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~isPartOf:"Computational economics"
~language:"eng"
~subject:"State space model"
~subject:"Volatilität"
~type_genre:"Article in journal"
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State space model
Volatilität
Theorie
532
Theory
532
Forecasting model
149
Prognoseverfahren
149
Time series analysis
126
Zeitreihenanalyse
126
Portfolio selection
108
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108
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107
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154
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Boubaker, Heni
6
Li, Yushu
4
Tiwari, Aviral Kumar
4
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3
Li, Yong
3
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2
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2
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2
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2
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1
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1
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1
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1
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Computational economics
Energy economics
632
Finance research letters
542
International review of financial analysis
411
Applied economics
406
Economic modelling
401
Journal of banking & finance
381
International review of economics & finance : IREF
362
Journal of econometrics
362
The journal of futures markets
349
The North American journal of economics and finance : a journal of financial economics studies
346
Economics letters
297
Applied economics letters
286
Applied financial economics
273
Journal of empirical finance
267
Research in international business and finance
263
International journal of theoretical and applied finance
253
Journal of international financial markets, institutions & money
245
Journal of international money and finance
227
Journal of risk and financial management : JRFM
210
Quantitative finance
188
International journal of forecasting
187
Journal of financial economics
185
Journal of economic dynamics & control
184
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
177
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
175
Journal of forecasting
171
International Journal of Energy Economics and Policy : IJEEP
169
Pacific-Basin finance journal
169
The European journal of finance
159
International journal of finance & economics : IJFE
150
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
130
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
127
The review of financial studies
126
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
124
The journal of finance : the journal of the American Finance Association
117
Applied mathematical finance
116
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International journal of economics and financial issues : IJEFI
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Review of quantitative finance and accounting
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ECONIS (ZBW)
154
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1
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:
2
Convertible bond arbitrage smart beta
Zeitsch, Peter J.
- In:
Computational economics
63
(
2024
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10014472067
Saved in:
3
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:
4
Nonparametric test for volatility in clustered multiple time series
Barrios, Erniel B.
;
Redondo, Paolo Victor T.
- In:
Computational economics
63
(
2024
)
2
,
pp. 861-876
Persistent link: https://www.econbiz.de/10014475068
Saved in:
5
Are the eurozone financial and business cycles convergent across time and frequency?
Mansour-Ibrahim, Dalia
- In:
Computational economics
61
(
2023
)
1
,
pp. 389-427
Persistent link: https://www.econbiz.de/10014228435
Saved in:
6
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
7
DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha
;
Shin, Minchul
;
Tan, Fei
- In:
Computational economics
61
(
2023
)
1
,
pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
Saved in:
8
Exploring the nonlinear idiosyncratic volatility puzzle : evidence from China
Li, Bo
;
Boubaker, Sabri
;
Liu, Zhenya
;
Louhichi, Waël
; …
- In:
Computational economics
62
(
2023
)
2
,
pp. 527-559
Persistent link: https://www.econbiz.de/10014382734
Saved in:
9
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
Saved in:
10
A hybrid ARFIMA wavelet artificial neural network model for DJIA index forecasting
Boubaker, Heni
;
Canarella, Giorgio
;
Gupta, Rangan
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1801-1843
Persistent link: https://www.econbiz.de/10014437593
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