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There are 13024 results for: content related to: ROBUST ESTIMATION FOR THE ORTHOGONAL GARCH MODEL *

  1. Structural breaks and GARCH models of exchange rate volatility

    Journal of Applied Econometrics

    Volume 23, Issue 1, January/February 2008, Pages: 65–90, David E. Rapach and Jack K. Strauss

    Version of Record online : 20 FEB 2008, DOI: 10.1002/jae.976

  2. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence

    Journal of Applied Econometrics

    Volume 17, Issue 5, September/October 2002, Pages: 509–534, Felix Chan and Michael McAleer

    Version of Record online : 28 OCT 2002, DOI: 10.1002/jae.686

  3. Realized GARCH: a joint model for returns and realized measures of volatility

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 877–906, Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

    Version of Record online : 17 MAR 2011, DOI: 10.1002/jae.1234

  4. Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns

    Canadian Journal of Economics/Revue canadienne d'économique

    Volume 38, Issue 3, August 2005, Pages: 1037–1056, Farooq Malik, Bradley T. Ewing and James E. Payne

    Version of Record online : 28 JUL 2005, DOI: 10.1111/j.0008-4085.2005.00315.x

  5. Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

    Journal of Futures Markets

    Volume 36, Issue 12, December 2016, Pages: 1127–1163, Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou

    Version of Record online : 29 APR 2016, DOI: 10.1002/fut.21783

  6. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

    Journal of Forecasting

    Volume 31, Issue 8, December 2012, Pages: 661–687, Cathy W.S. Chen, Richard Gerlach, Edward M. H.  Lin and W. C. W. Lee

    Version of Record online : 26 MAY 2011, DOI: 10.1002/for.1237

  7. GO-GARCH: a multivariate generalized orthogonal GARCH model

    Journal of Applied Econometrics

    Volume 17, Issue 5, September/October 2002, Pages: 549–564, Roy van der Weide

    Version of Record online : 28 OCT 2002, DOI: 10.1002/jae.688

  8. Modelling Regime-Specific Stock Price Volatility

    Oxford Bulletin of Economics and Statistics

    Volume 71, Issue 6, December 2009, Pages: 761–797, Carol Alexander and Emese Lazar

    Version of Record online : 28 JUL 2009, DOI: 10.1111/j.1468-0084.2009.00563.x

  9. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY

    Journal of Economic Surveys

    Volume 29, Issue 1, February 2015, Pages: 76–96, Audrone Virbickaite, M. Concepción Ausín and Pedro Galeano

    Version of Record online : 10 SEP 2013, DOI: 10.1111/joes.12046

  10. Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models

    The Econometrics Journal

    Volume 10, Issue 3, November 2007, Pages: 503–520, P. Dellaportas and I. D. Vrontos

    Version of Record online : 4 AUG 2007, DOI: 10.1111/j.1368-423X.2007.00219.x

  11. Optimal predictions of powers of conditionally heteroscedastic processes

    Journal of the Royal Statistical Society: Series B (Statistical Methodology)

    Volume 75, Issue 2, March 2013, Pages: 345–367, Christian Francq and Jean-Michel Zakoïan

    Version of Record online : 12 OCT 2012, DOI: 10.1111/j.1467-9868.2012.01045.x

  12. Multivariate high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 907–933, Diaa Noureldin, Neil Shephard and Kevin Sheppard

    Version of Record online : 4 AUG 2011, DOI: 10.1002/jae.1260

  13. ARE EMPIRICAL MEASURES OF MACROECONOMIC UNCERTAINTY ALIKE?

    Journal of Economic Surveys

    Volume 25, Issue 4, September 2011, Pages: 801–827, Chew Lian Chua, David Kim and Sandy Suardi

    Version of Record online : 11 JAN 2011, DOI: 10.1111/j.1467-6419.2010.00662.x

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    Realising the future: forecasting with high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 197–231, Professor Neil Shephard and Kevin Sheppard

    Version of Record online : 27 JAN 2010, DOI: 10.1002/jae.1158

  15. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach

    Journal of Futures Markets

    Volume 37, Issue 4, April 2017, Pages: 328–358, Zhuo Huang, Tianyi Wang and Peter Reinhard Hansen

    Version of Record online : 18 NOV 2016, DOI: 10.1002/fut.21821

  16. ARCH/GARCH Models in Applied Financial Econometrics

    Chapter

    Handbook of Finance

    Robert F. Engle, Sergio M. Focardi and Frank J. Fabozzi

    Published Online : 15 SEP 2008, DOI: 10.1002/9780470404324.hof003060

  17. A flexible parametric GARCH model with an application to exchange rates

    Journal of Applied Econometrics

    Volume 16, Issue 4, July/August 2001, Pages: 521–536, Kai-Li Wang, Christopher Fawson, Christopher B. Barrett and James B. McDonald

    Version of Record online : 16 AUG 2001, DOI: 10.1002/jae.606

  18. Modeling and forecasting of stock index volatility with APARCH models under ordered restriction

    Statistica Neerlandica

    Volume 69, Issue 3, August 2015, Pages: 329–356, Milton Abdul Thorlie, Lixin Song, Muhammad Amin and Xiaoguang Wang

    Version of Record online : 18 FEB 2015, DOI: 10.1111/stan.12062

  19. RISK–RETURN TRADE-OFF AND BEHAVIOUR OF VOLATILITY ON THE SOUTH AFRICAN STOCK MARKET: EVIDENCE FROM BOTH AGGREGATE AND DISAGGREGATE DATA

    South African Journal of Economics

    Volume 80, Issue 3, September 2012, Pages: 345–366, NEVILLE ZIVANAYI MANDIMIKA and ZIVANEMOYO CHINZARA

    Version of Record online : 10 SEP 2012, DOI: 10.1111/j.1813-6982.2012.01328.x

  20. Forecasting the Daily Time-Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter

    Journal of Forecasting

    Yuanyuan Zhang and Taufiq Choudhry

    Version of Record online : 14 SEP 2016, DOI: 10.1002/for.2442