Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
The Canadian Journal of Statistics / La Revue Canadienne de Statistique Threshold autoregressive models are widely used in time-series applications. When building or using such a model, it is ...
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 ...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
In the rapidly evolving world of cryptocurrency, volatility management remains a crucial challenge. Researchers have now developed a novel approach that integrates Exponential Generalized ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the ...
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