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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP
Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466
Persistent link: https://www.econbiz.de/10009730816
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Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
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On business cycle fluctuations in USA macroeconomic time series
Kiani, Khurshid M. - In: Economic modelling 53 (2016), pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
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Testing for a unit root in the presence of stochastic volatility and leverage effect
Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038
Persistent link: https://www.econbiz.de/10009666985
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Semiparametric generalized long-memory modeling of some mena stock market returns : a wavelet approach
Boubaker, Heni; Sghaier, Nadia - In: Economic modelling 50 (2015), pp. 254-265
Persistent link: https://www.econbiz.de/10011440563
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Measuring the speed of convergence of stock prices : a nonparametric and nonlinear approach
Kim, Hyeongwoo; Ryu, Deockhyun - In: Economic modelling 51 (2015), pp. 227-241
Persistent link: https://www.econbiz.de/10011475887
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459