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Time series analysis
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Franses, Philip Hans
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73
Gupta, Rangan
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Caporale, Guglielmo Maria
68
Koopman, Siem Jan
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Koop, Gary
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Marcellino, Massimiliano
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Lanne, Markku
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Proietti, Tommaso
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Ghysels, Eric
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Lütkepohl, Helmut
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Petropoulos, Fotios
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Australasian Economic Modelling Conference <1992, Cairns>
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Bayerische Hypotheken- und Wechsel-Bank
1
Birkbeck College / Department of Economics
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of econometrics
110
Applied economics
91
Discussion paper / Tinbergen Institute
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Working paper / Department of Econometrics and Business Statistics, Monash University
83
Energy economics
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Economic modelling
77
Economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Working paper
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Working paper / National Bureau of Economic Research, Inc.
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Journal of applied econometrics
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Computational economics
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Journal of macroeconomics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CESifo working papers
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Journal of empirical finance
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CREATES research paper
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The review of economics and statistics
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Applied economics letters
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Discussion paper / Centre for Economic Policy Research
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Finance research letters
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Econometric reviews
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European journal of operational research : EJOR
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International Journal of Energy Economics and Policy : IJEEP
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Journal of money, credit and banking : JMCB
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Working paper series / European Central Bank
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of futures markets
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CAMA working paper series
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Econometric Institute research papers
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International review of financial analysis
30
NBER Working Paper
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NBER working paper series
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The journal of finance : the journal of the American Finance Association
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International review of economics & finance : IREF
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Journal of monetary economics
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ECONIS (ZBW)
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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu
;
Lee, Cheng F.
- In:
Portfolio construction, measurement, and efficiency : …
,
(pp. 355-387)
.
2017
Persistent link: https://www.econbiz.de/10011603288
Saved in:
2
Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data
Ielpo, Florian
;
Sévi, Benoît
-
2014
Persistent link: https://www.econbiz.de/10010432122
Saved in:
3
Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng
- In:
The quarterly review of economics and finance : journal …
36
(
1996
)
4
,
pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
Saved in:
4
The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun
- In:
Journal of financial economics
63
(
2002
)
1
,
pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
Saved in:
5
On the relationship of implied, realized and historical volatility : evidence from NSE equity index options
Padhi, Puja
;
Shaikh, Imlak
- In:
Journal of business economics and management
15
(
2014
)
5
,
pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
Saved in:
6
Overnight volatility, realized volatility, and option pricing
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1264-1283
Persistent link: https://www.econbiz.de/10013287956
Saved in:
7
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger
-
1996
Persistent link: https://www.econbiz.de/10001410584
Saved in:
8
Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng
- In:
The empirical economics letters : a monthly …
14
(
2015
)
9
,
pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
Saved in:
9
Stock market price indices modelling by a small scale Bayesian VAR : the case of British FTSE and German DAX index
Bikár, Miloš
;
Hodula, Martin
- In:
Ekonomický časopis : časopis pre ekonomickú …
64
(
2016
)
8
,
pp. 737-750
Persistent link: https://www.econbiz.de/10011582851
Saved in:
10
Discrete wavelet transform-based prediction of stock index : a study on national stock exchange fifty index
Jothimani, Dhanya
;
Shankar, Ravi
;
Yadav, Surendra S.
- In:
Journal of financial management and analysis : …
28
(
2015
)
2
,
pp. 35-49
Persistent link: https://www.econbiz.de/10011535334
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