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~person:"Catania, Leopoldo"
~subject:"Statistische Verteilung"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Search: subject_exact:"ARCH-Modell"
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Statistische Verteilung
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ARCH model
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ARCH-Modell
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7
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7
Volatility
6
Volatilität
6
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5
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4
Kapitaleinkommen
4
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3
Time series analysis
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Catania, Leopoldo
Gupta, Rangan
21
Ma, Feng
21
McAleer, Michael
21
Bouri, Elie
16
Wang, Yudong
16
Paolella, Marc S.
13
Zhang, Yaojie
13
Liang, Chao
12
Serletis, Apostolos
11
Wei, Yu
11
Caporin, Massimiliano
10
Chen, Cathy W. S.
10
Engle, Robert F.
10
Hafner, Christian M.
10
Laurent, Sébastien
10
Nonejad, Nima
10
Brooks, Chris
9
Hammoudeh, Shawkat
9
Herwartz, Helmut
9
Ji, Qiang
9
Kumar, Dilip
9
Wu, Xinyu
9
Asai, Manabu
8
Duan, Jin-Chuan
8
Jawadi, Fredj
8
Ruiz, Esther
8
Simonato, Jean-Guy
8
Bauwens, Luc
7
Blazsek, Szabolcs
7
Brooks, Robert
7
Degiannakis, Stavros
7
Francq, Christian
7
Guesmi, Khaled
7
Iglesias, Emma M.
7
Linton, Oliver
7
Mittnik, Stefan
7
Pereira, Pedro L. Valls
7
Rombouts, Jeroen V. K.
7
Salisu, Afees A.
7
Shi, Yanlin
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The European journal of finance
2
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
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ECONIS (ZBW)
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1
A stochastic volatility model with a general leverage specification
Catania, Leopoldo
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
Saved in:
2
Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
Saved in:
3
Forecasting volatility with time-varying leverage and volatility of volatility effects
Catania, Leopoldo
;
Proietti, Tommaso
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1301-1317
Persistent link: https://www.econbiz.de/10012546666
Saved in:
4
Density forecasts and the leverage effect : evidence from observation and parameter-driven volatility models
Catania, Leopoldo
;
Nonejad, Nima
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 100-118
Persistent link: https://www.econbiz.de/10012207189
Saved in:
5
Are news important to predict the Value-at-Risk?
Bernardi, Mauro
;
Catania, Leopoldo
;
Petrella, Lea
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 535-572
Persistent link: https://www.econbiz.de/10011736300
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