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person:"McAleer, Michael"
~isPartOf:"Annals of financial economics"
~isPartOf:"Econometric reviews"
~isPartOf:"Energy economics"
~isPartOf:"Finance research letters"
~person:"Brzeszczyński, Janusz"
~person:"Chevallier, Julien"
~person:"Das, Debojyoti"
~subject:"Schätzung"
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Search: subject_exact:"Volatility"
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Schätzung
Volatility
37
Volatilität
37
ARCH model
15
ARCH-Modell
15
Estimation
12
Commodity derivative
10
Rohstoffderivat
10
Oil price
9
Theorie
9
Theory
9
Ölpreis
9
Börsenkurs
8
Capital income
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Kapitaleinkommen
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Stochastic process
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Stochastischer Prozess
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Erdöl
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Petroleum
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Crude oil
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Time series analysis
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USA
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Welt
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World
5
Zeitreihenanalyse
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Multivariate Analyse
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Multivariate analysis
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Risk
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Spillover effect
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Spillover-Effekt
4
Stock market
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Treibhausgas-Emissionen
4
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3
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McAleer, Michael
Brzeszczyński, Janusz
Chevallier, Julien
Das, Debojyoti
Ma, Feng
8
Tiwari, Aviral Kumar
7
Bouri, Elie
6
Wei, Yu
4
Yoon, Seong-min
4
Asai, Manabu
3
Corbet, Shaen
3
Gozgor, Giray
3
Gupta, Rangan
3
Ji, Qiang
3
Lau, Chi Keung
3
Lu, Xinjie
3
Wang, Yudong
3
Wu, Xinyu
3
Xu, Yahua
3
Yarovaya, Larisa
3
You, Wan-hai
3
Zhu, Huiming
3
Akyildirim, Erdinc
2
Apergēs, Nikolaos
2
Arouri, Mohamed
2
Balcilar, Mehmet
2
Basu, Sankarshan
2
Batten, Jonathan A.
2
Chan, Joshua
2
Chang, Bisharat Hussain
2
Chiang, Thomas C.
2
Dutta, Anupam
2
Gil-Alaña, Luis A.
2
Gohar, Raheel
2
Guo, Yawei
2
Jawadi, Fredj
2
Joo, Young C.
2
Kang, Boda
2
Kinateder, Harald
2
Klein, Tony
2
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Annals of financial economics
Econometric reviews
Energy economics
Finance research letters
Econometric Institute research papers
21
Working paper
13
Discussion paper / Tinbergen Institute
10
International review of economics & finance : IREF
3
Journal of econometrics
3
Research in international business and finance
3
Applied economics
2
Risks : open access journal
2
School of Accounting, Finance and Economics & FEMARC working paper series
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The North American journal of economics and finance : a journal of financial economics studies
2
The econometrics journal
2
CERT discussion paper
1
Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
1
East European transition and EU enlargement : a quantitative approach ; with 105 tables
1
Econometrics : open access journal
1
Economic modelling
1
Handbook of applied econometrics and statistical inference
1
International journal of emerging markets
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international financial markets, institutions & money
1
Journal of risk and financial management : JRFM
1
Managerial finance
1
The Korean economic review
1
The journal of futures markets
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ECONIS (ZBW)
12
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1
In search of time-varying jumps during the turmoil periods : evidence from crude oil futures markets
Dutta, Anupam
;
Soytaş, Uǧur
;
Das, Debojyoti
; …
- In:
Energy economics
114
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013477590
Saved in:
2
Financial stress and crude oil implied volatility : new evidence from continuous wavelet transformation framework
Das, Debojyoti
;
Maitra, Debasish
;
Dutta, Anupam
;
Basu, …
- In:
Energy economics
115
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013541818
Saved in:
3
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
4
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
5
Asymmetric volatility in cryptocurrency markets : new evidence from smooth transition GARCH models
Cheikh, Nidhaleddine Ben
;
Zaied, Younes Ben
; …
- In:
Finance research letters
35
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012438388
Saved in:
6
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
7
The dynamic relationship between stock returns and trading volume revisited : a MODWT-VAR approach
Gupta, Suman
;
Das, Debojyoti
;
Hasim, Haslifah Mohamad
; …
- In:
Finance research letters
27
(
2018
),
pp. 91-98
Persistent link: https://www.econbiz.de/10012006750
Saved in:
8
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
9
International stock return co-movements and trading activity
Sheng, Xin
;
Brzeszczyński, Janusz
;
Ibrahim, Boulis Maher
- In:
Finance research letters
23
(
2017
),
pp. 12-18
Persistent link: https://www.econbiz.de/10011808297
Saved in:
10
Volatility spillovers across stock index futures in Asian markets : evidence from range volatility estimators
Yarovaya, Larisa
;
Brzeszczyński, Janusz
;
Lau, Chi Keung
- In:
Finance research letters
17
(
2016
),
pp. 158-166
Persistent link: https://www.econbiz.de/10011596275
Saved in:
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