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~isPartOf:"Energy economics"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Spillover effect"
~subject:"Stock market"
~subject:"Time series analysis"
~subject:"Ölmarkt"
~subject:"Ölpreis"
~type_genre:"Aufsatz in Zeitschrift"
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Estimation
Spillover effect
Stock market
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Volatility
783
Volatilität
781
Oil price
366
ARCH model
235
ARCH-Modell
235
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209
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Aufsatz in Zeitschrift
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531
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Ma, Feng
17
Tiwari, Aviral Kumar
15
Hammoudeh, Shawkat
14
Bouri, Elie
12
Wang, Yudong
11
Gupta, Rangan
10
Ji, Qiang
9
Kang, Sang Hoon
9
Wei, Yu
9
Yoon, Seong-min
9
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8
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8
Mensi, Walid
7
Sadorsky, Perry A.
7
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7
Dai, Zhifeng
6
Demirer, Rıza
6
Lin, Boqiang
6
Zhang, Yaojie
6
Filis, George
5
Gong, Xu
5
Hasanov, Akram Shavkatovich
5
Nguyen, Duc Khuong
5
Roubaud, David
5
Wohar, Mark E.
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Yin, Libo
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Do, Hung Xuan
4
Dutta, Anupam
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Huang, Dengshi
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Klein, Tony
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4
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4
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Lu, Xinjie
4
Lucey, Brian M.
4
Luo, Jiawen
4
Maghyereh, Aktham I.
4
Maitra, Debasish
4
Naeem, Muhammad Abubakr
4
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Energy economics
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Finance research letters
296
International review of financial analysis
247
Economic modelling
221
Applied economics
217
The North American journal of economics and finance : a journal of financial economics studies
214
International review of economics & finance : IREF
208
Research in international business and finance
167
Journal of econometrics
159
International Journal of Energy Economics and Policy : IJEEP
148
Journal of international financial markets, institutions & money
144
Journal of banking & finance
143
Applied economics letters
139
Journal of empirical finance
138
Applied financial economics
136
Journal of risk and financial management : JRFM
120
Economics letters
111
Journal of international money and finance
108
International journal of forecasting
96
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
96
Pacific-Basin finance journal
95
The journal of futures markets
94
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
92
International journal of finance & economics : IJFE
90
Journal of forecasting
81
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
77
The European journal of finance
76
International journal of economics and finance
69
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
68
Emerging markets, finance and trade : EMFT
67
Cogent economics & finance
66
Global finance journal
66
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
62
International journal of economics and financial issues : IJEFI
62
Journal of financial economics
60
Journal of financial econometrics : official journal of the Society for Financial Econometrics
53
Review of quantitative finance and accounting
50
Econometric reviews
49
Finance India : the quarterly journal of Indian Institute of Finance
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ECONIS (ZBW)
531
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
3
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:
4
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
5
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
6
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
7
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
8
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
9
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
10
Oil price uncertainty and unemployment dynamics : nonlinearities matter
Ahmed, M. Iqbal
;
Farah, Quazi Fidia
;
Kishan, Ruby P.
- In:
Energy economics
125
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014479113
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