Search Results - subject:"heteroscedasticity"

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

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

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

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

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

Extreme dependence, connectedness, and causality between US sector stocks and oil shocks

Mensi, Walid; Gök, Remzi; Gemici, Eray; Vo Xuan Vinh; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-26

Persistent link: https://www.econbiz.de/10015333022

On the correlations in linearized multivariate stochastic volatility models

Moussa, Karim - 2025

In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...

Persistent link: https://www.econbiz.de/10015333113

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