In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-like models has seldom been explored in the theoretical literature, although its potential ...
Machine learning is reshaping the way portfolios are built, monitored, and adjusted. Investors are no longer limited to ...
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