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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Oil price"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Aktienmarkt
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Bauwens, Luc
2
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Caputo, Rodrigo
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Applied economics letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
32
Applied economics
18
Economic modelling
17
Journal of empirical finance
15
International journal of forecasting
14
The North American journal of economics and finance : a journal of financial economics studies
14
Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of economics & finance : IREF
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Journal of econometrics
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International review of financial analysis
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7
Journal of forecasting
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International Journal of Financial Studies : open access journal
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Research in international business and finance
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International Journal of Energy Economics and Policy : IJEEP
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International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
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1
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
2
Wars, cartels and COVID-19 : regime switching in commodity prices
Caputo, Rodrigo
;
Ordóñez, Félix
- In:
Applied economics letters
31
(
2024
)
4
,
pp. 338-345
Persistent link: https://www.econbiz.de/10014468840
Saved in:
3
Volatility spillovers across financial markets : the role of oil price uncertainty
Lee, Seojin
;
Kim, Young Min
- In:
Applied economics letters
30
(
2023
)
17
,
pp. 2342-2347
Persistent link: https://www.econbiz.de/10014365776
Saved in:
4
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
5
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
Saved in:
6
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
7
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
8
Asymmetric effect of advertising on the Chinese stock market
Hsu, Ching-Chi
;
Chen, Miao-Ling
- In:
Applied economics letters
26
(
2019
)
2
,
pp. 157-162
Persistent link: https://www.econbiz.de/10012204156
Saved in:
9
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
10
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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