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 ...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
Due to the outbreak of Covid-19, crude oil demand fell significantly. The West Texas Intermediate (WTI) crude oil price turned negative for the first time in its history. Given the importance of crude ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback