Similar Search Results

Markov-Regime-Switching-Modelle in der Finanzwirtschaft

Locarek-Junge, Hermann; Walther, Thomas - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 46 (2017) 1, pp. 4-9

Persistent link: https://www.econbiz.de/10011955712

Extremwerttheorie und Modellierung extremer Ereignisse in Finanzzeitreihen

Straßberger, Mario - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 35 (2006) 2, pp. 206-212

Persistent link: https://www.econbiz.de/10003280310

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data

Klein, Tony - 2018

In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...

Persistent link: https://www.econbiz.de/10012936335

Schätzung und Vorhersage "Realisierter Volatilität"

Dudda, Tom; Walther, Thomas; Klein, Tony - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 50 (2021) 4, pp. 19-25

Persistent link: https://www.econbiz.de/10012501879

Oil price volatility forecast with mixture memory GARCH

Klein, Tony; Walther, Thomas - In: Energy economics 58 (2016), pp. 46-58

Persistent link: https://www.econbiz.de/10011698485

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

Oil price changes and U.S. real GDP growth : is this time different?

Charfeddine, Lanouar; Klein, Tony; Walther, Thomas - 2018

This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines...

Persistent link: https://www.econbiz.de/10011906502

True or spurious long memory in European non-EMU currencies

Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230

Persistent link: https://www.econbiz.de/10011912762

Forecasting realized volatility of agricultural commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; … - In: International journal of forecasting 38 (2022) 1, pp. 74-96

Persistent link: https://www.econbiz.de/10013347759

Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets

Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151

Persistent link: https://www.econbiz.de/10011703972