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isPartOf:"The econometrics journal"
~isPartOf:"International Journal of Energy Economics and Policy : IJEEP"
~isPartOf:"Journal of banking & finance"
~subject:"Stochastic process"
~subject:"Time series analysis"
~type_genre:"Article in journal"
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Search: subject_exact:"ARCH-Modell"
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Stochastic process
Time series analysis
ARCH model
215
ARCH-Modell
215
Volatility
116
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116
Theorie
60
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60
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43
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42
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Russel, Edwin
4
Ambya, Ambya
3
Kesumah, Fajrin Satria Dwi
3
Mustofa Usman
3
Azhar, Rialdi
2
Dritsaki, Chaido
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Hendrawaty, Ernie
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Wisnu, Febryan Kusuma
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1
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1
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1
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1
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1
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The econometrics journal
International Journal of Energy Economics and Policy : IJEEP
Journal of banking & finance
Journal of econometrics
58
Journal of empirical finance
41
Energy economics
37
Economic modelling
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Applied economics
31
International journal of forecasting
31
Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of risk and financial management : JRFM
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International review of financial analysis
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19
Research in international business and finance
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International review of economics & finance : IREF
15
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Econometrics : open access journal
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Journal of time series econometrics
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Econometric theory
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International journal of economics and financial issues : IJEFI
12
Journal of international financial markets, institutions & money
12
Journal of risk
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International journal of economics and finance
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Annals of financial economics
9
Applied economics letters
9
International journal of finance & economics : IJFE
9
Journal of economic dynamics & control
9
The European journal of finance
9
CBN journal of applied statistics
7
European journal of operational research : EJOR
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1
Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana
;
Russel, Edwin
;
Alam, Iskandar Ali
;
Widiarti
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
Saved in:
2
Testing for parameter change epochs in GARCH time series
Richter, Stefan
;
Wang, Weining
;
Wu, Wei Biao
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 467-491
Persistent link: https://www.econbiz.de/10014391712
Saved in:
3
Dynamic modeling and analysis of some energy companies of Indonesia over the year 2018 to 2022 by using VAR(p)-CCC GARCH(r,s) model
Mustofa Usman
;
Komarudin, M.
;
Nurhanurawati
;
Russel, Edwin
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
4
,
pp. 542-554
Persistent link: https://www.econbiz.de/10014373695
Saved in:
4
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
5
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
6
Modelling and forecasting crude oil prices during COVID-19 Pandemic
Hendrawaty, Ernie
;
Azhar, Rialdi
;
Kesumah, Fajrin Satria Dwi
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
2
,
pp. 149-154
Persistent link: https://www.econbiz.de/10012608864
Saved in:
7
Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian
;
Indriawan, Ivan
;
Tse, Yiuman
; …
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
Saved in:
8
Application of short-term forecasting models for energy entity stock price (Study on Indika Energi Tbk, JII)
Azhar, Rialdi
;
Kesumah, Fajrin Satria Dwi
;
Ambya, Ambya
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
10
(
2020
)
1
,
pp. 294-301
Persistent link: https://www.econbiz.de/10012435914
Saved in:
9
Forecasting European Union CO2 emissions using autoregressive integrated moving average-autoregressive conditional heteroscedasticity models
Dritsaki, Melina
;
Dritsaki, Chaido
- In:
International Journal of Energy Economics and Policy : IJEEP
10
(
2020
)
4
,
pp. 411-423
Persistent link: https://www.econbiz.de/10012504221
Saved in:
10
Future natural gas price forecasting model and its policy implication
Ambya, Ambya
;
Gunarto, Toto
;
Hendrawaty, Ernie
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
10
(
2020
)
5
,
pp. 64-70
Persistent link: https://www.econbiz.de/10012505591
Saved in:
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