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~language:"eng"
~person:"Ma, Feng"
~subject:"Markov-Kette"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatilität"
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Markov-Kette
Zeitreihenanalyse
Volatility
89
Volatilität
89
Forecasting model
77
Prognoseverfahren
77
ARCH model
60
ARCH-Modell
60
Oil price
40
Ölpreis
40
Börsenkurs
37
Share price
37
Volatility forecasting
36
Aktienmarkt
35
Stock market
35
Commodity derivative
29
Rohstoffderivat
29
Capital income
28
Kapitaleinkommen
28
Welt
27
World
27
Estimation
25
Schätzung
25
Realized volatility
18
Erdöl
14
Petroleum
14
Forecast
13
Prognose
13
Risiko
12
Risk
12
Time series analysis
12
USA
10
United States
10
Markov chain
8
China
7
Oil market
7
Schock
7
Shock
7
Ölmarkt
7
Coronavirus
6
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Undetermined
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English
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Ma, Feng
McAleer, Michael
54
Caporale, Guglielmo Maria
52
Koopman, Siem Jan
43
Lux, Thomas
43
Gil-Alaña, Luis A.
34
Gupta, Rangan
34
Bollerslev, Tim
30
Härdle, Wolfgang
26
Andersen, Torben
24
Lucas, André
24
Rodriguez, Gabriel
22
Asai, Manabu
20
Hautsch, Nikolaus
20
Tauchen, George Eugene
20
Todorov, Viktor
20
Chan, Joshua
19
Bauwens, Luc
18
Dijk, Dick van
18
Sibbertsen, Philipp
18
Chang, Chia-Lin
17
Hansen, Peter Reinhard
17
Bos, Charles S.
16
Hafner, Christian M.
16
Hallin, Marc
16
Kim, Donggyu
16
Caporin, Massimiliano
15
Li, Jia
15
Sucarrat, Genaro
15
Taylor, Robert
15
Teräsvirta, Timo
15
Hounyo, Ulrich
14
Martin, Gael M.
14
Cavaliere, Giuseppe
13
Chiarella, Carl
13
Gonçalves, Sílvia
13
Baruník, Jozef
12
Clark, Todd E.
12
Cross, Jamie
12
Diebold, Francis X.
12
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Energy economics
5
Applied economics letters
3
Applied economics
2
International journal of finance & economics : IJFE
2
Economic modelling
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
International review of economics & finance : IREF
1
Journal of banking & finance
1
Journal of forecasting
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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1
Stock market volatility predictability in a data-rich world : a new insight
Ma, Feng
;
Wang, Jiqian
;
Wahab, M. I. M.
;
Ma, Yuanhui
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1804-1819
Persistent link: https://www.econbiz.de/10014465355
Saved in:
2
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
3
Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian
;
Ma, Feng
;
Liang, Chao
;
Chen, Zhonglu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
Saved in:
4
Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Tang, Yusui
;
Ma, Feng
;
Zhang, Yaojie
;
Wei, Yu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
Saved in:
5
Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Liu, Jing
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
Saved in:
6
An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Li, Xiafei
;
Liao, Yin
;
Lu, Xinjie
;
Ma, Feng
- In:
Energy economics
116
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013542124
Saved in:
7
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
8
Forecasting oil price volatility using high-frequency data : new evidence
Chen, Wang
;
Ma, Feng
;
Wei, Yu
;
Liu, Jing
- In:
International review of economics & finance : IREF
66
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012390514
Saved in:
9
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
10
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
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