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person:"Zimmermann, Klaus F."
subject:"Zeitreihenanalyse"
~isPartOf:"Discussion paper / Department of Economics, University of Canterbury"
~isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"McAleer, Michael"
~person:"Zhu, Huiming"
~subject:"Schätzung"
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Zeitreihenanalyse
Schätzung
Estimation
13
Volatility
10
Volatilität
10
Capital income
5
Kapitaleinkommen
5
Oil price
5
Ölpreis
5
China
4
Crude oil
4
Erdöl
4
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4
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3
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3
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Rolling windows
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Zimmermann, Klaus F.
McAleer, Michael
Zhu, Huiming
Todorov, Viktor
14
Gupta, Rangan
12
Tauchen, George Eugene
9
Bollerslev, Tim
8
Linton, Oliver
8
Phillips, Peter C. B.
8
Su, Liangjun
8
Kang, Sang Hoon
7
Hau, Liya
6
Koop, Gary
6
Mensi, Walid
6
Andersen, Torben
5
Aït-Sahalia, Yacine
5
Gao, Jiti
5
Ghysels, Eric
5
Kim, Donggyu
5
Li, Jia
5
Lu, Xun
5
Pierdzioch, Christian
5
Winkelmann, Rainer
5
Zakoïan, Jean-Michel
5
Baltagi, Badi H.
4
Callaway, Brantly
4
Chen, Mei-Ping
4
Dai, Zhifeng
4
Francq, Christian
4
Gouriéroux, Christian
4
Heckman, James J.
4
Hsiao, Cheng
4
Li, Kunpeng
4
Park, Joon Y.
4
Pesaran, M. Hashem
4
Salisu, Afees A.
4
Sasaki, Yuya
4
Shin, Yongcheol
4
Wang, Wendun
4
Xiu, Dacheng
4
Xuan Vinh Vo
4
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Discussion paper / Department of Economics, University of Canterbury
Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
Econometric Institute research papers
38
Working paper
26
Discussion paper / Tinbergen Institute
18
Discussion paper series / IZA
16
Applied economics
14
Discussion paper / Centre for Economic Policy Research
8
IZA Discussion Paper
8
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
7
Discussion papers / Deutsches Institut für Wirtschaftsforschung
7
Münchener Wirtschaftswissenschaftliche Beiträge : discussion papers
7
Econometric reviews
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School of Accounting, Finance and Economics & FEMARC working paper series
4
Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung
3
GLO discussion paper
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International review of economics & finance : IREF
3
Journal of risk and financial management : JRFM
3
Applied economics quarterly
2
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DIW Berlin Discussion Paper
2
IZA journal of migration : IZAJOM
2
International journal of forecasting
2
International journal of manpower
2
Journal of macroeconomics
2
Risks : open access journal
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The Japanese economic review : the journal of the Japanese Economic Association
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The econometrics journal
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Working papers in economics and econometrics
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CESIS electronic working paper series
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Economics / Discussion papers : the open-access, open-assessment e-journal
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ECONIS (ZBW)
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1
How does investor attention matter for crude oil prices and returns? : evidence from time-frequency quantile causality analysis
Chen, Qitong
;
Zhu, Huiming
;
Yu, Dongwei
;
Hau, Liya
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013413415
Saved in:
2
Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock : evidence from multiscale quantile perspectives
Zhu, Huiming
;
Chen, Yiwen
;
Ren, Ying-hua
;
Xing, Zhanming
; …
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-46
Persistent link: https://www.econbiz.de/10013449362
Saved in:
3
Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries : evidence from wavelet quantile regression analysis
Zhu, Huiming
;
Yu, Dongwei
;
Hau, Liya
;
Wu, Hao
;
Ye, Fangyu
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013449369
Saved in:
4
Time-frequency transmission mechanism of EPU, investor sentiment and financial assets : a multiscale TVP-VAR connectedness analysis
Qiao, Xingzhi
;
Zhu, Huiming
;
Zhang, Zhongqingyang
;
Mao, …
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014225822
Saved in:
5
Does transaction activity predict Bitcoin returns? : evidence from quantile-on-quantile analysis
Hau, Liya
;
Zhu, Huiming
;
Shahbaz, Muhammad
;
Sun, Wuqin
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012667385
Saved in:
6
Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets : evidence from rolling window analysis
Zhu, Huiming
;
Chen, Weiyan
;
Hau, Liya
;
Chen, Qitong
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012822243
Saved in:
7
Dependent relationships between Chinese commodity markets and the international financial market : evidence from quantile time-frequency analysis
Zhu, Huiming
;
Meng, Liang
;
Ge, Yajing
;
Hau, Liya
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012664544
Saved in:
8
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
9
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
10
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
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