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subject:"Germany"
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~subject:"ARCH model"
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Search: subject_exact:"Zeitreihenzerlegung"
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Germany
ARCH model
Time series analysis
265
Zeitreihenanalyse
265
Theorie
112
Theory
112
Estimation
100
Schätzung
100
Forecasting model
59
Prognoseverfahren
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Huang, Zhuo
2
Kumar, Dilip
2
Maheswaran, S.
2
Wang, Tianyi
2
Angelini, Elena
1
Avdoulas, Christos
1
Babikir, Ali
1
Bekiros, Stelios
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Belkhouja, Mustapha
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1
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1
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1
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1
Fei, Fangyu
1
Feld, Lars P.
1
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1
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1
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1
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1
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Ho, Kin-Yip
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Jayawardena, Nirodha I.
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1
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1
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1
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Economic modelling
Discussion paper / Tinbergen Institute
46
Journal of econometrics
46
Journal of empirical finance
36
Applied economics
34
International journal of forecasting
33
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
33
Economics letters
32
Energy economics
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Finance research letters
26
CESifo working papers
24
The North American journal of economics and finance : a journal of financial economics studies
22
Journal of forecasting
21
Working paper
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
20
CREATES research paper
19
International review of economics & finance : IREF
18
International review of financial analysis
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Econometric reviews
17
Journal of risk and financial management : JRFM
17
Research in international business and finance
16
Econometric Institute research papers
15
Applied financial economics
14
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Jahrbücher für Nationalökonomie und Statistik
14
Journal of banking & finance
14
Journal of international financial markets, institutions & money
14
Journal of time series econometrics
14
The econometrics journal
14
International Journal of Energy Economics and Policy : IJEEP
13
Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Journal of financial econometrics
12
Computational economics
11
Discussion papers / Deutsches Institut für Wirtschaftsforschung
11
Econometric theory
11
Journal of risk
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ECONIS (ZBW)
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1
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
2
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
Saved in:
3
Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Liu, Wei
;
Garrett, Ian
- In:
Economic modelling
128
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
Saved in:
4
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
5
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
6
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
7
Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min
;
Taylor, James W.
;
Choo, Wei Chong
- In:
Economic modelling
93
(
2020
),
pp. 651-659
Persistent link: https://www.econbiz.de/10012430324
Saved in:
8
Dynamic frequency connectedness between oil and natural gas volatilities
Lovcha, Yuliya
;
Perez-Laborda, Alejandro
- In:
Economic modelling
84
(
2020
),
pp. 181-189
Persistent link: https://www.econbiz.de/10012210340
Saved in:
9
Testing extreme dependence in financial time series
Chaudhuri, Kausik
;
Sen, Rituparna
;
Tan, Zheng
- In:
Economic modelling
73
(
2018
),
pp. 378-394
Persistent link: https://www.econbiz.de/10012100537
Saved in:
10
Macroeconomic and financial effects of oil price shocks : evidence for the euro area
Morana, Claudio
- In:
Economic modelling
64
(
2017
),
pp. 82-96
Persistent link: https://www.econbiz.de/10011756484
Saved in:
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