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CBOE Gold ETF Volatility Index
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Replication Data for "Weak Identification of Long Memory with Implications for Volatility Modeling"
This data and MATLAB code package reproduce the empirical results from the paper titled 'Weak Identification of Long Memory with Implications for Volatility Modeling' by Jia Li, Peter C. B. Phillips,
DataCite Commons2025-05-11 更新110
Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
This article considers the volatility modeling for autoregressive univariate time series. A benchmark approach is the stationary autoregressive conditional heteroscedasticity (ARCH) model of Engle. Mo
DataCite Commons2020-08-28 更新80
A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data
A test is derived for short-memory correlation in the conditional variance of strictly positive, skewed data. The test is quasi-locally most powerful (QLMP) under the assumption of conditionally gamma
Monash University Figshare2026-02-11 更新70
Supporting data for “LAGUERRE PATH-DEPENDENT VOLATILITY MODEL"
This is the dataset that is synthesized to conduct the numerical experiment of model calibration and option pricing using the proposed LPDV model and the benchmark model in the study. The methodology
DataCite Commons2024-01-19 更新100
Out of sample forecasting with simplified realized variance.
This table presents the oil futures volatility out-of-sample forecasting results of Liquidity-adjusted GARCH (LGARCH) with other three GARCH models against the simplified realized variance using the M
NIAID Data Ecosystem80
