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Analyzing the nonlinear pricing of liquidity risk according to the market state
Chuliá, Helena; Koser, Christoph; Uribe, Jorge - In: Finance research letters 38 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012490400
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Quantile Regression for Cross-Sectional and Time Series Data : Applications in Energy Markets Using R
Uribe, Jorge; Guillén, Montserrat - 2020 - 1st ed. 2020.
Why and When Should Quantile Regression Be Used?- A Case of Study: Modelling Energy Markets by the Means of Quantile Regression -- Quantile Regression: A Methodological Overview -- Cross-Sectional Quantile Regression -- Time Series Quantile Regression -- Goodness of Fit in Quantile Regression...
Persistent link: https://www.econbiz.de/10012399314
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Quantile regression for cross-sectional and time series data : applications in energy markets using R
Uribe, Jorge; Guillén, Montserrat - 2020
Persistent link: https://www.econbiz.de/10012220345
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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
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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
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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
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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
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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
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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