Financial volatility modeling: The feedback asymmetric conditional autoregressive range model

DOI10.1002/FOR.2548MaRDI QIDQ5379288zbMATH OpenOpenAlexWikidataFDO

Authors Haibin Xie

Publication date 28 May 2019

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2548

zbMATH Keywords

ACARRCARRFACARRprice rangevolatility forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(5)

• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• A multivariate conditional autoregressive range model
• Modeling the asymmetry of stock movements using price ranges
• A new approach to model financial markets
• Birnbaum-Saunders autoregressive conditional range model applied to stock index data

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