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~isPartOf:"Energy economics"
~isPartOf:"Journal of time series econometrics"
~subject:"ARCH model"
~subject:"Stochastischer Prozess"
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ARCH model
Stochastischer Prozess
Time series analysis
19
Zeitreihenanalyse
19
Long memory
14
Volatility
11
Volatilität
11
ARCH-Modell
10
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9
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long memory
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Asai, Manabu
2
Hammoudeh, Shawkat
2
Nguyen, Duc Khuong
2
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1
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1
Bardet, Jean-Marc
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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1
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Energy economics
Journal of time series econometrics
Discussion paper / Tinbergen Institute
11
Research in international business and finance
11
Economic modelling
8
Finance research letters
8
The North American journal of economics and finance : a journal of financial economics studies
8
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
5
International review of economics & finance : IREF
5
Journal of econometrics
5
Applied economics
4
Computational economics
4
Journal of empirical finance
4
Applied economics letters
3
Economics and finance working paper series
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
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3
International journal of economics and financial issues : IJEFI
3
International journal of forecasting
3
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3
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3
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3
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2
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2
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2
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2
International review of financial analysis
2
Journal of East Asian economic integration
2
Journal of banking & finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Maritime economics & logistics : a quarterly scientific journal committed to the advancement of maritime economics as a distinct and well defined branch of both applied economics and international business
2
Pacific accounting review
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
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ECONIS (ZBW)
12
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1
Cointegrated dynamics for a generalized
long
memory
process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
2
Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina
;
Kyriakou, Ioannis
;
Tamvakis, Michael
; …
- In:
Energy economics
88
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
Saved in:
3
Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
Bardet, Jean-Marc
;
Dola, Béchir
- In:
Journal of time series econometrics
8
(
2016
)
2
,
pp. 115-153
Persistent link: https://www.econbiz.de/10011582764
Saved in:
4
Oil price risk evaluation using a novel hybrid model based on time-varying
long
memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
5
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
6
A Markov switching
long
memory
model of crude oil price return volatility
Di Sanzo, Silvestro
- In:
Energy economics
74
(
2018
),
pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
Saved in:
7
Oil price volatility forecast with mixture memory GARCH
Klein, Tony
;
Walther, Thomas
- In:
Energy economics
58
(
2016
),
pp. 46-58
Persistent link: https://www.econbiz.de/10011698485
Saved in:
8
Long
memory
and asymmetry for matrix-exponential dynamic correlation processes
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10010510043
Saved in:
9
Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos
- In:
Journal of time series econometrics
7
(
2015
)
2
,
pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
Saved in:
10
How do OPEC news and structural breaks impact returns and volatility in crude oil markets? : further evidence from a
long
memory
process
Mensi, Walid
;
Hammoudeh, Shawkat
;
Yoon, Seong-min
- In:
Energy economics
42
(
2014
),
pp. 343-354
Persistent link: https://www.econbiz.de/10010503579
Saved in:
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