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Financial integration, inclusion and stability during crises
insights from the MENA region -
An empirical characterization of volatility dynamics in the DAX
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Real-time forecast of DSGE models with time-varying volatility in GARCH form
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Regular variation of popular GARCH processes allowing for distributional asymmetry
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Fiscal activism and price volatility
evidence from advanced and emerging economies -
Effect of exchange rate volatility on tax revenue performance in sub-Saharan Africa
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The good, the bad, and the asymmetric
evidence from a new conditional density model -
Foreign exchange intervention rule for central banks
risk-based framework -
Endogenous and exogenous volatility in the foreign exchange market
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Essays on European agricultural and trade policies, and their effects on agricultural mrkets
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GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
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Semiparametric maximum likelihood estimation of GARCH models
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Consistent estimation for aggregated GARCH processes
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Ensembling ARIMAX model in algorithmic investment strategies on commodities market
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Optimal markowitz portfolio using returns forecasted with time series and machine learning models
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Bootstrapping GARCH models under dependent innovations
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Drivers of commercial paper rate spread
an empirical assessment -
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
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Essays on financial models
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Using simulated currency rainbow options to evaluate covariance matrix forecasts
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A survey of recent theoretical results for time series models with GARCH errors
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Estimation and testing for unit root processes with GARCH(1,1) errors
theory and Monte Carlo evidence -
Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
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Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors