This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries ...
A problem of interest in economic and finance applications is testing whether ARMA (Autoregressive moving average) errors are uncorrelated under weak assumptions, namely assumptions where the errors ...
In this paper we extend the conditional autoregressive range (CARR) model to the asymmetric CARR mixed data sampling (ACARR-MIDAS) model, which takes into consideration volatility asymmetry as well as ...
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