Search Results - subject:"Heteroscedasticity"

A statistically identified structural vector autoregression with endogenously switching volatility regime

Virolainen, Savi - In: Journal of business & economic statistics : JBES ; a … 43 (2025) 1, pp. 44-54

Persistent link: https://www.econbiz.de/10015533863

Investigating the impact of energy price volatility on Borsa Istanbul chemical petroleum plastic index returns

Kandır, Serkan Yilmaz; Mermer, Gozde Elbir - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 3, pp. 37-46

Persistent link: https://www.econbiz.de/10015418798

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

Evaluating the effects of the monetary policy on the total stock market index in the Iranian economy : using the TVP-VAR and GARCH approaches

Zarei, Zhale; Hemmati, Maryam; Davoudi, Pedram - In: Iranian economic review : journal of University of Tehran 28 (2024) 3, pp. 899-920

Persistent link: https://www.econbiz.de/10015402933

Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - In: Macroeconomic dynamics 28 (2024) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10014465380

Testing the correct specification of a system of spatial dependence models for stock returns

Kutzker, Tim; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2083-2103

Persistent link: https://www.econbiz.de/10014520115

Inflation dynamics and persistence : the importance of the uncertainty channel

Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014534818

Sequential change-point detection in time series models with conditional heteroscedasticity

Lee, Youngmi; Kim, Sungdon; Oh, Haejune - In: Economics letters 236 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015071897

Modeling volatility in the Nigeria stock exchange : the role of structural breaks

Ucheoma, Ekejiuba C. - In: CBN journal of applied statistics 15 (2024) 2, pp. 71-92

This study models volatility in the daily Nigeria Stock Exchange 30 index from Jan- uary 30, 2012 to August 31, 2020, comparing the Modified Iterated Cumulative Sums of Squares (MICSS) and the traditional cumulative sum of squares (CUSUMSQ) ap- proaches. Findings reveal that integrating...

Persistent link: https://www.econbiz.de/10015454849

Direct versus iterated multiperiod Value-at-Risk forecasts

Ruiz, Esther; Nieto, María Rosa - In: Journal of economic surveys 37 (2023) 3, pp. 915-949

Persistent link: https://www.econbiz.de/10014337985