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Search: subject:"Modified ICSS algorithm"
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ARCH model
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Volatility
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Volatilität
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modified ICSS algorithm
3
Exchange rate
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IGARCH effect
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Nonstationary variance
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Wechselkurs
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real GDP growth and volatility
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the Great Moderation
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Börsenkurs
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Commodity derivative
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Crude oil market
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Devisenmarkt
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Eastern Europe
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Eastern European countries
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Erdöl
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FIGARCH models
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Flexible Fourier form
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Foreign exchange market
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GARCH Process
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Modified ICSS Algorithm
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Modified ICSS algorithm
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Oil market
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Oil price
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Osteuropa
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Prognoseverfahren
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Rohstoffderivat
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Schock
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Share price
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Shock
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Shock Transmission
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Structural Changes
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Structural break
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Fang, WenShwo
2
Lee, ChunShen
2
Miller, Stephen M.
2
Abounoori, Esmaiel
1
Elmi, Zahra Mila
1
Milenković, Ivan
1
Njegić, Jovan
1
Rasekhi, Saeed
1
Shahrazi, Mohammad Mahdi
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Zhang, Han
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Zhang, Yue-Jun
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Živkov, Dejan
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Department of Economics, University of Connecticut
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Finance a úvěr
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International review of financial analysis
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Iranian economic review : journal of University of Tehran
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Working papers / Department of Economics, University of Connecticut
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ECONIS (ZBW)
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Volatility forecasting of crude oil futures market : which structural change-based HAR models have better performance?
Zhang, Yue-Jun
;
Zhang, Han
- In:
International review of financial analysis
85
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014234971
Saved in:
2
The influence of structural changes in volatility on shock transmission and volatility spillover among Iranian gold and foreign exchange markets
Shahrazi, Mohammad Mahdi
;
Elmi, Zahra Mila
;
Abounoori, …
- In:
Iranian economic review : journal of University of Tehran
18
(
2014
)
2
,
pp. 73-86
Persistent link: https://www.econbiz.de/10011455410
Saved in:
3
Bidirectional volatility spillover effect between the exchange rate and stocks in the presence of structural breaks in selected Eastern European economies
Živkov, Dejan
;
Njegić, Jovan
;
Milenković, Ivan
- In:
Finance a úvěr
65
(
2015
)
6
,
pp. 477-498
Persistent link: https://www.econbiz.de/10011415785
Saved in:
4
Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models
Fang, WenShwo
;
Miller, Stephen M.
;
Lee, ChunShen
-
2007
few decades. In this paper, we employ the
modified
ICSS
algorithm
to detect structural change in the unconditional …
Persistent link: https://www.econbiz.de/10009430121
Saved in:
5
Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models
Miller, Stephen M.
;
Fang, WenShwo
;
Lee, ChunShen
-
Department of Economics, University of Connecticut
-
2007
past few decades. In this paper, we employ the
modified
ICSS
algorithm
to detect structural change in the variance of …
Persistent link: https://www.econbiz.de/10005746152
Saved in:
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