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ECONIS (ZBW)
202
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202
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1
Random autoregressive models : a structured overview
Regis, Marta
;
Serra, Paulo
;
Heuvel, Edwin R. van den
- In:
Econometric reviews
41
(
2022
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
Saved in:
2
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
3
Dynamic dependence of futures basis between the Chinese and international grains markets
Wang, Hao
;
Dong, Yizhe
;
Sun, Mingli
;
Shi, Baofeng
;
Ji, Hao
- In:
Economic modelling
130
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014451147
Saved in:
4
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
5
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
Saved in:
6
An application of copulas to OPEC's changing influence on fossil fuel prices
Graziano, Clara
;
McInnes, Alex
- In:
Econometric reviews
42
(
2023
)
8
,
pp. 676-699
Persistent link: https://www.econbiz.de/10014321661
Saved in:
7
The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants
Pan, Beier
- In:
Economic modelling
124
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463273
Saved in:
8
Price risk analysis using GARCH family models : evidence from Shanghai crude oil futures market
Bei, Shuhua
;
Yang, Aijun
;
Pei, Haotian
;
Si, Xiaoli
- In:
Economic modelling
125
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014463673
Saved in:
9
Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Liu, Wei
;
Garrett, Ian
- In:
Economic modelling
128
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
Saved in:
10
Extreme risk spillovers across financial markets under different crises
Cao, Yufei
- In:
Economic modelling
116
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014512465
Saved in:
11
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
Saved in:
12
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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13
How does oil price volatility affect unemployment rates? : a dynamic stochastic general equilibrium model
Chan, Ying Tung
;
Dong, Yilin
- In:
Economic modelling
114
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013367576
Saved in:
14
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
15
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
16
Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?
Jiang, Kunliang
;
Ye, Wuyi
- In:
Economic modelling
117
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014229176
Saved in:
17
Returns, volatility and the cryptocurrency bubble of 2017-18
Cross, Jamie
;
Hou, Chenghan
;
Trinh, Kelly
- In:
Economic modelling
104
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013164208
Saved in:
18
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, …
- In:
Econometric reviews
40
(
2021
)
6
,
pp. 584-606
Persistent link: https://www.econbiz.de/10012624525
Saved in:
19
Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism
Wen, Danyan
;
Wang, Yudong
;
Zhang, Yaojie
- In:
Economic modelling
96
(
2021
),
pp. 209-219
Persistent link: https://www.econbiz.de/10012745351
Saved in:
20
Evidence on time-varying inflation synchronization
Szafranek, Karol
- In:
Economic modelling
94
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012694692
Saved in:
21
The golden hedge : from global financial crisis to global pandemic
Burdekin, Richard C. K.
;
Tao, Ran
- In:
Economic modelling
95
(
2021
),
pp. 170-180
Persistent link: https://www.econbiz.de/10012695921
Saved in:
22
Investigating the dynamic relationship between litigation funding, gold, bitcoin and the stock market : the case of Australia
Amanjot Singh
- In:
Economic modelling
97
(
2021
),
pp. 45-57
Persistent link: https://www.econbiz.de/10012793297
Saved in:
23
Correlation regimes in international equity and bond returns
Aslanidis, Nektarios
;
Martinez, Oscar
- In:
Economic modelling
97
(
2021
),
pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
Saved in:
24
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
25
High-dimensional penalized arch processes
Poignard, Benjamin
;
Fermanian, Jean-David
- In:
Econometric reviews
40
(
2021
)
1
,
pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
Saved in:
26
The continuous limit of weak GARCH
Alexander, Carol
;
Lazar, Emese
- In:
Econometric reviews
40
(
2021
)
2
,
pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
Saved in:
27
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
28
Economic policy uncertainty and the Chinese stock market volatility : novel evidence
Li, Tao
;
Ma, Feng
;
Zhang, Xuehua
;
Zhang, Yaojie
- In:
Economic modelling
87
(
2020
),
pp. 24-33
Persistent link: https://www.econbiz.de/10012416291
Saved in:
29
Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing
;
Liang, Fang
;
Wang, Tianyi
;
Huang, Zhuo
- In:
Economic modelling
87
(
2020
),
pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
Saved in:
30
Testing for a unit root with nonstationary nonlinear heteroskedasticity
Tu, Yundong
;
Chan, Nigel
;
Wang, Qiying
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 904-929
Persistent link: https://www.econbiz.de/10012295588
Saved in:
31
Volatility spillovers across European stock markets under the uncertainty of Brexit
Li, Hong
- In:
Economic modelling
84
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012210266
Saved in:
32
Dynamic frequency connectedness between oil and natural gas volatilities
Lovcha, Yuliya
;
Perez-Laborda, Alejandro
- In:
Economic modelling
84
(
2020
),
pp. 181-189
Persistent link: https://www.econbiz.de/10012210340
Saved in:
33
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
34
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
35
Price volatility spillovers between supply chain and innovation of financial pledges in China
Hu, Haiqing
;
Chen, Di
;
Sui, Bo
;
Zhang, Lang
;
Wang, Yinyin
- In:
Economic modelling
89
(
2020
),
pp. 397-413
Persistent link: https://www.econbiz.de/10012426120
Saved in:
36
Exploring GDP growth volatility spillovers across countries
Abosedra, Salah S.
;
Araissi, Mahmoud
;
Ben Sita, Bernard
; …
- In:
Economic modelling
89
(
2020
),
pp. 577-589
Persistent link: https://www.econbiz.de/10012426246
Saved in:
37
Volatility forecasting using related markets' information for the Tokyo stock exchange
Jayawardena, Nirodha I.
;
Todorova, Neda
;
Li, Bin
;
Su, Jen-je
- In:
Economic modelling
90
(
2020
),
pp. 143-158
Persistent link: https://www.econbiz.de/10012428085
Saved in:
38
Volatility transmission between oil prices and banks' stock prices as a new source of instability : lessons from the United States experience
Ehouman, Yao Axel
- In:
Economic modelling
91
(
2020
),
pp. 198-217
Persistent link: https://www.econbiz.de/10012429033
Saved in:
39
Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min
;
Taylor, James W.
;
Choo, Wei Chong
- In:
Economic modelling
93
(
2020
),
pp. 651-659
Persistent link: https://www.econbiz.de/10012430324
Saved in:
40
Who poisons the pool? : time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets
Ngene, Geoffrey M.
;
Lee Kim, Yea
;
Wang, Jinghua
- In:
Economic modelling
81
(
2019
),
pp. 136-147
Persistent link: https://www.econbiz.de/10012201529
Saved in:
41
The relationship between trading activity and stock market volatility : does the volume threshold matter?
Koubaa, Yosra
;
Slim, Skander
- In:
Economic modelling
82
(
2019
),
pp. 168-184
Persistent link: https://www.econbiz.de/10012202914
Saved in:
42
Analyzing exchange rate uncertainty and bilateral export growth in China : a multivariate GARCH-based approach
Smallwood, Aaron D.
- In:
Economic modelling
82
(
2019
),
pp. 332-344
Persistent link: https://www.econbiz.de/10012203131
Saved in:
43
Intersectoral default contagion : a multivariate Poisson autoregression analysis
Escribano, Ana
;
Maggi, Mario Alessandro
- In:
Economic modelling
82
(
2019
),
pp. 376-400
Persistent link: https://www.econbiz.de/10012203181
Saved in:
44
Correlation dynamics of crude oil with agricultural commodities : a comparison between energy and food crops
Pal, Debdatta
;
Mitra, Subrata Kumar
- In:
Economic modelling
82
(
2019
),
pp. 453-466
Persistent link: https://www.econbiz.de/10012203189
Saved in:
45
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
Saved in:
46
Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Halunga, Andreea G.
;
Savva, Christos S.
- In:
Econometric reviews
38
(
2019
)
6
,
pp. 660-678
Persistent link: https://www.econbiz.de/10012181343
Saved in:
47
On the asymmetric impact of macro-variables on volatility
Amendola, Alessandra
;
Candila, Vincenzo
;
Gallo, Giampiero M.
- In:
Economic modelling
76
(
2019
),
pp. 135-152
Persistent link: https://www.econbiz.de/10012198276
Saved in:
48
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
49
Impacts of China's crash on Asia-Pacific financial integration : volatility interdependence, information transmission and market co-movement
Ahmed, Abdullahi Dahir
;
Huo, Rui
- In:
Economic modelling
79
(
2019
),
pp. 28-46
Persistent link: https://www.econbiz.de/10012199007
Saved in:
50
Forecasting the aggregate oil price volatility in a data-rich environment
Ma, Feng
;
Liu, Jing
;
Wahab, M. I. M.
;
Zhang, Yaojie
- In:
Economic modelling
72
(
2018
),
pp. 320-332
Persistent link: https://www.econbiz.de/10012100341
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