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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Schätztheorie"
~subject:"Spillover-Effekt"
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Aktienmarkt
Oil price
Schätztheorie
Spillover-Effekt
ARCH model
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ARCH-Modell
76
Volatility
45
Volatilität
45
Time series analysis
31
Zeitreihenanalyse
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Carnero, M. Angeles
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
194
Finance research letters
105
Economic modelling
82
International review of financial analysis
76
International review of economics & finance : IREF
74
Research in international business and finance
74
Applied economics
66
The North American journal of economics and finance : a journal of financial economics studies
66
Journal of international financial markets, institutions & money
55
Journal of econometrics
53
International Journal of Energy Economics and Policy : IJEEP
47
Journal of risk and financial management : JRFM
42
Economics letters
38
Applied economics letters
37
Journal of empirical finance
36
Econometric theory
35
Journal of banking & finance
33
International journal of finance & economics : IJFE
32
Discussion paper / Tinbergen Institute
31
International journal of forecasting
31
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
29
Journal of forecasting
29
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
29
International journal of economics and financial issues : IJEFI
28
Applied financial economics
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Econometric Institute research papers
22
Pacific-Basin finance journal
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International journal of economics and finance
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The European journal of finance
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Working paper
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Cogent economics & finance
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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Financial innovation : FIN
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Econometric reviews
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Journal of international money and finance
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Journal of risk
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Review of quantitative finance and accounting
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan
;
Kovačević, Jelena
;
Stankov, Biljana
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
6
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
7
Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Dhaoui, Abderrazak
;
Chevallier, Julien
;
Ma, Feng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012507450
Saved in:
8
A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin
;
Kim, Yunmi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
Saved in:
9
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
10
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
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