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~isPartOf:"Economic modelling"
~person:"Kumar, Dilip"
~person:"Mensi, Walid"
~person:"Wang, Tianyi"
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Search: subject_exact:"ARCH model"
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ARCH model
8
ARCH-Modell
8
Volatility
7
Volatilität
7
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4
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4
Time series analysis
4
Zeitreihenanalyse
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Kumar, Dilip
Mensi, Walid
Wang, Tianyi
Arouri, Mohamed
3
Huang, Zhuo
3
Iglesias, Emma M.
3
Lahiani, Amine
3
Ma, Feng
3
Todorova, Neda
3
Zhang, Yaojie
3
Ahmed, Abdullahi Dahir
2
Belkhouja, Mustapha
2
Chang, Kuang-liang
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Cheffou, Abdoulkarim Idi
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2
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2
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2
Min, Hong-ghi
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1
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Economic modelling
International review of economics & finance : IREF
5
The North American journal of economics and finance : a journal of financial economics studies
5
Theoretical economics letters
5
Energy economics
3
IIMB management review
3
American journal of finance and accounting
2
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2
Financial innovation : FIN
2
Global business review
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Journal of quantitative economics
2
The journal of futures markets
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The journal of prediction 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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Australian economic papers
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China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University
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Decision
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ERF working papers series
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Margin: the journal of applied economic research
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Paradigm : the journal of Institute of Management Technology
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ECONIS (ZBW)
8
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1
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
2
Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing
;
Liang, Fang
;
Wang, Tianyi
;
Huang, Zhuo
- In:
Economic modelling
87
(
2020
),
pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
Saved in:
3
Modeling long memory volatility using realized measures of volatility : a realized HAR GARCH model
Huang, Zhuo
;
Liu, Hao
;
Wang, Tianyi
- In:
Economic modelling
52
(
2016
),
pp. 812-821
Persistent link: https://www.econbiz.de/10011643050
Saved in:
4
Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis
Kumar, Dilip
- In:
Economic modelling
49
(
2015
),
pp. 354-371
Persistent link: https://www.econbiz.de/10011439594
Saved in:
5
Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
Economic modelling
51
(
2015
),
pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
Saved in:
6
A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
38
(
2014
),
pp. 33-44
Persistent link: https://www.econbiz.de/10010418224
Saved in:
7
Correlations and volatility spillovers across commodity and stock markets : linking energies, food, and gold
Mensi, Walid
;
Beljid, Makram
;
Boubaker, Adel
;
Managi, …
- In:
Economic modelling
32
(
2013
),
pp. 15-22
Persistent link: https://www.econbiz.de/10009760820
Saved in:
8
An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
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