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~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~language:"eng"
~language:"swe"
~subject:"Zeitreihenanalyse"
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Search: subject:"conditional heteroscedasticity"
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Zeitreihenanalyse
ARCH model
174
ARCH-Modell
174
Volatility
143
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143
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67
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67
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62
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Gupta, Rangan
2
Nonejad, Nima
2
Yaya, OlaOluwa S.
2
Adekoya, Oluwasegun B.
1
Al-Faryan, Mamdouh Abdulaziz Saleh
1
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1
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1
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International journal of finance & economics : IJFE
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
43
Discussion paper / Tinbergen Institute
42
Journal of empirical finance
37
Economic modelling
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
International journal of forecasting
30
Energy economics
29
Finance research letters
28
Applied economics
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26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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CREATES research paper
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International review of financial analysis
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International review of economics & finance : IREF
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14
International Journal of Energy Economics and Policy : IJEEP
13
Journal of time series econometrics
13
The econometrics journal
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Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Journal of financial econometrics
12
Applied financial economics
11
Computational economics
11
Journal of international financial markets, institutions & money
11
Journal of risk
11
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
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The European journal of finance
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ECONIS (ZBW)
30
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1
Stock market efficiency in Asia : evidence from the Narayan-Liu-Westerlund's GARCH-based unit root test
Yaya, OlaOluwa S.
;
Adekoya, Oluwasegun B.
;
Xuan Vinh Vo
; …
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 91-101
Persistent link: https://www.econbiz.de/10014468989
Saved in:
2
Forecasting VIX using two-component realized EGARCH model
Wu, Xinyu
;
Zhao, An
;
Liu, Li
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014484064
Saved in:
3
Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Tang, Yusui
;
Ma, Feng
;
Zhang, Yaojie
;
Wei, Yu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
Saved in:
4
Generalised autoregressive
conditional
heteroscedasticity
Sánchez García, Javier
;
Cruz Rambaud, Salvador
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 1621-1632
Persistent link: https://www.econbiz.de/10013184367
Saved in:
5
Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility
Nonejad, Nima
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013534202
Saved in:
6
A novel estimation of time-varying quantile correlation for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
Saved in:
7
Inter-regional dependence of J-REIT stock prices : a heteroscedasticity-robust time series approach
Motegi, Kaiji
;
Iitsuka, Yoshitaka
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014246819
Saved in:
8
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
9
Forecasting risk in the US Dollar exchange rate under volatility shifts
Anjum, Hassan
;
Malik, Farooq
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012664814
Saved in:
10
Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates
Yi, Chae-Deug
- In:
The North American journal of economics and finance : a …
53
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012632203
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