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Generalized ARMA models with martingale difference errors

Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506

Persistent link: https://www.econbiz.de/10011504639

Level shifts in stock returns driven by large shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51

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Frontiers in time series and financial econometrics: An overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 245-250

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Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Persistent link: https://www.econbiz.de/10010484894

Retail and wholesale gasoline price adjustments in response to oil price changes

Bumpass, Donald Lynn; Ginn, Vance; Tuttle, Markland H. - In: Energy economics 52 (2015) 1, pp. 49-54

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Debt regimes and the effectiveness of monetary policy

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Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model

Medeiros, Marcelo C.; Veiga, Alvaro - 2004

ergodicity of the model is established and the existence of the second- and fourth-order moments is discussed. It is shown that …

Persistent link: https://www.econbiz.de/10011807314

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies

Buccheri, Giuseppe; Corsi, Fulvio - In: Journal of financial econometrics 19 (2021) 4, pp. 614-649

Persistent link: https://www.econbiz.de/10012654982

Spatial price transmission on agricultural commodity markets under different volatility regimes

Ganneval, S. - In: Economic modelling 52 (2016), pp. 173-185

Persistent link: https://www.econbiz.de/10011645602