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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Energy economics"
~isPartOf:"Journal of forecasting"
~subject:"VAR model"
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Search: subject_exact:"Estimation theory"
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Volatility
VAR model
Estimation theory
180
Schätztheorie
180
Forecasting model
73
Prognoseverfahren
73
Time series analysis
66
Zeitreihenanalyse
66
Theorie
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Taylor, James W.
2
Abraham, Bovas
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Asia-Pacific financial markets
Energy economics
Journal of forecasting
Journal of econometrics
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Economics letters
42
Econometric reviews
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Econometrics : open access journal
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometric theory
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International journal of forecasting
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11
Journal of economic dynamics & control
11
Journal of risk and financial management : JRFM
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Applied economics
8
Applied economics letters
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8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
8
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
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7
Journal of time series econometrics
7
Oxford bulletin of economics and statistics
7
Theoretical economics letters
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Cogent economics & finance
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
European journal of operational research : EJOR
6
International journal of financial engineering
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1
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin
;
Ji, Kaiying
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
4
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
5
Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions
Bruns, Stephan B.
;
Moneta, Alessio
;
Stern, David I.
- In:
Energy economics
97
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012820027
Saved in:
6
Leverage effect in energy futures revisited
Carnero, M. Angeles
;
Pérez, Ana
- In:
Energy economics
82
(
2019
),
pp. 237-252
Persistent link: https://www.econbiz.de/10012173930
Saved in:
7
Mean-reverting no-arbitrage additive models for forward curves in energy markets
Latini, Luca
;
Piccirilli, Marco
;
Vargiolu, Tiziano
- In:
Energy economics
79
(
2019
),
pp. 157-170
Persistent link: https://www.econbiz.de/10012172269
Saved in:
8
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
9
Econometric modeling of regional electricity spot prices in the Australian market
Smith, Michael S.
;
Shively, Thomas S.
- In:
Energy economics
74
(
2018
),
pp. 886-903
Persistent link: https://www.econbiz.de/10011972998
Saved in:
10
Effects of jumps and small noise in high-frequency financial econometrics
Kunitomo, Naoto
;
Kurisu, Daisuke
- In:
Asia-Pacific financial markets
24
(
2017
)
1
,
pp. 39-73
Persistent link: https://www.econbiz.de/10011742284
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