Diaa Noureldin

The American University in Cairo - Department of Economics

AUC Avenue

P.O. Box 74

New Cairo, 11835

Egypt

  • The American University in Cairo - Department of Economics

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Volatility Prediction Using a Realized-Measure-Based Component Model

Number of pages: 38 Posted: 02 May 2017
Diaa Noureldin
The American University in Cairo - Department of Economics
Downloads 106 (463,779)
Citation 1

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GARCH, HEAVY, component volatility, time-varying-parameter models; predictive ability tests

2.

Extreme Yield Movements and Dynamic Density Forecasts for the Term Structure of Interest Rates

Number of pages: 28 Posted: 21 Dec 2015 Last Revised: 13 Mar 2017
Diaa Noureldin
The American University in Cairo - Department of Economics
Downloads 88 (524,458)

Abstract:

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term structure; yield curve; dynamic Nelson-Siegel model; time-varying copula; density forecasts