Search Results - subject:"Conditional Heteroskedasticity"

Oil price volatility and unemployment in iraq : a two-stage approach using generalized autoregressive conditional heteroskedasticity-mixed-data sampling

Abed, Zainab Ahmed; Barguellil, Achouak; Fathalla, … - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 1, pp. 352-359

Persistent link: https://www.econbiz.de/10015616941

The volatility spillover of global oil price uncertainty

Pícha, Kamil; Tichá, Lucie; Chuponov, Sanat; Ataev, Jasur - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 619-624

Persistent link: https://www.econbiz.de/10014533486

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de/10015604163

Interplay of volatility and geopolitical tensions in clean energy markets : a comprehensive GARC-ISTM forecasting approach

Brik, Hatem; Ouakdi, Jihene El - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 4, pp. 92-107

Persistent link: https://www.econbiz.de/10014634872

A long short-term memory enhanced realized conditional heteroskedasticity model

Liu, Chen; Wang, Chao; Minh-Ngoc Tran; Kohn, Robert - In: Economic modelling 142 (2025), pp. 1-10

Persistent link: https://www.econbiz.de/10015192384

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - In: International journal of empirical economics 4 (2025) 2, pp. 1-38

) balance sheet. It uses a generalised autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of …

Persistent link: https://www.econbiz.de/10015445622

Forecasting gasoline market volatility using non-linear time series models

Kalaitzi, Athanasia Stylianou; Kalaitzi, Evgenia Stylianou - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 4, pp. 139-151

Persistent link: https://www.econbiz.de/10015448658

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - In: Journal of econometrics 244 (2024) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10015553737

Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries

Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786

conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the …

Persistent link: https://www.econbiz.de/10014635386

Managing systemic risk in energy and financial markets : evidence from five portfolio strategies based on connectedness

Bouzguenda, Mariem; Jarboui, Anis - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 2, pp. 665-679

Persistent link: https://www.econbiz.de/10015620298

A service of the

zbw

FAQ-Assistent (beta)