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ECONIS (ZBW)
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1
Locally stationary multiplicative
volatility
modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
2
A Bayesian method of change-point estimation with recurrent regimes : application to
GARCH
models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
3
Modelling and
forecasting
long memory time series with exponential and switching
GARCH
models
Amiri, Esmail
- In:
International journal of monetary economics and finance
12
(
2019
)
5
,
pp. 407-425
Persistent link: https://www.econbiz.de/10012155069
Saved in:
4
An empirical analysis of structural breaks in world dry bulk shipping market
Dai, Lei
;
Jing, Danyue
;
Hu, Hao
;
Shi, Yifan
;
Lee, Seungwon
- In:
International journal of shipping and transport …
16
(
2023
)
1/2
,
pp. 141-153
Persistent link: https://www.econbiz.de/10013550365
Saved in:
5
A discussion on the
robustness
of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
6
Estimating downside risk in stock returns under structural breaks
Hood, Matthew
;
Malik, Farooq
- In:
International review of economics & finance : IREF
58
(
2018
),
pp. 102-112
Persistent link: https://www.econbiz.de/10012034196
Saved in:
7
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos
;
Yfanti, Stavroula
;
Karoglou, Michail
- In:
International review of financial analysis
45
(
2016
),
pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
Saved in:
8
Do structural breaks in
volatility
cause spurious
volatility
transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
Saved in:
9
Volatility
spillovers between oil prices and the stock market under structural breaks
Ewing, Bradley T.
;
Malik, Farooq
- In:
Global finance journal
29
(
2016
),
pp. 12-23
Persistent link: https://www.econbiz.de/10011714558
Saved in:
10
Modelling asymmetric
volatility
in oil prices under structural breaks
Ewing, Bradley T.
;
Malik, Farooq
- In:
Energy economics
63
(
2017
),
pp. 227-233
Persistent link: https://www.econbiz.de/10011757936
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