Handbook of Volatility Models and Their Applications
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)
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Cited in
(65)- Recent developments in volatility modeling and applications
- Dynamic partial correlation models
- Conjugate processes: theory and application to risk forecasting
- Inverse problems in Pareto's demand theory and their applications to analysis of stock market crises
- Geometric ergodicity and -mixing of the periodic multivariate BEKK-GARCH model
- Truncated realized covariance when prices have infinite variation jumps
- On estimating the nonparametric multiplicative error models
- Modal volatility function
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- Parsimony inducing priors for large scale state-space models
- Optimal portfolio in a regime-switching model
- Comparing Possibly Misspecified Forecasts
- A simulation study on the Markov regime-switching zero-drift GARCH model
- The effect of additive outliers on a fractional unit root test
- Testing for Granger causality in large mixed-frequency VARs
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- A goodness-of-fit test for a class of autoregressive conditional duration models
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Forecasting financial market volatility using a dynamic topic model
- Unit root test with high-frequency data
- Diagnostic checking of Markov multiplicative error models
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Bootstrap based probability forecasting in multiplicative error models
- scientific article; zbMATH DE number 7387555 (Why is no real title available?)
- Dynamic equicorrelation stochastic volatility
- Nonparametric volatility prediction
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Handbook of high-frequency trading and modeling in finance
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Improving forecasts with the co-range dynamic conditional correlation model
- Optimum thresholding using mean and conditional mean squared error
- On Bivariate Time-Varying Price Staleness
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Managing risk with a realized copula parameter
- Asset price dynamics, volatility, and prediction.
- Estimation of multivariate asymmetric power GARCH models
- Information content of liquidity and volatility measures
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Modelling volatility by variance decomposition
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- A dynamic conditional score model for the log correlation matrix
- Bayesian inference of multivariate-GARCH-BEKK models
- Modeling dependency between industry production and energy market via stochastic copula approach
- Asymmetric volatility impulse response functions
- Estimation of long memory in volatility using wavelets
- A stochastic dominance approach to financial risk management strategies
- Forecasting the covolatility of coffee arabica and crude oil prices: a multivariate GARCH approach with high-frequency data
- An ARCH model without intercept
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
- Encyclopedia of financial models. 3 Volume set
- Lassoing the HAR model: a model selection perspective on realized volatility dynamics
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Volatility estimation and jump detection for drift-diffusion processes
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Maximum likelihood estimates for positive valued dynamic score models; the DySco package
- Chasing volatility. A persistent multiplicative error model with jumps
- Forward-validation model averaging for discrete response MIDAS model
- Predicting the volatility of bitcoin returns based on kernel regression
- Flexible HAR model for realized volatility
- Fitting a two phase threshold multiplicative error model
- Handbook of recent advances in commodity and financial modeling. Quantitative methods in banking, finance, insurance, energy and commodity markets
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