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Time series analysis
Börsenkurs
52,726
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51,205
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Caporale, Guglielmo Maria
60
McAleer, Michael
55
Gil-Alaña, Luis A.
51
Gupta, Rangan
43
Lux, Thomas
40
Koopman, Siem Jan
39
Bollerslev, Tim
32
Härdle, Wolfgang
30
Andersen, Torben
24
Lucas, André
23
Tauchen, George Eugene
22
Sibbertsen, Philipp
21
Engle, Robert F.
20
Todorov, Viktor
20
Chan, Joshua
19
Tiwari, Aviral Kumar
19
Dijk, Dick van
18
Hafner, Christian M.
18
Asai, Manabu
17
Chang, Chia-Lin
17
Hautsch, Nikolaus
17
Pesaran, M. Hashem
17
Rodriguez, Gabriel
17
Taylor, Robert
17
Allen, David E.
16
Caporin, Massimiliano
16
Hallin, Marc
16
Kim, Donggyu
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Teräsvirta, Timo
16
Bauwens, Luc
15
Hansen, Peter Reinhard
15
Li, Jia
15
Timmermann, Allan
15
Cavaliere, Giuseppe
14
Hounyo, Ulrich
14
Lütkepohl, Helmut
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Ma, Feng
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Bos, Charles S.
13
Narayan, Paresh Kumar
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Sucarrat, Genaro
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National Bureau of Economic Research
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Centre for Growth and Business Cycle Research <Manchester>
4
Centre for Analytical Finance <Århus>
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Gottfried Wilhelm Leibniz Universität Hannover
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Christian-Albrechts-Universität zu Kiel
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Econometrisch Instituut <Rotterdam>
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University of Chicago / Center for Research in Security Prices
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Université de Montréal / Département de sciences économiques
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Aarhus Universitet / Afdeling for Nationaløkonomi
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Bundesanstalt für Geowissenschaften und Rohstoffe
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Business Information Centre <Toronto>
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Center for Economic Research <Tilburg>
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Centre for Quantitative Economics & Computing
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Chambre de commerce et d'industrie de Paris
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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EconWPA
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Institut für Industriebetriebsforschung <Hamburg>
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International Workshop on Statistics and Finance <1999, Hongkong>
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Internationaler Währungsfonds / Asia and Pacific Department
1
Internationaler Währungsfonds / Western Hemisphere Department
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Kansantaloustieteen Laitos <Tampere>
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Nationalekonomiska Institutionen <Lund>
1
New York Institute of Finance
1
Rodney L. White Center for Financial Research
1
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
1
Springer Fachmedien Wiesbaden
1
Springer International Publishing
1
Technische Universität Dresden
1
The Wharton Financial Institutions Center
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
University of California, San Diego / Department of Economics
1
University of Exeter / Department of Economics
1
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Journal of econometrics
114
Discussion paper / Tinbergen Institute
80
Energy economics
75
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
Economic modelling
67
International journal of forecasting
64
Journal of empirical finance
61
Finance research letters
57
Economics letters
46
The North American journal of economics and finance : a journal of financial economics studies
42
Applied economics
41
International review of economics & finance : IREF
40
Journal of forecasting
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
39
International review of financial analysis
36
Econometric reviews
35
Journal of banking & finance
35
Journal of risk and financial management : JRFM
31
Quantitative finance
31
Computational economics
30
Journal of financial econometrics
29
Working paper
29
CREATES research paper
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Research in international business and finance
28
Applied financial economics
26
CESifo working papers
25
SFB 649 discussion paper
22
Journal of economic dynamics & control
21
Applied economics letters
20
Econometrics : open access journal
20
Journal of international financial markets, institutions & money
20
NBER working paper series
20
Economics working paper
19
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
17
International journal of economics and financial issues : IJEFI
17
Journal of financial economics
17
NBER Working Paper
17
Working paper / National Bureau of Economic Research, Inc.
17
CAMA working paper series
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ECONIS (ZBW)
4,259
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1
Forecasting S&P 500
volatility
: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
Dijk, Dick van
;
Pooter, Michiel de
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
Saved in:
2
The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.
;
Tunc, Gokce
;
Aydogan, Berna
;
Vardar, …
- In:
Emerging markets finance & trade : a journal of the …
47
(
2011
)
6
,
pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
Saved in:
3
Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets
Vortelinos, Dimitrios I.
- In:
Review of financial economics : RFE
27
(
2015
),
pp. 58-67
Persistent link: https://www.econbiz.de/10011498320
Saved in:
4
Identifying Information Asymmetry in Securities Markets
Back, Kerry
-
2018
. Empirical relationships between parameter estimates and price impacts and between parameter estimates and stochastic
volatility
…
Persistent link: https://www.econbiz.de/10012937478
Saved in:
5
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
6
Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets
Ekinci, Cumhur
;
Akyildirim, Erdinc
;
Corbet, Shaen
- In:
Finance research letters
31
(
2019
),
pp. 155-164
Persistent link: https://www.econbiz.de/10012421267
Saved in:
7
Macroeconomic news and market reaction : surprise indexes meet nowcasting
Caruso, Alberto
- In:
International journal of forecasting
35
(
2019
)
4
,
pp. 1725-1734
Persistent link: https://www.econbiz.de/10012305522
Saved in:
8
Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane
;
Uctum, Remzi
- In:
Economic modelling
54
(
2016
),
pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
Saved in:
9
Foreign news and the structure of co-movement in European equity markets : an intraday analysis
Ben Omrane, Walid
;
Hussain, Syed Mujahid
- In:
Research in international business and finance
37
(
2016
),
pp. 572-582
Persistent link: https://www.econbiz.de/10011595395
Saved in:
10
News augmented GARCH(1,1) model for
volatility
prediction
Sadik, Zryan A.
;
Date, Paresh M.
;
Mitra, Gautam
- In:
IMA journal of management mathematics
30
(
2019
)
2
,
pp. 165-185
Persistent link: https://www.econbiz.de/10012057108
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