Contributed paper Forecasting the Stock Exchange Rate of Thailand Index by Conditional Heteroscedastic Autoregressive Nonlinear Model with Autocorrelated Errors
autcha araveeporn
2010
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Developing Nonparametric Conditional Heteroscedastic Autoregressive Nonlinear Model by Using Maximum Likelihood Method
autcha araveeporn
2011
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Estimating conditional heteroscedastic nonlinear autoregressive model by using smoothing spline and penalized spline methods
autcha araveeporn
2019
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Selection of Heteroscedastic Models: A Time Series Forecasting Approach
Emmanuel Akpan
Applied Mathematics, 2019
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Forecasting linear time series models with heteroskedastic errors in a Bayesian approach
Esmail Amiri
2015
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A Comparison of ARMA-GARCH and Bayesian SV Models in Forecasting Philippine Stock Market Volatility
Jonathan Agahan, Carmelito Miral
2018
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The Performance Of Linear Versus Non-Linear Models In Forecasting Returns On The Johannesburg Stock Exchange
Ryan Kruger
International Business & Economics Research Journal (IBER), 2013
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Financial Forecasting by Autoregressive Conditional Heteroscedasticity (ARCH) Family: A Case of Mexico
Bezon Kumar
Journal of Public Policy and Administration
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Financial Time Series Forecasting : Comparison of various ARCH models
ajay dhamija
Global Jounal of Finance and Management, ISSN 0975-6477 Volume 2, Number 1(2010), pp. 159-172, @Research India Publications. , 2010
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Modelling and Forecasting Exchange-rate Volatility with ARCHtype Models
Abbas Kandora
IOSR Journal of Mathematics, 2016
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Estimation and Forecasting with Smoothing Transition Autoregressive Model: Evidence from Drachma-US Dollar Spot Exchange Rate
Eleftherios Giovanis
SSRN Electronic Journal, 2000
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Asian Currencies Forecasting and Modelling Using a Time Series Analysis
Krisada Khruachalee
2017
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Forecasting Tehran Stock Exchange Prices: Smooth Transition Autoregressive (STAR) Approach
mehdi pedram
2014
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Can cointegration-based forecasting outperform univariate models? An application to Asian exchange rates
Michael McCrae
Journal of Forecasting, 2002
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Empirical Evidence of Conditional Heteroskedasticity in Vietnam's Stock Returns Time Series (for its entire existence through August 21, 2002)
Quan-Hoang Vuong
SSRN Electronic Journal, 2000
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Forecasting Stock Volatility Using Wavelet-based Exponential Generalized Autoregressive Conditional Heteroscedasticity Methods
Jamel Jaber
Intelligent Automation & Soft Computing
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Alternative Models for the Conditional Heteroscedasticity and the Predictive Accuracy of Variance Models–Empirical Evidence from East and North Africa Stock Markets
George Tackie
2017
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Modeling exchange rate volatility, using Univariate Generalized Autoregressive conditionally Hetroscedastic type models: evidence from Afghanistan
Hedayatullah Salari
2019
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Modeling the Error Term by Moving Average and Generalized Autoregressive Conditional Heteroscedasticity Processes: An Advanced Research
AYODELE AGBOLUAJE
Book Publisher International (a part of SCIENCEDOMAIN International), 2022
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A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange
Yasemin Deniz AKARIM
Journal of Economics and Behavioral Studies, 2013
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An Empirical Comparative Forecast Accuracy of Exponential Smoothing and Nonlinear Autoregressive Models on Six Major Rates
Agus Sihabuddin, Journal of Computer Science IJCSIS
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The Generalized Auto Regressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model for Forecasting Financial Volatility
Dennis S Mapa
2004
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Forecasting exchange rates with linear and nonlinear models
Alicia Gazely
Global Business and Economics Review, 2008
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Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review
ΣΤΑΥΡΟΣ ΝΤΕΓΙΑΝΝΑΚΗΣ, Evdokia Xekalaki
Quality Technology and Quantitative Management, 1(2), 271-324, 2004
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GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
Mouna Hajji
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Evaluating non-linear models on point and interval forecasts: an application with exchange rates
gianna boero
2012
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Volatility Forecasting Models and Market CoIntegration: A Study on South-East Asian Markets
Aldrin Herwany
2009
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Modelling Nonlinear Relationship among Selected ASEAN Stock Markets
Mohd Sharil Hisham Mohd Tahir
Journal of Data Science, 2021
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A Comparison of Accuracy of Forecasting Models: A Study on Selected Foreign Exchange Rates
Chandima Tilakaratne
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The Predictability of Stock Market Returns in South Africa: Parametric vs. Non-Parametric Methods
Lumengo Bonga-Bonga
South African Journal of Economics, 2011
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Special Issue on Nonlinear Modelling and Financial Econometrics
Alessandra Amendola
Computational Statistics & Data Analysis, 2006
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Comparative Study of Volatility Forecasting Models: The Case
Economics World ISSN 2328-7144
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Dynamic Model of Forecasting Stock Prices
Prayudha Ananta
Journal of Engineering and Applied Sciences
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Modeling exchange rate volatility, using Univariate Generalized Autoregressive conditionally Hetroscedastic type models: evidence from AfghanistanMahmood Mahroowal1,Hedayatullah Salari21,2Paktia University, Paktia, Afghanistan
Mahmood Mahroowal
AMERICAN JOURNAL OF ECONOMICS AND BUSINESS MANAGEMENT, 2019
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Forecasting Value-at-Risk of Asian Stock Markets Using the RDCC-GARCH Model Under Different Distributional Assumptions
Saima Farid, The Journal of Middle East and North Africa Sciences
JOMENAS Press, 2020
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