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  • Search: subject:"HAR(∞) model"
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Year of publication
Subject
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HAR model 63 Volatility 61 Volatilität 61 Forecasting model 45 Prognoseverfahren 45 ARCH model 41 ARCH-Modell 41 Theorie 24 Theory 24 Realized volatility 23 Aktienmarkt 22 Stock market 22 Time series analysis 21 Zeitreihenanalyse 21 Estimation 20 Schätzung 20 Börsenkurs 17 Share price 17 Capital income 16 Kapitaleinkommen 16 VIX 13 Aktienindex 11 Stock index 11 Volatility forecasting 10 Welt 10 World 10 Forecast 9 Structural break 9 China 7 Estimation theory 7 Prognose 7 Schätztheorie 7 Oil price 6 Stochastic process 6 Stochastischer Prozess 6 realized volatility 6 volatility forecasting 6 Ölpreis 6 Forecasting 5 Index futures 5
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Online availability
All
Undetermined 49 Free 26 CC license 4
Type of publication
All
Article 68 Book / Working Paper 16
Type of publication (narrower categories)
All
Article in journal 56 Aufsatz in Zeitschrift 56 Working Paper 11 Arbeitspapier 9 Graue Literatur 9 Non-commercial literature 9 Article 6
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Language
All
English 73 Undetermined 11
Author
All
Todorova, Neda 6 Han, Heejoon 5 Luo, Jiawen 5 Ryu, Doojin 5 Zhang, Yaojie 5 Allen, David E. 4 Clements, Adam 4 Degiannakis, Stavros 4 Demirer, Rıza 4 Souček, Michael 4 Audrino, Francesco 3 Buncic, Daniel 3 Camponovo, Lorenzo 3 Delis, Panagiotis 3 Filis, George 3 Hwang, Eunju 3 Kutan, Ali M. 3 Ma, Feng 3 Roth, Constantin 3 Wei, Yu 3 Baillie, Richard 2 Bauwens, Luc 2 Calonaci, Fabio 2 Chen, Langnan 2 Chen, Ruijie 2 Cho, Dooyeon 2 Fičura, Milan 2 Ftiti, Zied 2 Gisler, Katja I. M. 2 Gupta, Rangan 2 Harvey, Andrew C. 2 Hsiao, Cheng 2 Kutan, Ali Mustafa 2 Lee, Oesook 2 Lei, Likun 2 Liao, Yin 2 McAleer, Michael 2 Niu, Zibo 2 Palumbo, Dario 2 Qiao, Gaoxiu 2
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Institution
All
School of Economics and Political Science, Universität St. Gallen 2 Institut für Weltwirtschaft (IfW) 1
Published in...
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International journal of forecasting 5 Journal of forecasting 5 Energy economics 4 Finance research letters 4 Applied economics 3 Economics letters 3 The journal of futures markets 3 Applied economics letters 2 Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics 2 Econometric reviews 2 Economic Modelling 2 Economic modelling 2 Economics Letters 2 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 2 Journal of econometrics 2 Journal of empirical finance 2 Working Paper / Bank of Greece 2 Applied Energy 1 Business analytics working paper series 1 Cambridge working papers in economics 1 China finance review international 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Department of Economics working paper series 1 Economics : the open-access, open-assessment e-journal 1 Economics : the open-access, open-assessment journal 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics: The Open-Access, Open-Assessment E-Journal 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Energy Economics 1 European Financial and Accounting Journal 1 European financial and accounting journal : EFAJ 1 Financial Innovation 1 Financial innovation : FIN 1 International journal of finance & economics : IJFE 1 International review of financial analysis 1 Journal of Econometrics 1 Journal of Risk and Financial Management 1 Journal of banking & finance 1
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Source
All
ECONIS (ZBW) 65 RePEc 11 EconStor 8
Showing 1 - 10 of 84
Cover Image
Trading VIX on volatility forecasts : another volatility puzzle?
Degiannakis, Stavros; Delis, Panagiotis; Filis, George; … - 2025
Persistent link: https://www.econbiz.de/10015197247
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Navigating crude oil volatility forecasts : assessing the contribution of geopolitical risk
Delis, Panagiotis; Degiannakis, Stavros; Filis, George - 2025
Persistent link: https://www.econbiz.de/10015422736
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Forecasting Ethereum's volatility : an expansive approach using HAR models and structural breaks
Chen, Ruijie - In: Cogent economics & finance 12 (2024) 1, pp. 1-17
Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...
Persistent link: https://www.econbiz.de/10015394270
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Forecast combination puzzle in the HAR model
Clements, Adam; Vasnev, Andrey L - In: Journal of forecasting 43 (2024) 1, pp. 118-137
Persistent link: https://www.econbiz.de/10014443188
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Forecasting Ethereum’s volatility: an expansive approach using HAR models and structural breaks
Chen, Ruijie - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-17
Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...
Persistent link: https://www.econbiz.de/10015426016
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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan - In: Journal of empirical finance 81 (2025), pp. 1-34
Persistent link: https://www.econbiz.de/10015405336
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Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects
Luo, Jiawen; Chen, Zhenbiao; Cheng, Mingmian - In: Journal of empirical finance 80 (2025), pp. 1-24
Persistent link: https://www.econbiz.de/10015329724
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Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
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Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Ҫepni, Oğuzhan; Demirer, Rıza; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10013469716
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Cover Image
Understanding intraday oil price dynamics during the COVID-19 pandemic : new evidence from oil and stock investor sentiments
Madani, Mohamed Arbi; Ftiti, Zied - In: The energy journal 45 (2024) 3, pp. 57-86
Persistent link: https://www.econbiz.de/10015273053
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