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subject:"Time series analysis"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
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Search: subject_exact:"ARCH-Modell"
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Time series analysis
ARCH model
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Volatility
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Blazsek, Szabolcs
1
Chen, Wang
1
Ciarreta, Aitor
1
Das, Samarjit
1
Grobys, Klaus
1
Guhr, Thomas
1
Hamdi, Fayçal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Discussion paper / Tinbergen Institute
42
Journal of econometrics
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
29
International journal of forecasting
29
Applied economics
26
Economics letters
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Finance research letters
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
21
CREATES research paper
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International review of financial analysis
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Working paper
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Journal of risk and financial management : JRFM
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Research in international business and finance
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Econometric Institute research papers
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Econometric reviews
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International review of economics & finance : IREF
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Journal of banking & finance
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International Journal of Energy Economics and Policy : IJEEP
13
Journal of time series econometrics
13
The econometrics journal
13
Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Computational economics
11
Journal of financial econometrics
11
Journal of international financial markets, institutions & money
11
Journal of risk
11
Applied financial economics
10
Econometric theory
10
International journal of economics and finance
9
CORE discussion papers : DP
8
ECARES working paper
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International journal of finance & economics : IJFE
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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1
Realized volatility and jump testing in the Japanese electricity spot market
Ciarreta, Aitor
;
Muniain, Peru
;
Zarraga, Ainhoa
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
3
,
pp. 1143-1166
Persistent link: https://www.econbiz.de/10012219535
Saved in:
2
Forecasting the volatility of crude oil futures using high-frequency data : further evidence
Ma, Feng
;
Wei, Yu
;
Chen, Wang
;
He, Feng
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 653-678
Persistent link: https://www.econbiz.de/10011949867
Saved in:
3
Analysis of electricity prices for Central American countries using dynamic conditional score models
Blazsek, Szabolcs
;
Hernández, Hector
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1807-1848
Persistent link: https://www.econbiz.de/10011950337
Saved in:
4
Mixture periodic GARCH models : theory and applications
Hamdi, Fayçal
;
Souam, Saïd
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1925-1956
Persistent link: https://www.econbiz.de/10011950345
Saved in:
5
Spatial dependence in stock returns : local normalization and VaR forecasts
Schmitt, Thilo A.
;
Schäfer, Rudi
;
Wied, Dominik
;
Guhr, …
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
3
,
pp. 1091-1109
Persistent link: https://www.econbiz.de/10011481381
Saved in:
6
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Saved in:
7
Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Grobys, Klaus
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
3
,
pp. 1189-1202
Persistent link: https://www.econbiz.de/10011304126
Saved in:
8
Asset allocation under higher moments with the GARCH filter
Kinoshita, Ryo
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
1
,
pp. 235-254
Persistent link: https://www.econbiz.de/10011325723
Saved in:
9
Is the relative risk aversion parameter constant over time? : A multi-country study
Das, Samarjit
;
Sarkar, Nityananda
- In:
Empirical economics : a journal of the Institute for …
38
(
2010
)
3
,
pp. 605-617
Persistent link: https://www.econbiz.de/10003951628
Saved in:
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