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subject:"Volatilität"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Caporin, Massimiliano"
~person:"Chan, Joshua"
~subject:"United States"
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Volatilität
Zeitreihenanalyse
United States
Estimation
29
Schätzung
29
Time series analysis
14
Theorie
13
Theory
13
Volatility
13
Bayes-Statistik
11
Bayesian inference
11
State space model
10
Zustandsraummodell
10
Stochastic process
8
Stochastischer Prozess
8
VAR model
7
VAR-Modell
7
Bayesian model comparison
5
Forecasting model
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Prognoseverfahren
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ARCH model
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ARCH-Modell
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Börsenkurs
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Capital income
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Inflation
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Inflation rate
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Inflationsrate
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Kapitaleinkommen
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Spillover effect
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Spillover-Effekt
4
USA
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Ansteckungseffekt
3
Contagion effect
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Decomposition method
3
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English
21
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Caporin, Massimiliano
Chan, Joshua
Gupta, Rangan
93
Gil-Alaña, Luis A.
46
Bahmani-Oskooee, Mohsen
35
Balcilar, Mehmet
26
Ma, Feng
26
Tiwari, Aviral Kumar
26
Marcellino, Massimiliano
25
Wohar, Mark E.
25
Bouri, Elie
24
Pierdzioch, Christian
22
Xuan Vinh Vo
20
Chang, Tsangyao
19
Caporale, Guglielmo Maria
16
Kang, Sang Hoon
16
Todorov, Viktor
16
Ghysels, Eric
15
Lee, Chien-chiang
15
Mensi, Walid
15
Salisu, Afees A.
15
Apergēs, Nikolaos
14
Hammoudeh, Shawkat
14
Jawadi, Fredj
14
Nonejad, Nima
14
Yoon, Seong-min
14
Bollerslev, Tim
13
Forni, Mario
13
Gambetti, Luca
13
Li, Jia
13
Massa, Massimo
13
Timmermann, Allan
13
Wang, Yudong
13
Wei, Yu
13
Wu, Xinyu
13
Zhang, Yaojie
12
Zhu, Huiming
12
Kelly, Bryan T.
11
Kumar, Dilip
11
Narayan, Paresh Kumar
11
Ranjbar, Omid
11
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Econometric reviews
2
Economics letters
2
Energy economics
2
International review of economics & finance : IREF
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Journal of economic dynamics & control
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of money, credit and banking : JMCB
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
21
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1
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Iacopini, …
- In:
Energy economics
132
(
2024
),
pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
Saved in:
2
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
3
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
4
News and intraday jumps : evidence from regularization and class imbalance
Caporin, Massimiliano
;
Poli, Francesco
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013534219
Saved in:
5
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.
;
Caporin, Massimiliano
;
Zambon, N.
- In:
The European journal of finance
27
(
2021
)
11
,
pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
Saved in:
6
Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua
;
Santi, Caterina
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
Saved in:
7
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
Saved in:
8
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
Saved in:
9
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
10
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
Caporin, Massimiliano
;
Fontini, Fulvio
;
Talebbeydokhti, …
- In:
Energy economics
79
(
2019
),
pp. 21-31
Persistent link: https://www.econbiz.de/10012172252
Saved in:
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