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Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
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A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios; Ladopoulos, Konstantinos; … - In: Applied economics 50 (2018) 34/35, pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
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Multifrequency news and stock returns
Calvet, Laurent E.; Fisher, Adlai - In: Journal of financial economics 86 (2007) 1, pp. 178-212
Persistent link: https://www.econbiz.de/10003546307
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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?
Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181
Persistent link: https://www.econbiz.de/10009688795
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"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
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Cross-asset signals and time series momentum
Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85
Persistent link: https://www.econbiz.de/10012545360
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Common cycles and common trends in the stock and oil markets : evidence from more than 150 years of data
Balcilar, Mehmet; Gupta, Rangan; Wohar, Mark E. - In: Energy economics 61 (2017), pp. 72-86
Persistent link: https://www.econbiz.de/10011737672
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Modeling and forecasting the volatility of petroleum futures prices
Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362
Persistent link: https://www.econbiz.de/10009724686
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On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Nowotarski, Jakub; Weron, Rafał - In: Energy economics 57 (2016), pp. 228-235
Persistent link: https://www.econbiz.de/10011698464