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Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact. (2011). .
In: Computational Economics.
RePEc:kap:compec:v:37:y:2011:i:3:p:301-330.

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Cites: 35

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  1. Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). MacIel, Leandro ; Ballini, Rosangela ; GOMIDE, FERNANDO .
    In: Computational Economics.
    RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

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  2. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
    In: MPRA Paper.
    RePEc:pra:mprapa:80431.

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  3. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
    In: Manchester School.
    RePEc:bla:manchs:v:82:y:2014:i:1:p:71-102.

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  4. Value at risk estimation by quantile regression and kernel estimator. (2013). Huang, Alex .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:41:y:2013:i:2:p:225-251.

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References

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