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~isPartOf:"Computational economics"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Research in international business and finance"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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195
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195
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Computational economics
Journal of financial econometrics
Research in international business and finance
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98
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63
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59
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57
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56
International journal of forecasting
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ECONIS (ZBW)
77
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77
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1
Investigating the asymmetric behavior of oil price volatility using support vector regression
Li, Yushu
;
Karlsson, Hyunjoo Kim
- In:
Computational economics
61
(
2023
)
4
,
pp. 1765-1790
Persistent link: https://www.econbiz.de/10014327136
Saved in:
2
The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets : evidence from the pre- and post-COVID-19 periods
Tarchella, Salma
;
Khalfaoui, Rabeh
;
Hammoudeh, Shawkat
- In:
Research in international business and finance
67
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451553
Saved in:
3
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
4
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
5
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
6
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
7
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1680-1727
Persistent link: https://www.econbiz.de/10014444717
Saved in:
8
Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications
Liu, Zhenhua
;
Ji, Qiang
;
Zhai, Pengxiang
;
Ding, Zhihua
- In:
Research in international business and finance
66
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014462203
Saved in:
9
Forecasting stock market volatility under parameter and model uncertainty
Li, Zhao-Chen
;
Chi, Xie
;
Wang, Gang-Jin
;
Zhu, You
; …
- In:
Research in international business and finance
66
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014463139
Saved in:
10
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
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