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~subject:"Time series analysis"
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Time series analysis
Volatility
398
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398
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134
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134
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124
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124
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International review of financial analysis
Journal of econometrics
100
Discussion paper / Tinbergen Institute
76
Energy economics
67
International journal of forecasting
58
Economic modelling
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Journal of empirical finance
47
Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
Do commodity markets catch a cold from stock markets? : Modelling uncertainty spillovers using Google search trends and wavelet coherence
Szczygielski, Jan Jakub
;
Charteris, Ailie
;
Obojska, Lidia
- In:
International review of financial analysis
87
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014457702
Saved in:
2
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
3
Causality between volatility and the weekly economic index during COVID-19 : the predictive power of efficient markets and rational expectations
Cooray, Arusha
;
Gangopadhyay, Partha
;
Das, Narasingha
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467255
Saved in:
4
High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange
Bahcivan, Hulusi
;
Karahan, Cenk C.
- In:
International review of financial analysis
80
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013366247
Saved in:
5
A volatility model based on adaptive expectations : an improvement on the rational expectations model
Yao, Yuan
;
Zhao, Yang
;
Li, Yan
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013431245
Saved in:
6
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
7
Multiscaling and rough volatility : an empirical investigation
Brandi, Giuseppe
;
Di Matteo, Tiziana
- In:
International review of financial analysis
84
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013472729
Saved in:
8
Stock returns, quantile autocorrelation, and volatility forecasting
Zhao, Yixiu
;
Upreti, Vineet
;
Cai, Yuzhi
- In:
International review of financial analysis
73
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012803612
Saved in:
9
Asymmetry, tail risk and time series momentum
Liu, Zhenya
;
Lu, Shanglin
;
Wang, Shixuan
- In:
International review of financial analysis
78
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013255854
Saved in:
10
The economic importance of rare earth elements volatility forecasts
Proelss, Juliane
;
Schweizer, Denis
;
Seiler, Volker
- In:
International review of financial analysis
71
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012435747
Saved in:
11
Tail dependence between Bitcoin and financial assets : evidence from a quantile cross-spectral approach
Maghyereh, Aktham I.
;
Abdoh, Hussein
- In:
International review of financial analysis
71
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012436469
Saved in:
12
Time series momentum and macroeconomic risk
Hutchinson, Mark
;
O'Brien, John
- In:
International review of financial analysis
69
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012316906
Saved in:
13
Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models
Yu, Lean
;
Zha, Rui
;
Stafylas, Dimitrios
;
He, Kaijian
; …
- In:
International review of financial analysis
68
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012301075
Saved in:
14
Modeling intraday volatility of European bond markets : a data filtering application
Zhang, Hanyu
;
Dufour, Alfonso
- In:
International review of financial analysis
63
(
2019
),
pp. 131-146
Persistent link: https://www.econbiz.de/10012207431
Saved in:
15
Déjà vol oil? : predicting S&P 500 equity premium using crude oil price volatility : evidence from old and recent time-series data
Nonejad, Nima
- In:
International review of financial analysis
58
(
2018
),
pp. 260-270
Persistent link: https://www.econbiz.de/10012006463
Saved in:
16
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos
;
Yfanti, Stavroula
;
Karoglou, Michail
- In:
International review of financial analysis
45
(
2016
),
pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
Saved in:
17
Revisiting the asymmetric dynamic dependence of stock returns : evidence from a quantile autoregression model
Zhu, Huiming
;
Li, Zhao-Lai
;
You, Wan-hai
;
Zeng, Zhaofa
- In:
International review of financial analysis
40
(
2015
),
pp. 142-153
Persistent link: https://www.econbiz.de/10011475708
Saved in:
18
Long memory and level shifts in REITs returns and volatility
Assaf, Ata
- In:
International review of financial analysis
42
(
2015
),
pp. 172-182
Persistent link: https://www.econbiz.de/10011573409
Saved in:
19
Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
- In:
International review of financial analysis
30
(
2013
),
pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
Saved in:
20
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Degiannakis, Stavros
;
Floros, Christos
;
Dent, Pamela
- In:
International review of financial analysis
27
(
2013
),
pp. 21-33
Persistent link: https://www.econbiz.de/10009736952
Saved in:
21
Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
International review of financial analysis
29
(
2013
),
pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
Saved in:
22
Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis
Schreiber, Irene
;
Müller, Gernot
;
Klüppelberg, Claudia
; …
- In:
International review of financial analysis
24
(
2012
),
pp. 57-65
Persistent link: https://www.econbiz.de/10009688173
Saved in:
23
Quantifying volatility clustering in financial time series
Tseng, Jie-jun
;
Li, Sai-ping
- In:
International review of financial analysis
23
(
2012
),
pp. 11-19
Persistent link: https://www.econbiz.de/10009690145
Saved in:
24
On the dependence structure of realized volatilities
Mendes, Beatriz Vaz de Melo
;
Accioly, Victor Bello
- In:
International review of financial analysis
22
(
2012
),
pp. 1-9
Persistent link: https://www.econbiz.de/10010219700
Saved in:
25
Information transmission across currency futures markets : evidence from frequency domain tests
Ciner, Cetin
- In:
International review of financial analysis
20
(
2011
)
3
,
pp. 134-139
Persistent link: https://www.econbiz.de/10009295794
Saved in:
26
Empirically based modeling in financial economics and beyond, and spurious stylized facts
Bassler, Kevin E.
;
Gunaratne, Gemunu H.
;
McCauley, Joseph L.
- In:
International review of financial analysis
17
(
2008
)
5
,
pp. 767-783
Persistent link: https://www.econbiz.de/10003792190
Saved in:
27
Stochastic properties and predictability of intraday Taiwan exchange rates
Chen, An-Sing
;
Leung, Mark T.
- In:
International review of financial analysis
7
(
1998
)
3
,
pp. 207-220
Persistent link: https://www.econbiz.de/10001356592
Saved in:
28
Structural models: intra- inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures
Gannon, Gerard L.
- In:
International review of financial analysis
7
(
1998
)
1
,
pp. 19-36
Persistent link: https://www.econbiz.de/10001252958
Saved in:
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