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ArticleA multivariate conditional autoregressive range model

Marcelo Fernandes2004

Article2004

A multivariate conditional autoregressive range model

Marcelo Fernandes · Bernardo de Sá Mota · Guilherme Rocha

34 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1988A Capital Asset Pricing Model with Time-Varying Covariances

Cited by

2008A high–low model of daily stock price ranges 2012Global and regional range-based volatility spillover effects 2019Improving forecasts with the co-range dynamic conditional correlation model 2015Estimation and empirical performance of non-scalar dynamic conditional correlation models 2009Predicting daily highs and lows of exchange rates: a cointegration analysis 2022

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Year2004

Typearticle

Published2004-12-28

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2004.09.005

openalex_workW2018169576

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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices