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person:"Zimmermann, Klaus F."
subject:"Zeitreihenanalyse"
~isPartOf:"Discussion paper / Department of Economics, University of Canterbury"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"McAleer, Michael"
~person:"Nonejad, Nima"
~person:"Zhu, Huiming"
~subject:"Schätzung"
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Zeitreihenanalyse
Schätzung
Estimation
13
Volatility
9
Volatilität
9
Oil price
7
Ölpreis
7
Capital income
6
Kapitaleinkommen
6
Forecasting model
5
Prognoseverfahren
5
ARCH model
4
ARCH-Modell
4
China
4
Crude oil
4
Erdöl
4
Petroleum
4
Time series analysis
4
Welt
4
World
4
Börsenkurs
3
Economic policy uncertainty
3
Quantile-on-quantile regression
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Share price
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Anlageverhalten
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Commodity derivative
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Kausalanalyse
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Modellierung
2
Regression analysis
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Regressionsanalyse
2
Rohstoffderivat
2
Rohstoffmarkt
2
Rolling windows
2
Scientific modelling
2
State space model
2
Time-frequency effect
2
Wavelet analysis
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12
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1
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English
13
Author
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Zimmermann, Klaus F.
McAleer, Michael
Nonejad, Nima
Zhu, Huiming
Gupta, Rangan
12
Kang, Sang Hoon
7
Hau, Liya
6
Mensi, Walid
6
Pierdzioch, Christian
5
Winkelmann, Rainer
5
Chen, Mei-Ping
4
Dai, Zhifeng
4
Salisu, Afees A.
4
Xuan Vinh Vo
4
Yoon, Seong-min
4
Al-Yahyaee, Khamis Hamed
3
Balcilar, Mehmet
3
Beckmann, Joscha
3
Belke, Ansgar
3
Ji, Qiang
3
Lee, Chien-chiang
3
Lien, Da-hsiang Donald
3
Ur Rehman, Mobeen
3
Wohar, Mark E.
3
Yang, Chunpeng
3
Zhou, Liyun
3
Adediran, Idris A.
2
Ahmed, Walid M. A.
2
Bohl, Martin T.
2
Caporin, Massimiliano
2
Chang, Chia-Lin
2
Chen, Na
2
Chen, Qitong
2
Chen, Wen-Yi
2
Cho, Hoon
2
Dash, Saumya Ranjan
2
Dong, Xiyong
2
Guender, Alfred V.
2
Guerello, Chiara
2
Guthrie, Graeme A.
2
Hamori, Shigeyuki
2
Ho, Kin-Yip
2
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Discussion paper / Department of Economics, University of Canterbury
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
Energy economics
7
Münchener Wirtschaftswissenschaftliche Beiträge : discussion papers
7
Econometric reviews
4
School of Accounting, Finance and Economics & FEMARC working paper series
4
Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung
3
GLO discussion paper
3
International review of economics & finance : IREF
3
International review of financial analysis
3
Journal of econometrics
3
Journal of risk and financial management : JRFM
3
Applied economics quarterly
2
Applied financial economics
2
DIW Berlin Discussion Paper
2
Economic modelling
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
Finance research letters
2
IZA journal of migration : IZAJOM
2
International journal of forecasting
2
International journal of manpower
2
Journal of macroeconomics
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Risks : open access journal
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The Japanese economic review : the journal of the Japanese Economic Association
2
The econometrics journal
2
Working papers in economics and econometrics
2
CESIS electronic working paper series
1
Computational economics
1
DIW-Wochenbericht : Wirtschaft, Politik, Wissenschaft
1
Discussion papers / CEPR
1
Econometric models of event counts
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ECONIS (ZBW)
13
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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
Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013534202
Saved in:
6
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:
7
Predicting equity premium using dynamic model averaging : does the state-space representation matter?
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-34
Persistent link: https://www.econbiz.de/10012822226
Saved in:
8
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:
9
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:
10
Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012203664
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