Pages that link to "Item:Q4556517"
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The following pages link to Modeling the Interactions between Volatility and Returns using EGARCH‐M (Q4556517):
Displaying 12 items.
- Volatility clustering, asymmetry and hysteresis in stock returns: International evidence (Q1000418) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- The uncertainties about the relationships risk-return-volatility in the Spanish stock market (Q2430228) (← links)
- The continuous-time limit of score-driven volatility models (Q2658765) (← links)
- Time-varying asymmetry and tail thickness in long series of daily financial returns (Q2691782) (← links)
- Testing for EGARCH Against Stochastic Volatility Models (Q5467599) (← links)
- Score-driven models for realized volatility (Q6090596) (← links)
- On an asymmetric functional-coefficient ARCH-M model (Q6131404) (← links)
- Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
- Modelling volatility dependence with score copula models (Q6553228) (← links)
- Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226) (← links)
