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Dynamic correlation of precious metals and flight-to-quality in developed markets

Klein, Tony - In: Finance research letters 23 (2017), pp. 283-290

Persistent link: https://www.econbiz.de/10011808418

True or spurious long memory in European non-EMU currencies

Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230

Persistent link: https://www.econbiz.de/10011912762

Oil price volatility forecast with mixture memory GARCH

Klein, Tony; Walther, Thomas - In: Energy economics 58 (2016), pp. 46-58

Persistent link: https://www.econbiz.de/10011698485

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

Conditional variance modeling of financial time series : essays on advances and applications to commodity and foreign exchange markets

Klein, Tony - 2017

Persistent link: https://www.econbiz.de/10011875561

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data

Klein, Tony - 2018

In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...

Persistent link: https://www.econbiz.de/10012936335

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

Forecasting realized volatility of agricultural commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; … - In: International journal of forecasting 38 (2022) 1, pp. 74-96

Persistent link: https://www.econbiz.de/10013347759

Dynamic correlation of precious metals and equity markets : a mixed data sampling approach

Klein, Tony; Walther, Thomas - In: Modern finance and risk management : Festschrift in …, (pp. 437-452). 2022

Persistent link: https://www.econbiz.de/10013336268