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 Journal/Magazine › Journal article › peer-review

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 Journal/Magazine › Journal article › peer-review

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

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

   Research output: Thesis › Doctoral Thesis

4. Empirical safety stock estimation based on Kernel and GARCH models

   Trapero Arenas, J. R., Cardos, M. & Kourentzes, N., 19/10/2016.

   Research output: Working paper

5. 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 Journal/Magazine › Journal article › peer-review

6. 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 Journal/Magazine › Journal article › peer-review

7. 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 Journal/Magazine › Journal article › peer-review

8. 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 Journal/Magazine › Journal article › peer-review