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subject:"Volatilität"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Caporin, Massimiliano"
~subject:"Immobilienpreis"
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Volatilität
Zeitreihenanalyse
Immobilienpreis
Estimation
14
Schätzung
14
Volatility
6
Time series analysis
5
ARCH model
3
ARCH-Modell
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Caporin, Massimiliano
Gupta, Rangan
82
Gil-Alaña, Luis A.
42
Bahmani-Oskooee, Mohsen
28
Balcilar, Mehmet
25
Ma, Feng
25
Wohar, Mark E.
25
Tiwari, Aviral Kumar
23
Bouri, Elie
22
Pierdzioch, Christian
20
Kang, Sang Hoon
17
Marcellino, Massimiliano
17
Xuan Vinh Vo
17
Chang, Tsangyao
16
Mensi, Walid
16
Todorov, Viktor
16
Lee, Chien-chiang
15
Caporale, Guglielmo Maria
14
Nonejad, Nima
14
Wei, Yu
14
Bollerslev, Tim
13
Li, Jia
13
Wang, Yudong
13
Wu, Xinyu
13
Yoon, Seong-min
13
Zhu, Huiming
13
Jawadi, Fredj
12
Kumar, Dilip
11
Narayan, Paresh Kumar
11
Salisu, Afees A.
11
Shi, Yanlin
11
Zhang, Yaojie
11
Apergēs, Nikolaos
10
Chan, Joshua
10
Ghysels, Eric
10
Hammoudeh, Shawkat
10
Ji, Qiang
10
Moosa, Imad A.
10
Panagiōtidēs, Theodōros
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Ranjbar, Omid
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International review of economics & finance : IREF
2
The North American journal of economics and finance : a journal of financial economics studies
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of econometrics
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The European journal of finance
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1
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:
2
Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach
Caporin, Massimiliano
;
Gupta, Rangan
;
Ravazzolo, Francesco
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667335
Saved in:
3
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:
4
Is the Korean housing market following Gangnam style?
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Ko, Hee-Un
; …
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
4
,
pp. 2041-2072
Persistent link: https://www.econbiz.de/10012622462
Saved in:
5
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:
6
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:
7
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:
8
Time-varying persistence in US inflation
Caporin, Massimiliano
;
Gupta, Rangan
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
2
,
pp. 423-439
Persistent link: https://www.econbiz.de/10011988314
Saved in:
9
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Saved in:
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