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Results for GARCH

Publications & Outputs

  1. Empirical safety stock estimation based on kernel and GARCH models

    Trapero Arenas, J. R., Cardos, M. & Kourentzes, N., 04/2019, In : Omega: The International Journal of Management Science. 84, p. 199-211 13 p.

    Research output: Contribution to journalJournal article

  2. Quantile forecast optimal combination to enhance safety stock estimation

    Trapero Arenas, J. R., Cardos, M. & Kourentzes, N., 01/2019, In : International Journal of Forecasting. 35, 1, p. 239-250 12 p.

    Research output: Contribution to journalJournal article

  3. Essays in the Gulf Cooperation Council economies and market dynamics

    Khan, C., 2017, Lancaster University. 224 p.

    Research output: ThesisDoctoral Thesis

  4. Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

    Karanasos, M., Yfanti, S. & Karoglou, M., 05/2016, In : International Review of Financial Analysis. 45, p. 332-349 18 p.

    Research output: Contribution to journalJournal article

  5. Volatility model selection for extremes of financial time series

    Liu, Y. & Tawn, J. A., 03/2013, In : Journal of Statistical Planning and Inference. 143, 3, p. 520-530 11 p.

    Research output: Contribution to journalJournal article

  6. The extremal index for GARCH(1,1) processes

    Laurini, F. & Tawn, J. A., 12/2012, In : Extremes. 15, 4, p. 511-529 19 p.

    Research output: Contribution to journalJournal article

  7. A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models

    Mukherjee, K. & Iqbal, F., 08/2012, In : Journal of Forecasting. 31, 5, p. 377-390 14 p.

    Research output: Contribution to journalJournal article