Pages that link to "Item:Q5388714"

The following pages link to Handbook of Volatility Models and Their Applications (Q5388714):

Displaying 50 items.

• Modelling volatility by variance decomposition (Q71677) (← links)
• An ARCH model without intercept (Q500477) (← links)
• Fitting a two phase threshold multiplicative error model (Q515143) (← links)
• Conjugate processes: theory and application to risk forecasting (Q681983) (← links)
• Inverse problems in Pareto's demand theory and their applications to analysis of stock market crises (Q682037) (← links)
• Testing for Granger causality in large mixed-frequency VARs (Q726601) (← links)
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
• The effect of additive outliers on a fractional unit root test (Q1622085) (← links)
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package (Q1623506) (← links)
• Forecasting financial market volatility using a dynamic topic model (Q1627814) (← links)
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
• Managing risk with a realized copula parameter (Q1659106) (← links)
• Dynamic equicorrelation stochastic volatility (Q1659169) (← links)
• On estimating the nonparametric multiplicative error models (Q1668246) (← links)
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768) (← links)
• Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
• Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
• Diagnostic checking of Markov multiplicative error models (Q1787720) (← links)
• Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
• Parsimony inducing priors for large scale state-space models (Q2155306) (← links)
• Information content of liquidity and volatility measures (Q2165679) (← links)
• Forecasting the covolatility of coffee arabica and crude oil prices: a multivariate GARCH approach with high-frequency data (Q2183896) (← links)
• Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
• Dynamics of variance risk premia: a new model for disentangling the price of risk (Q2190227) (← links)
• Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails (Q2325386) (← links)
• Improving forecasts with the co-range dynamic conditional correlation model (Q2338532) (← links)
• A stochastic dominance approach to financial risk management strategies (Q2347722) (← links)
• Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
• Asymmetric volatility impulse response functions (Q2681836) (← links)
• Estimation of long memory in volatility using wavelets (Q2691712) (← links)
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
• Flexible HAR model for realized volatility (Q2697034) (← links)
• NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
• (Q5011474) (← links)
• UNIT ROOT TEST WITH HIGH-FREQUENCY DATA (Q5065460) (← links)
• Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models (Q5066477) (← links)
• Modeling dependency between industry production and energy market via stochastic copula approach (Q5082950) (← links)
• Optimal Portfolio in a Regime-switching Model (Q5746536) (← links)
• A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models (Q5863649) (← links)
• Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (Q5864510) (← links)
• (Q5879918) (← links)
• Bayesian inference of multivariate-GARCH-BEKK models (Q6089306) (← links)
• A dynamic conditional score model for the log correlation matrix (Q6090565) (← links)
• Portmanteau test for a class of multivariate asymmetric power GARCH model (Q6134641) (← links)
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)