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Displaying results 1 to 25 of 50.
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A financial stress index for the United Kingdom
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Bitcoin is not the new gold
a comparison of volatility, correlation, and portfolio performance -
Exogenous drivers of cryptocurrency volatility
a mixed data sampling approach to forecasting -
Value-at-risk prediction using option-implied risk measures
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Modeling and forecasting commodity market volatility with long-term economic and financial variables
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Asset pricing with observable stochastic discount factors
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International asset pricing and the benefits from world market diversification
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
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Measuring Interdependence of Inflation Uncertainty
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GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
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HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
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The stock market effects of committing and setting GHG targets
evidence from the science-based initiative -
Foreign exchange intervention rule for central banks
risk-based framework -
Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?
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Weak diffusion limits of dynamic conditional correlation models
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Markov switching GARCH models for Bayesian hedging on energy futures markets
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On the volatility of cryptocurrencies
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Temporal networks in the analysis of financial contagion
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Augmented real-time GARCH
a joint model for returns, volatility and volatility of volatility -
Diffusion limits of real-time GARCH
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Weak diffusion limit of real-time GARCH models
the role of current return information -
The effectiveness of Value-at-Risk models in various volatility regimes
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Export performance and exchange rate volatility
evidence from the WAMZ -
Conditional heteroskedasticity in the volatility of asset returns
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The impact of the ECB banking supervision announcements on the EU stock market