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Economic modelling
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1
Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo
;
Kang, Kyu Ho
- In:
Journal of empirical finance
72
(
2023
),
pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
Saved in:
2
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
3
Flexible inflation targeting and stock market volatility : evidence from emerging market economies
Dridi, Ichrak
;
Boughrara, Adel
- In:
Economic modelling
126
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462464
Saved in:
4
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
Saved in:
5
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
6
Macroeconomic effects of monetary policy in Korea : a time-varying coefficient VAR approach
Han, Jeong sug
;
Hur, Joonyoung
- In:
Economic modelling
89
(
2020
),
pp. 142-152
Persistent link: https://www.econbiz.de/10012425933
Saved in:
7
Bond and option prices with permanent shocks
Zoubi, Haitham al-
- In:
Journal of empirical finance
53
(
2019
),
pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
Saved in:
8
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
Saved in:
9
Marked Hawkes process modeling of price dynamics and volatility estimation
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of empirical finance
40
(
2017
),
pp. 174-200
Persistent link: https://www.econbiz.de/10011745018
Saved in:
10
Nonparametric estimates of pricing functionals
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Journal of empirical finance
44
(
2017
),
pp. 19-35
Persistent link: https://www.econbiz.de/10011817977
Saved in:
11
Trend inflation estimates for Thailand from disaggregated data
Pym Manopimoke
;
Vorada Limjaroenrat
- In:
Economic modelling
65
(
2017
),
pp. 75-94
Persistent link: https://www.econbiz.de/10011813600
Saved in:
12
Parameter instability, stochastic volatility and estimation based on simulated likelihood : evidence from the crude oil market
Nonejad, Nima
- In:
Economic modelling
61
(
2017
),
pp. 388-408
Persistent link: https://www.econbiz.de/10011736901
Saved in:
13
Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis
- In:
Economic modelling
58
(
2016
),
pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
Saved in:
14
A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun
;
Liu, Guifang
;
Li, Hongyi
- In:
Economic modelling
59
(
2016
),
pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
Saved in:
15
Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis
Kumar, Dilip
- In:
Economic modelling
49
(
2015
),
pp. 354-371
Persistent link: https://www.econbiz.de/10011439594
Saved in:
16
The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
- In:
Journal of empirical finance
32
(
2015
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
Saved in:
17
Power transformations of absolute returns and long memory estimation
Dalla, Violetta
- In:
Journal of empirical finance
33
(
2015
),
pp. 1-18
Persistent link: https://www.econbiz.de/10011556833
Saved in:
18
Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
19
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
20
Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik
;
Lien, Gudbrand
;
Veka, Steinar
;
Westgaard, Sjur
- In:
Economic modelling
43
(
2014
),
pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
Saved in:
21
A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
38
(
2014
),
pp. 33-44
Persistent link: https://www.econbiz.de/10010418224
Saved in:
22
Modelling changes in the unconditional variance of long stock return series
Amado, Cristina
;
Teräsvirta, Timo
- In:
Journal of empirical finance
25
(
2014
),
pp. 15-35
Persistent link: https://www.econbiz.de/10010462094
Saved in:
23
Asymmetric generalized impulse responses with an application in finance
Hatemi-J, Abdulnasser
- In:
Economic modelling
36
(
2014
),
pp. 18-22
Persistent link: https://www.econbiz.de/10010412088
Saved in:
24
High frequency lead/lag relationships : empirical facts
Huth, Nicolas
;
Abergel, Frédéric
- In:
Journal of empirical finance
26
(
2014
),
pp. 41-58
Persistent link: https://www.econbiz.de/10010472008
Saved in:
25
An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
Li, Minqiang
- In:
Journal of empirical finance
22
(
2013
),
pp. 128-139
Persistent link: https://www.econbiz.de/10009768415
Saved in:
26
An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
27
Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
31
(
2013
),
pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
Saved in:
28
Common persistence in conditional variance : a reconsideration
Li, Chang-shuai
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
Saved in:
29
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu
;
Hung, Jui-cheng
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Saved in:
30
Maximum likelihood estimation of non-affine volatility processes
Chourdakis, Kyriakos
;
Dotsis, George
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 533-545
Persistent link: https://www.econbiz.de/10009302070
Saved in:
31
Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua
;
McNeil, Alexander J.
- In:
Economic modelling
25
(
2008
)
5
,
pp. 850-867
Persistent link: https://www.econbiz.de/10003800096
Saved in:
32
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Saved in:
33
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
- In:
Journal of empirical finance
15
(
2008
)
3
,
pp. 549-566
Persistent link: https://www.econbiz.de/10003759632
Saved in:
34
Regime shifts in interest rate volatility
Sun, Licheng
- In:
Journal of empirical finance
12
(
2005
)
3
,
pp. 418-434
Persistent link: https://www.econbiz.de/10002900508
Saved in:
35
Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón
- In:
Journal of empirical finance
5
(
1998
)
2
,
pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
Saved in:
36
The incremental volatility information in one million foreign exchange quotations
Taylor, Stephen
- In:
Journal of empirical finance
4
(
1997
)
4
,
pp. 317-340
Persistent link: https://www.econbiz.de/10001236462
Saved in:
37
A multivariate GARCH model of risk premia in foreign exchange markets
Malliaropulos, Dimitrios
- In:
Economic modelling
14
(
1997
)
1
,
pp. 61-79
Persistent link: https://www.econbiz.de/10001241607
Saved in:
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