Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk by Dominik Krężołek

Subjects: Get full text

Volatility dynamics and the risk-return relationship in South Africa: A GARCH approach by Nitesha Dwarika, Peter Moores-Pitt, Retius Chifurira

Subjects: Get full text

Modelling the Impact of Crude Oil Prices and Stock Price Index on Indonesia’s Exchange Rates by Raji Jimoh Olajide, Adeel-Farooq Rana Muhammad, Oyewole Tajudeen Toyin

Subjects: Get full text

Oil Volatility Uncertainty: Impact on Fundamental Macroeconomics and the Stock Index by Jassim Aladwani

Subjects: “…GARCH-type models…”
Get full text

Estimating the value-at-risk of JSE indices and South African exchange rate with Generalized Pareto and stable distributions by Kimera Naradh, Knowledge Chinhamu, Retius Chifurira

Subjects: Get full text

On the Identifiability Conditions in Some Nonlinear Time Series Models by Jungsik Noh, Sangyeol Lee

Subjects: Get full text

Adaptive wavelet estimations for the derivative of a density in GARCH-type model by Kaikai Cao, Jingyi Wei

Subjects: Get full text

Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models by Zheng Zhang, Muhammad Yousaf Raza, Wenxue Wang, Lu Sui

Subjects: Get full text