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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Bauwens, Luc"
~person:"Belkhouja, Mustapha"
~person:"Gallo, Giampiero M."
~person:"Gupta, Rangan"
~person:"Nam, Kiseok"
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ARCH model
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Bauwens, Luc
Belkhouja, Mustapha
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Ma, Feng
5
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4
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Economic modelling
Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Department of Economics working paper series
18
CORE discussion papers : DP
15
Discussion papers / UCL, Département des Sciences Economiques
5
International journal of forecasting
5
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4
The North American journal of economics and finance : a journal of financial economics studies
4
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ECONIS (ZBW)
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1
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
2
On the asymmetric impact of macro-variables on volatility
Amendola, Alessandra
;
Candila, Vincenzo
;
Gallo, Giampiero M.
- In:
Economic modelling
76
(
2019
),
pp. 135-152
Persistent link: https://www.econbiz.de/10012198276
Saved in:
3
Can volume predict Bitcoin returns and volatility? : a quantiles-based approach
Balcilar, Mehmet
;
Bouri, Elie
;
Gupta, Rangan
;
Roubaud, David
- In:
Economic modelling
64
(
2017
),
pp. 74-81
Persistent link: https://www.econbiz.de/10011756479
Saved in:
4
Long memory and structural change in the G7 inflation dynamics
Belkhouja, Mustapha
;
Mootamri, Imene
- In:
Economic modelling
54
(
2016
),
pp. 450-462
Persistent link: https://www.econbiz.de/10011642242
Saved in:
5
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
6
Structural breaks and GARCH models of stock return volatility : the case of South Africa
Babikir, Ali
;
Gupta, Rangan
;
Mwabutwa, Chance
; …
- In:
Economic modelling
29
(
2012
)
6
,
pp. 2435-2443
Persistent link: https://www.econbiz.de/10009673703
Saved in:
7
Modeling volatility with time-varying FIGARCH models
Belkhouja, Mustapha
;
Boutahary, Mohamed
- In:
Economic modelling
28
(
2011
)
3
,
pp. 1106-1116
Persistent link: https://www.econbiz.de/10009271257
Saved in:
8
A component GARCH model with time varying weights
Bauwens, Luc
;
Storti, Giuseppe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
Saved in:
9
Asymmetric and leptokurtic distribution for heteroscedastic asset returns : the S[U]-normal distribution
Choi, Pilsun
;
Nam, Kiseok
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 41-63
Persistent link: https://www.econbiz.de/10003692974
Saved in:
10
Volatility estimation via hidden Markov models
Rossi, Alessandro
;
Gallo, Giampiero M.
- In:
Journal of empirical finance
13
(
2006
)
2
,
pp. 203-230
Persistent link: https://www.econbiz.de/10003296949
Saved in:
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