duke university durham, nc spring 2003 * marc winniford will graduate from duke…
cbn journal of applied statistics vol 5 no2 december 2014 65 testing volatility in nigeria stock market using garch models ngozi v atoi 1 the contributions of error distributions…
energy markets volatility modelling using garch∗ olga efimova and apostolos serletis† department of economics university of calgary canada forthcoming in: energy economics…
journal of applied econometrics j appl econ 24: 709–733 2009 published online 28 april 2009 in wiley interscience wwwintersciencewileycom doi: 101002jae1070 forecasting…
high-low range in garch models of stock return volatility peter molnár∗ january 11 2012 abstract garch volatility models should not be considered as data-generating processes…
preliminaries er forcasting in practice our forecasting model concluding remarks exchange rate volatility forecasting using garch models in r roger roth martin kammlander…