✦ LIBER ✦

Contagion determination via copula and volatility threshold models

✍ Scribed by Arakelian, Veni; Dellaportas, Petros

Book ID: 120182081
Publisher: Taylor and Francis Group
Year: 2012
Tongue: English
Weight: 837 KB
Volume: 12
Category: Article
ISSN: 1469-7688
DOI: 10.1080/14697680903410023

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Financial market volatility and contagio

Financial market volatility and contagion effect: A copula–multifractal volatility approach

✍ Chen, Wang; Wei, Yu; Lang, Qiaoqi; Lin, Yu; Liu, Maojuan 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 671 KB

Optimal dynamic hedging via copula-thres

Optimal dynamic hedging via copula-threshold-GARCH models

✍ YiHao Lai; Cathy W.S. Chen; Richard Gerlach 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 176 KB

Handbook of Volatility Models and Their

Handbook of Volatility Models and Their Applications (Bauwens/Handbook of Volatility Models and Their Applications) || Copula-Based Volatility Models

✍ Bauwens, Luc; Hafner, Christian; Laurent, Sebastien 📂 Article 📅 2012 🏛 John Wiley & Sons, Inc. ⚖ 270 KB

Forecasting volatility by means of thres

Forecasting volatility by means of threshold models

✍ M. Pilar Muñoz; M. Dolores Marquez; Lesly M. Acosta 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 200 KB 👁 1 views

## Abstract The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out‐of‐sample forecasting ability of the SETAR‐Threshold GARCH (SETAR‐TGARCH) and the SETAR‐Thre

Modeling the leverage effect with copula

Modeling the leverage effect with copulas and realized volatility

✍ Cathy Ning; Dinghai Xu; Tony S. Wirjanto 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 299 KB

HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCH

HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

✍ Cathy W. S. Chen; F. C. Liu; Mike K. P. So 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 755 KB