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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Economic modelling"
~isPartOf:"Finance research letters"
~isPartOf:"International Journal of Energy Economics and Policy : IJEEP"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"ARCH model"
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Zeitreihenanalyse
ARCH model
462
ARCH-Modell
462
Volatility
324
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324
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137
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137
Börsenkurs
112
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McAleer, Michael
13
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4
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Ambya, Ambya
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Chang, Chia-Lin
3
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Mustofa Usman
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2
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2
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2
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Shi, Yanlin
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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1
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1
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Econometric Institute research papers
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42
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42
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36
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ECONIS (ZBW)
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1
Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana
;
Russel, Edwin
;
Alam, Iskandar Ali
;
Widiarti
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
Saved in:
2
Dynamic modeling and analysis of some energy companies of Indonesia over the year 2018 to 2022 by using VAR(p)-CCC GARCH(r,s) model
Mustofa Usman
;
Komarudin, M.
;
Nurhanurawati
;
Russel, Edwin
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
4
,
pp. 542-554
Persistent link: https://www.econbiz.de/10014373695
Saved in:
3
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:
4
Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Chen, Zhenlong
;
Liu, Junjie
;
Hao, Xiaozhen
- In:
Finance research letters
64
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531739
Saved in:
5
Modelling and forecasting crude oil prices during COVID-19 Pandemic
Hendrawaty, Ernie
;
Azhar, Rialdi
;
Kesumah, Fajrin Satria Dwi
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
2
,
pp. 149-154
Persistent link: https://www.econbiz.de/10012608864
Saved in:
6
Modeling volatility and dependence of European carbon and energy prices
Berrisch, Jonathan
;
Pappert, Sven
;
Ziel, Florian
; …
- In:
Finance research letters
52
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014471974
Saved in:
7
Time-frequency correlations and extreme spillover effects between carbon markets and NFTs : the roles of EPU and COVID-19
Liu, Jiatong
- In:
Finance research letters
54
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014472625
Saved in:
8
Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao
;
Huang, Zhuo
;
Liang, Fang
- In:
Finance research letters
54
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
Saved in:
9
Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance
Yi, Chae-Deug
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014472978
Saved in:
10
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
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