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ECONIS (ZBW)
37
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1
Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Clements, Michael P.
;
Galvão, Ana Beatriz C.
- In:
Journal of applied econometrics
38
(
2023
)
2
,
pp. 164-185
Persistent link: https://www.econbiz.de/10014287961
Saved in:
2
The global component of inflation volatility
Carriero, Andrea
;
Corsello, Francesco
;
Marcellino, …
- In:
Journal of applied econometrics
37
(
2022
)
4
,
pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
Saved in:
3
Recurrent conditional heteroskedasticity
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Kohn, Robert
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 1031-1054
Persistent link: https://www.econbiz.de/10013464647
Saved in:
4
Optimal control of heteroscedastic macroeconomic models
Polito, Vito
;
Spencer, Peter D.
- In:
Journal of applied econometrics
31
(
2016
)
7
,
pp. 1430-1444
Persistent link: https://www.econbiz.de/10011687556
Saved in:
5
Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
Saved in:
6
The role of conditional heteroskedasticity in identifying and estimating linear triangular systems, with applications to asset pricing models that include a mismeasured factor
Prono, Todd
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 800-824
Persistent link: https://www.econbiz.de/10010414845
Saved in:
7
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 774-799
Persistent link: https://www.econbiz.de/10010414850
Saved in:
8
Conditionally heteroskedastic factor models with skewness and leverage effects
Dovonon, Prosper
- In:
Journal of applied econometrics
28
(
2013
)
7
,
pp. 1110-1137
Persistent link: https://www.econbiz.de/10010351082
Saved in:
9
Multivariate volatility modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
- In:
Journal of applied econometrics
28
(
2013
)
5
,
pp. 743-761
Persistent link: https://www.econbiz.de/10010351104
Saved in:
10
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Shek, Howard Howan
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
Saved in:
11
Multivariate high-frequency-based volatility (heavy) models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 907-933
Persistent link: https://www.econbiz.de/10010219743
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12
On the forecasting accuracy of multivariate GARCH models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 934-955
Persistent link: https://www.econbiz.de/10010219744
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13
Hierarchical Markov normal mixture models with applications to financial asset returns
Geweke, John
;
Amisano, Gianni
- In:
Journal of applied econometrics
26
(
2011
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10008937004
Saved in:
14
Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Dufour, Jean-Marie
;
Khalaf, Lynda
;
Beaulieu, Marie-Claude
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 263-285
Persistent link: https://www.econbiz.de/10008667604
Saved in:
15
Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
Saved in:
16
Structural breaks and GARCH models of exchange rate volatility
Rapach, David E.
;
Strauss, Jack
- In:
Journal of applied econometrics
23
(
2008
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10003682842
Saved in:
17
A unified approach to standardized-residuals-based correlation tests for GARCH-type models
Chen, Yi-ting
- In:
Journal of applied econometrics
23
(
2008
)
1
,
pp. 111-133
Persistent link: https://www.econbiz.de/10003682856
Saved in:
18
Multivariate GARCH models : a survey
Bauwens, Luc
;
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
- In:
Journal of applied econometrics
21
(
2006
)
1
,
pp. 79-109
Persistent link: https://www.econbiz.de/10003310013
Saved in:
19
Normal mixture GARCH (1,1) : applications to exchange rate modelling
Alexander, Carol
;
Lazar, Emese
- In:
Journal of applied econometrics
21
(
2006
)
3
,
pp. 307-336
Persistent link: https://www.econbiz.de/10003315990
Saved in:
20
Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of applied econometrics
21
(
2006
)
3
,
pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
Saved in:
21
A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of applied econometrics
20
(
2005
)
7
,
pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
Saved in:
22
Conditional heteroscedasticity of exchange rates : further results based on the fractionally integrated approach
Tsui, Albert K.
;
Ho, Kin-Yip
- In:
Journal of applied econometrics
19
(
2004
)
5
,
pp. 637-642
Persistent link: https://www.econbiz.de/10002342812
Saved in:
23
Value-at-risk for long and short trading positions
Giot, Pierre
;
Laurent, Sébastien
- In:
Journal of applied econometrics
18
(
2003
)
6
,
pp. 641-664
Persistent link: https://www.econbiz.de/10001843499
Saved in:
24
Multivariate GARCH models : software choice and estimation issues
Brooks, Chris
;
Burke, Simon P.
;
Persand, Gita
- In:
Journal of applied econometrics
18
(
2003
)
6
,
pp. 725-734
Persistent link: https://www.econbiz.de/10001843509
Saved in:
25
The stochastic volatility in mean model : empirical evidence from international stock markets
Koopman, Siem Jan
;
Hol Uspensky, Eugenie
- In:
Journal of applied econometrics
17
(
2002
)
6
,
pp. 667-689
Persistent link: https://www.econbiz.de/10001723785
Saved in:
26
Special issue Modelling and forecasting financial volatility
Franses, Philip Hans
(
contributor
)
-
2002
Persistent link: https://www.econbiz.de/10001709308
Saved in:
27
New frontiers for ARCH models
Engle, Robert F.
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 425-446
Persistent link: https://www.econbiz.de/10001709309
Saved in:
28
Maximum likelihood estimation of STAR and STAR-GARCH models : theory and Monte Carlo evidence
Chan, Felix
;
McAleer, Michael
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 509-534
Persistent link: https://www.econbiz.de/10001709313
Saved in:
29
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro) : the GARCH-NIG model
Forsberg, Lars
;
Bollerslev, Tim
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 535-548
Persistent link: https://www.econbiz.de/10001709314
Saved in:
30
GO-GARCH: a multivariate generalized orthogonal GARCH model
Weide, Roy van der
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 549-564
Persistent link: https://www.econbiz.de/10001709315
Saved in:
31
Time irreversibility and EGARCH effects in US stock index returns
Chen, Yi-ting
;
Kuan, Chung-ming
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 565-578
Persistent link: https://www.econbiz.de/10001709316
Saved in:
32
Crack spead hedging : accounting for time-varying volatility spillovers in the energy futures markets
Haigh, Michael S.
;
Holt, Matthew T.
- In:
Journal of applied econometrics
17
(
2002
)
3
,
pp. 269-289
Persistent link: https://www.econbiz.de/10001676815
Saved in:
33
A flexible parametric GARCH model with an application to exchange rates
Wang, Kai-li
(
contributor
)
- In:
Journal of applied econometrics
16
(
2001
)
4
,
pp. 521-536
Persistent link: https://www.econbiz.de/10001601907
Saved in:
34
Autoregressive conditional heteroscedasticity in commodity spot prices
Beck, Stacie
- In:
Journal of applied econometrics
16
(
2001
)
2
,
pp. 115-132
Persistent link: https://www.econbiz.de/10001573882
Saved in:
35
The effects of real and nominal uncertainty on inflation and output growth : some GARCH-M evidence
Grier, Kevin
;
Perry, Mark J.
- In:
Journal of applied econometrics
15
(
2000
)
1
,
pp. 45-58
Persistent link: https://www.econbiz.de/10001465100
Saved in:
36
An empirical analysis of alternative parametric ARCH models
Loudon, Geoffrey F.
;
Watt, Wing H.
;
Yadav, Pradeep
- In:
Journal of applied econometrics
15
(
2000
)
2
,
pp. 117-136
Persistent link: https://www.econbiz.de/10001474642
Saved in:
37
Testing for ARCH in the presence of addiative outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
- In:
Journal of applied econometrics
14
(
1999
)
5
,
pp. 539-562
Persistent link: https://www.econbiz.de/10001421498
Saved in:
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