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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Computational economics"
~subject:"ARMA-Modell"
~subject:"Correlation"
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Search: subject:"ARCH model"
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ARMA-Modell
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ARCH model
101
ARCH-Modell
101
Volatility
52
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52
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33
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33
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23
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Bauwens, Luc
5
Breitung, Jörg
2
Chen, Cathy W. S.
2
Hafner, Christian M.
2
Otranto, Edoardo
2
Storti, Giuseppe
2
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Asai, Manabu
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Than-Thi, Hong
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1
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Asia-Pacific financial markets
CORE discussion papers : DP
Computational economics
Finance research letters
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Energy economics
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20
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9
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International Journal of Energy Economics and Policy : IJEEP
8
International journal of forecasting
8
Journal of financial econometrics
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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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International journal of economics and financial issues : IJEFI
7
Journal of risk and financial management : JRFM
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Working paper series / University of Zurich, Department of Economics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Review of quantitative finance and accounting
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The European journal of finance
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Applied financial economics
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Global business review
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Journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
2
Exploring three-style return comovements and contagion using a correlation decomposition GARCH model
Su, Ender
;
Mak, Ving-Vunk
;
So, Po-Yuk
- In:
Computational economics
63
(
2024
)
6
,
pp. 2271-2305
Persistent link: https://www.econbiz.de/10014636737
Saved in:
3
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
4
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
5
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
6
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
7
Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH
Ghosh, Indranil
;
Sanyal, Manas Kumar
;
Jana, R. K.
- In:
Computational economics
57
(
2021
)
2
,
pp. 503-527
Persistent link: https://www.econbiz.de/10012486945
Saved in:
8
Dynamic correlation and risk contagion between "black" futures in China : a multi-scale variational mode decomposition approach
Wang, Qunwei
;
Dai, Xingyu
;
Zhou, Dequn
- In:
Computational economics
55
(
2020
)
4
,
pp. 1117-1150
Persistent link: https://www.econbiz.de/10012223704
Saved in:
9
Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2016
Persistent link: https://www.econbiz.de/10011894432
Saved in:
10
A simple model for now-casting volatility series
Breitung, Jörg
;
Hafner, Christian M.
-
2015
Persistent link: https://www.econbiz.de/10011581871
Saved in:
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