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RobHayward garch [11 articles]

Recent papers added to RobHayward library classified by the tag garch. You can also see everyone's garch.
  • Chinese institutional investors' sentiment
    Journal of International Financial Markets, Institutions and Money, Vol. 18, No. 4. (October 2008), pp. 374-387.
    by Gerhard Kling, Lei Gao
    posted to fx garch momentum sentiment by RobHayward on 2008-06-18 22:13:22 as **
  • Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
    Journal of Econometrics, Vol. In Press, Corrected Proof
    by Yongmiao Hong, Haitao Li, Feng Zhao
    posted to forecast fx garch time-series by RobHayward on 2007-03-05 15:49:00 as **
  • An evolutionary game theory explanation of ARCH effects
    Journal of Economic Dynamics and Control, Vol. In Press, Corrected Proof
    by William R Parke, George A Waters
    posted to game garch by RobHayward on 2006-09-12 16:30:16 as ** along with 1 person and 1 group f_goltz assetpricing
  • Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
    Journal of International Money and Finance, Vol. 25, No. 5. (August 2006), pp. 719-740.
    by Christian M Hafner, Helmut Herwartz
    posted to econometrics fx garch by RobHayward on 2006-09-11 14:57:50 as *****
  • Dynamics of realized volatilities and correlations: An empirical study
    Journal of Banking & Finance, Vol. 30, No. 7. (July 2006), pp. 2109-2130.
    by Rene Ferland, Simon Lalancette
    posted to garch volatility by RobHayward on 2006-06-13 06:42:38 as **
  • The longer-horizon predictability of German stock market volatility
    International Journal of Forecasting, Vol. 22, No. 2. ( 2006), pp. 363-372.
    by Burkhard Raunig
    posted to garch volatility by RobHayward on 2006-05-02 20:52:08 as **
  • Stock market dynamics in a regime-switching asymmetric power GARCH model
    International Review of Financial Analysis, Vol. 15, No. 2. (2006), pp. 109-129.
    by Thierry Ane, Loredana Ureche-Rangau
    posted to finance garch time-series by RobHayward on 2006-04-28 08:48:38 as **
  • Implied volatility of foreign exchange options: is it worth tracking?
    No 2005/39, MNB Occasional Papers from Magyar Nemzeti Bank (The Central Bank of Hungary)
    by Áron Gereben, And K Pintér
    posted to fx garch volatility by RobHayward on 2006-04-15 10:21:46 as **
  • Stochastic Volatility
    No 2005-W17, Economics Papers from Economics Group, Nuffield College, University of Oxford
    by Neil Shephard
    posted to garch volatility by RobHayward on 2006-04-15 10:13:58 as **
  • Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market
    Pacific-Basin Finance Journal, Vol. 14, No. 2. (April 2006), pp. 193-208.
    by Mingshu Hua, Yin-Feng Gau
    posted to fx garch volatility by RobHayward on 2006-04-10 21:46:16 as **
  • EconPapers: STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES
    by Kazuhiko, Tatsuro, Moo-Sung
    posted to garch options volatility by RobHayward on 2006-04-08 18:24:44 as **
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