create a website

On the predictive ability of GARCH and SV models of volatility: An empirical test on the SENSEX index.. (2019). Saini, Neha ; Mittal, Anil Kumar .
In: Journal of Statistical and Econometric Methods.
RePEc:spt:stecon:v:8:y:2019:i:4:f:8_4_5.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 25

References cited by this document

Cocites: 30

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Choudhry, T. and Wu, H. Forecasting Ability of GARCH vs Kalman Filter Method: Evidence from Daily UK Time-Varying Beta. Journal of Forecasting, 27:670–689, 2008. Neha Saini and Anil Kumar Mittal 97

  2. [10] Jerez, M., Casals, J., and Sotoca, S. Signal Extraction for Linear StateSpace Models. Lambert Academic Publishing GmbH & Co.. KG, Saarbrcken (Germany)., 2011.
    Paper not yet in RePEc: Add citation now
  3. [11] M. Marius. Assessing volatility forecasting models: Why garch models take the lead. Romanian Journal of Economic Forecasting, 12:42–65, 2009.
    Paper not yet in RePEc: Add citation now
  4. [12] Yu, J. Forecasting volatility in the New Zealand stock market. Applied Financial Economics, 12:193–202, 2002.

  5. [13] T.G. Andersen, T. Bollerslev, P.F. Christoffersen, and F.X. Diebold. Volatility forecasting. Working Paper 11188, National Bureau of Economic Research, Cambridge, MA, USA., 2005. 98 On the predictive ability of GARCH and SV models of volatility ...
    Paper not yet in RePEc: Add citation now
  6. [14] Pan, H. and Zhang, Z. Forecasting Financial Volatility: Evidence from Chinese Stock Market. Working paper in Economics and Finance No. 06/02, February 2006.
    Paper not yet in RePEc: Add citation now
  7. [16] Peng, J. Y. and Aston, J. A. D. The State Space Models toolbox for MATLAB. Journal of Statistical Software, 41(6):1–26, May 2011. Software available at http://sourceforge.net/projects/ssmodels.

  8. [17] Timmer, J. and Weigend, A.S. Modeling volatility using state space models. International Journal of Neural Systems, 8(4):385–398, August 1997.
    Paper not yet in RePEc: Add citation now
  9. [18] Peng, J. Y. and Aston, J. A. D. State Space Models Manual. Institute of Information Science, University of Warwick, July 2011.
    Paper not yet in RePEc: Add citation now
  10. [19] D. Alberg, H. Shalit, and R. Yosef. Estimating stock market volatility using asymmetric garch models. Applied Financial Economics, 18:1201– 1208, 2008.

  11. [2] J. Durbin and S. J. Koopman. Time Series Analysis by State Space Methods. Oxford University Press, 2001.

  12. [20] Ghysels, E., Harvey, A. C., and Renault, E. Stochastic volatility, volume 14. Handbook of Statistics, Amsterdam, The Netherlands: NorthHolland, 1996.
    Paper not yet in RePEc: Add citation now
  13. [21] S. Kim, N. Shephard, and S. Chib. Stochastic volatility: Likelihood inference and comparison with ARCH models. Review of Economic Studies, 65(3):361–393, 1998.

  14. [22] P. H. Franses and D. V. Dijk. Non-linear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge, UK., 2000.

  15. [23] S. Mergner. Applications of State Space Models in Finance. PhD thesis, Georg-August-University at Gottingen, 2009.
    Paper not yet in RePEc: Add citation now
  16. [24] Shimada, J. and Tsukuda, Y. Estimation of Stochastic Volatility Models :An Approximation to the Nonlinear State Space Representation. In Econometric Society 2004 Far Eastern Meetings, number 611. Tokyo Metropolitan University, February 2004. Neha Saini and Anil Kumar Mittal 99

  17. [25] Neha Saini and Anil Kumar Mittal. Forecasting volatility in indian stock market using state space models. Journal of Statistical and Econometric Methods,, 3, 2014.

  18. [26] J. Durbin. State space and unobserved component models. Cambridge University Press, 2004.
    Paper not yet in RePEc: Add citation now
  19. [3] J.D. Hamilton. A new approach to the economic analysis of nonstationary time series. Econometrica, 57:357–384, 1989.

  20. [4] N. Shephard. Stochastic Volatility: Selected Readings,. Oxford, UK, Oxford University Press., 2nd edition, 2005.

  21. [5] S. J. Taylor. Modelling Financial Times Series. John Wiley & Sons, Inc.,Chichester, 1986.
    Paper not yet in RePEc: Add citation now
  22. [6] Tsyplakov, A. Revealing the arcane: an introduction to the art of stochastic volatility models. MPRA Paper No. 25511, September 2010.

  23. [7] Harvey, A. C. and Shephard, N. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. Journal of Business & Economic Statistics, 14(4):429–434, 1996.

  24. [8] S. Ossandon and N. Bahamonde. On the nonlinear estimation of garch models using an extended kalman filter. Proceedings of the World Congress on Engineering, 1, 2011.
    Paper not yet in RePEc: Add citation now
  25. [9] J. Muller, J. Kanniainen, and R. Piche. Calibration of garch models using concurrent accelerated random search. Applied Mathematics and Computation, 2013.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis. (2024). Kayal, Parthajit ; Dutta, Sumanjay.
    In: Digital Finance.
    RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00104-x.

    Full description at Econpapers || Download paper

  2. Reducing Overestimating and Underestimating Volatility via the Augmented Blending-ARCH Model. (2022). Yi, Shao ; Lu, Jun.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:9:y:2022:i:2:p:48-59.

    Full description at Econpapers || Download paper

  3. Segmentation, business environment and global informational efficiency of emerging financial markets. (2022). Boamah, Nicholas Addai.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:84:y:2022:i:c:p:52-60.

    Full description at Econpapers || Download paper

  4. Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach. (2022). Helmi, Mohamad Husam ; Caporale, Guglielmo Maria ; Huyuguzel, Gul Serife ; Akdeniz, Cokun ; Atik, Abdurrahman Nazif.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004871.

    Full description at Econpapers || Download paper

  5. Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun.
    In: Papers.
    RePEc:arx:papers:2203.12456.

    Full description at Econpapers || Download paper

  6. Integration, investor protection rules and global informational inefficiency of emerging financial markets. (2021). Boamah, Nicholas Addai.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:1:y:2021:i:6:d:10.1007_s43546-021-00084-3.

    Full description at Econpapers || Download paper

  7. A wavelet approach of investing behaviors and their effects on risk exposures. (2021). MESTRE, Roman.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00239-z.

    Full description at Econpapers || Download paper

  8. The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries. (2021). catik, nazif ; Kila, Gul Huyuguzel ; Kosedali, Begum Yurteri.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00224-y.

    Full description at Econpapers || Download paper

  9. Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold. (2021). Demirer, Riza ; Bekun, Festus ; Balcilar, Mehmet.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:8:p:915-:d:539853.

    Full description at Econpapers || Download paper

  10. Risk transmission from the COVID-19 to metals and energy markets. (2021). Yousaf, Imran.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001707.

    Full description at Econpapers || Download paper

  11. Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach. (2020). Lee, Stephen.
    In: Journal of Real Estate Portfolio Management.
    RePEc:taf:repmxx:v:26:y:2020:i:2:p:150-160.

    Full description at Econpapers || Download paper

  12. Forecasting Financial Returns Volatility: A GARCH-SVR Model. (2020). Sun, Hao ; Yu, BO.
    In: Computational Economics.
    RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09896-w.

    Full description at Econpapers || Download paper

  13. Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey. (2020). catik, nazif ; Kila, Gul Huyuguzel ; Akdeniz, Cokun.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030876x.

    Full description at Econpapers || Download paper

  14. Identifying influential energy stocks based on spillover network. (2020). Wang, ZE ; Gao, Xiangyun ; Tang, Renwu ; Sun, Qingru.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305179.

    Full description at Econpapers || Download paper

  15. On the predictive ability of GARCH and SV models of volatility: An empirical test on the SENSEX index.. (2019). Saini, Neha ; Mittal, Anil Kumar .
    In: Journal of Statistical and Econometric Methods.
    RePEc:spt:stecon:v:8:y:2019:i:4:f:8_4_5.

    Full description at Econpapers || Download paper

  16. High frequency volatility co-movements in cryptocurrency markets. (2019). lucey, brian ; Corbet, Shaen ; Katsiampa, Paraskevi.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:62:y:2019:i:c:p:35-52.

    Full description at Econpapers || Download paper

  17. Economic dynamics during periods of financial stress: Evidences from Brazil. (2018). Stona, Filipe ; Triches, Divanildo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:55:y:2018:i:c:p:130-144.

    Full description at Econpapers || Download paper

  18. Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels. (2017). Henrique, Pedro ; Correia, Pedro.
    In: Computational Management Science.
    RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-016-0267-0.

    Full description at Econpapers || Download paper

  19. Looking beyond banks’ average interest rate risk: Determinants of high exposures. (2017). Entrop, O ; Wilkens, M ; von La, L.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:63:y:2017:i:c:p:204-218.

    Full description at Econpapers || Download paper

  20. Forecasting volatility with interacting multiple models. (2017). Katrak, Xerxis ; Svec, Jiri.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:20:y:2017:i:c:p:245-252.

    Full description at Econpapers || Download paper

  21. Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

    Full description at Econpapers || Download paper

  22. Systemic interest rate and market risk at US banks. (2016). Rohleder, Martin ; Wilkens, Marco ; Hausse, Ludwig .
    In: Journal of Business Economics.
    RePEc:spr:jbecon:v:86:y:2016:i:8:d:10.1007_s11573-016-0830-8.

    Full description at Econpapers || Download paper

  23. A novel jump diffusion model based on SGT distribution and its applications. (2016). Li, Hongyi ; Xu, Weijun ; Liu, Guifang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:59:y:2016:i:c:p:74-92.

    Full description at Econpapers || Download paper

  24. Динамические модели систематического риска: сравнение на примере индийского фондового рынка. (2015). Асатуров К. Г., .
    In: Журнал Экономика и математические методы (ЭММ).
    RePEc:scn:cememm:v:51:y:2015:i:4:p:59-75.

    Full description at Econpapers || Download paper

  25. Time-varying Industrial Portfolio Betas under the Regime-switching Model:Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan.
    In: Asian Journal of Applied Economics.
    RePEc:ags:thkase:338461.

    Full description at Econpapers || Download paper

  26. Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan.
    In: Applied Economics Journal.
    RePEc:aej:apecjn:v:22:y:2015:i:2:p:54-76.

    Full description at Econpapers || Download paper

  27. Climate change: where is the hockey stick? evidence from millennial-scale reconstructed and updated temperature time series.. (2011). Travaglini, Guido.
    In: MPRA Paper.
    RePEc:pra:mprapa:35565.

    Full description at Econpapers || Download paper

  28. Time-Varying Beta Estimators in the Mexican Emerging Market. (2011). Zarraga, Ainhoa ; Orbe, Susan ; Mandaluniz, Susan Orbe ; Domenech, Belen Nieto ; Alonso, Ainhoa Zarraga .
    In: BILTOKI.
    RePEc:ehu:biltok:5283.

    Full description at Econpapers || Download paper

  29. Forecasting volatility with support vector machine-based GARCH model. (2010). Härdle, Wolfgang ; Hardle, Wolfgang K. ; Chen, Shiyi ; Jeong, Kiho.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:4:p:406-433.

    Full description at Econpapers || Download paper

  30. Dynamic mortality factor model with conditional heteroskedasticity. (2009). Gao, Quansheng ; Hu, Chengjun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:410-423.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 13:39:17 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.