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~isPartOf:"Applied economics letters"
~isPartOf:"Quantitative finance"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Aktienmarkt
Markov chain
75
Markov-Kette
75
Theorie
27
Theory
27
Estimation
22
Schätzung
22
Volatility
19
Volatilität
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Ma, Feng
2
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Demirer, Rıza
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Demos, Guilherme
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Applied economics letters
Quantitative finance
Energy economics
18
Applied economics
16
Journal of empirical finance
15
Economic modelling
14
International journal of forecasting
14
The North American journal of economics and finance : a journal of financial economics studies
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Journal of econometrics
10
Finance research letters
9
International review of economics & finance : IREF
9
International review of financial analysis
9
Economics letters
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International Journal of Financial Studies : open access journal
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of forecasting
6
Research in international business and finance
6
The European journal of finance
6
International journal of economics and finance
5
Journal of banking & finance
5
Review of quantitative finance and accounting
5
Applied financial economics
4
Econometric theory
4
Emerging markets review
4
International journal of emerging markets
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International journal of finance & economics : IJFE
4
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4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
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3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
International journal of theoretical and applied finance
3
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3
Pacific-Basin finance journal
3
The econometrics journal
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The empirical economics letters : a monthly international journal of economics
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The journal of futures markets
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
13
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
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:
3
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
4
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
5
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:
6
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
7
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
10
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
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