20
H index
31
i10 index
1751
Citations
Centre de Recherche en Économie et Statistique (CREST) | 20 H index 31 i10 index 1751 Citations RESEARCH PRODUCTION: 51 Articles 68 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Michel Zakoian. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 28 |
Working Papers / Center for Research in Economics and Statistics | 25 |
Computing in Economics and Finance 2006 / Society for Computational Economics | 2 |
Post-Print / HAL | 2 |
Year | Title of citing document | |
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2021 | Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284. Full description at Econpapers || Download paper | |
2021 | Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089. Full description at Econpapers || Download paper | |
2021 | Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021). Tetik, Metin. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:35-46. Full description at Econpapers || Download paper | |
2020 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper | |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
2020 | Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089. Full description at Econpapers || Download paper | |
2020 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper | |
2021 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2020 | Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161. Full description at Econpapers || Download paper | |
2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
2020 | Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets. (2020). Lillo, Fabrizio ; Guo, Tian ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2005.09356. Full description at Econpapers || Download paper | |
2021 | An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077. Full description at Econpapers || Download paper | |
2020 | Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588. Full description at Econpapers || Download paper | |
2021 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper | |
2020 | Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747. Full description at Econpapers || Download paper | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2021 | Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930. Full description at Econpapers || Download paper | |
2020 | Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263. Full description at Econpapers || Download paper | |
2020 | Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888. Full description at Econpapers || Download paper | |
2021 | Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473. Full description at Econpapers || Download paper | |
2021 | Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658. Full description at Econpapers || Download paper | |
2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
2021 | Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532. Full description at Econpapers || Download paper | |
2021 | Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081. Full description at Econpapers || Download paper | |
2021 | MinP Score Tests with an Inequality Constrained Parameter Space. (2021). Yang, Yuhong ; Rahbek, Anders ; Lu, Zeng-Hua ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2107.06089. Full description at Econpapers || Download paper | |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper | |
2021 | Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2020 | Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling. (2020). Asare-Adu, Anthony ; Atuah, Theophilus Sakyiamah ; Agyapong, Daniel. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:920-935. Full description at Econpapers || Download paper | |
2021 | The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore. (2021). Szulczyk, Kenneth R ; Ziaei, Sayyed Mahdi ; Chuan, Jordan Ngu. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:191-204. Full description at Econpapers || Download paper | |
2021 | India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models. (2021). Reddy, Y V ; Naik, Maithili S. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:252-262. Full description at Econpapers || Download paper | |
2022 | Exchange Rate Volatility and Exports: The Nigerian Scenario. (2022). Chukwuka, Ekechi ; Ebenyi, Gabriel O ; Uzoechina, Benedict I ; Saleh, Abubakar Sadiq ; Eze, Millicent Adanne ; Duru, Innocent U. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:v:12:y:2022:i:1:p:11-28:id:4404. Full description at Econpapers || Download paper | |
2021 | Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect. (2021). Celk, Ali. In: Journal of BRSA Banking and Financial Markets. RePEc:bdd:journl:v:15:y:2021:i:1:p:61-81. Full description at Econpapers || Download paper | |
2020 | The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937. Full description at Econpapers || Download paper | |
2020 | On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641. Full description at Econpapers || Download paper | |
2021 | Quantile?frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics. (2021). Li, Tahsin. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:2:p:270-290. Full description at Econpapers || Download paper | |
2020 | Further Results on Pseudo?Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model. (2020). Iglesias, Emma. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:2:p:357-364. Full description at Econpapers || Download paper | |
2020 | Backtesting portfolio valueâ€atâ€risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619. Full description at Econpapers || Download paper | |
2020 | On the threeâ€step nonâ€Gaussian quasiâ€maximum likelihood estimation of heavyâ€tailed double autoregressive models. (2020). Li, Dong ; Gong, Huan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:883-891. Full description at Econpapers || Download paper | |
2021 | Mixtures of Nonlinear Poisson Autoregressions. (2021). Rynkiewicz, Joseph ; Fokianos, Konstantinos ; Doukhan, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:107-135. Full description at Econpapers || Download paper | |
2021 | Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294. Full description at Econpapers || Download paper | |
2021 | Jointly determining the state dimension and lag order for Markov?switching vector autoregressive models. (2021). Kwok, Simon Sai Man ; Li, Nan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:471-491. Full description at Econpapers || Download paper | |
2021 | Integer?valued asymmetric garch modeling. (2021). Andrews, Beth ; Hu, Xiaofei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:737-751. Full description at Econpapers || Download paper | |
2021 | Asymptotic theory for QMLE for the real?time GARCH(1,1) model. (2021). Wu, Wei Biao ; Smetanina, Ekaterina. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:752-776. Full description at Econpapers || Download paper | |
2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
2022 | Generalized autoregressive moving average models with GARCH errors. (2022). Chen, Rong ; Xiao, Han ; Zheng, Tingguo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:125-146. Full description at Econpapers || Download paper | |
2020 | Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2020). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:6:p:1413-1428. Full description at Econpapers || Download paper | |
2021 | The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570. Full description at Econpapers || Download paper | |
2021 | Preliminary test estimation in uniformly locally asymptotically normal models. (2021). Verdebout, Thomas ; Rasoafaraniaina, Josea ; Paindaveine, Davy. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:689-707. Full description at Econpapers || Download paper | |
2021 | Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017. Full description at Econpapers || Download paper | |
2021 | Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7. Full description at Econpapers || Download paper | |
2021 | Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2. Full description at Econpapers || Download paper | |
2021 | Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3. Full description at Econpapers || Download paper | |
2021 | Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112. Full description at Econpapers || Download paper | |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
2020 | Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637. Full description at Econpapers || Download paper | |
2020 | A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frdric. In: Working Papers. RePEc:crs:wpaper:2020-28. Full description at Econpapers || Download paper | |
2022 | Inference on Multiplicative Component GARCH without any Small-Order Moment. (2022). Zakoian, Jean-Michel ; Kandji, Baye Matar ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-09. Full description at Econpapers || Download paper | |
2020 | Robust Tests for White Noise and Cross-Correlation. (2020). Phillips, Peter ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194r. Full description at Econpapers || Download paper | |
2020 | An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272. Full description at Econpapers || Download paper | |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper | |
2020 | Disruptive innovation, innovation adoption and incumbent market value: The case of Airbnb. (2020). Sharma, Abhinav ; Nicolau, Juan L ; Zach, Florian J. In: Annals of Tourism Research. RePEc:eee:anture:v:80:y:2020:i:c:s0160738319301756. Full description at Econpapers || Download paper | |
2021 | Modelling and forecasting of growth rate of new COVID-19 cases in top nine affected countries: Considering conditional variance and asymmetric effect. (2021). Ekinci, Aykut. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005816. Full description at Econpapers || Download paper | |
2020 | A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978. Full description at Econpapers || Download paper | |
2022 | Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559. Full description at Econpapers || Download paper | |
2021 | Determinacy and classification of Markov-switching rational expectations models. (2021). Cho, Seonghoon. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000506. Full description at Econpapers || Download paper | |
2022 | Does hospitality industry stock volatility react asymmetrically to health and economic crises?. (2022). Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s026499932100328x. Full description at Econpapers || Download paper | |
2020 | Are cyclical patterns of international housing markets interdependent?. (2020). Chang, Kuang-Liang. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:14-24. Full description at Econpapers || Download paper | |
2020 | Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486. Full description at Econpapers || Download paper | |
2020 | Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). RodrÃÂguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607. Full description at Econpapers || Download paper | |
2021 | Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164. Full description at Econpapers || Download paper | |
2021 | Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Dong H ; Jung, Hojin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310. Full description at Econpapers || Download paper | |
2020 | A note on Portmanteau tests for conditional heteroscedastistic models. (2020). Jiang, Feiyu ; Ben, Youhong. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257. Full description at Econpapers || Download paper | |
2021 | SRISKv2 – A note. (2021). Jiron, Alexander ; Migueis, Marco. In: Economics Letters. RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000744. Full description at Econpapers || Download paper | |
2020 | Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183. Full description at Econpapers || Download paper | |
2020 | Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267. Full description at Econpapers || Download paper | |
2020 | Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34. Full description at Econpapers || Download paper | |
2020 | Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70. Full description at Econpapers || Download paper | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430. Full description at Econpapers || Download paper | |
2020 | Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495. Full description at Econpapers || Download paper | |
2021 | Missing observations in observation-driven time series models. (2021). Blasques, Francisco ; Koopman, S J ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:542-568. Full description at Econpapers || Download paper | |
2021 | Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197. Full description at Econpapers || Download paper | |
2021 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329. Full description at Econpapers || Download paper | |
2022 | Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167. Full description at Econpapers || Download paper | |
2022 | LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise. (2022). Ling, Shiqing ; Qingling, Shi ; Zhang, Rongmao. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:228-240. Full description at Econpapers || Download paper | |
2022 | Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263. Full description at Econpapers || Download paper | |
2022 | Hybrid quantile estimation for asymmetric power GARCH models. (2022). Li, Wai Keung ; Zhu, KE ; Wang, Guochang. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:264-284. Full description at Econpapers || Download paper | |
2022 | A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84. Full description at Econpapers || Download paper | |
2021 | On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods. (2021). Liou, Chu Pheuil ; Duchesne, Pierre . In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:169-187. Full description at Econpapers || Download paper | |
2021 | Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; van Vlodrop, Andries C ; Blasques, Francisco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57. Full description at Econpapers || Download paper | |
2021 | Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45. Full description at Econpapers || Download paper | |
2022 | Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68. Full description at Econpapers || Download paper | |
2022 | An indirect proof for the asymptotic properties of VARMA model estimators. (2022). Melard, Guy. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:96-111. Full description at Econpapers || Download paper | |
2020 | Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738. Full description at Econpapers || Download paper | |
2020 | Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82. Full description at Econpapers || Download paper | |
2020 | Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s014098832030102x. Full description at Econpapers || Download paper | |
2020 | On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115. Full description at Econpapers || Download paper | |
2020 | Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis. (2020). Spodniak, Petr ; Bertsch, Valentin. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220301572. Full description at Econpapers || Download paper | |
2021 | Assessing dynamic China’s energy security: Based on functional data analysis. (2021). Lin, Boqiang ; Wang, You ; Gong, XU. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220324312. Full description at Econpapers || Download paper | |
2020 | The hedging effect of green bonds on carbon market risk. (2020). Han, Liyan ; Jin, Jiayu ; Zeng, Hongchao ; Wu, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301538. Full description at Econpapers || Download paper | |
2020 | Brent crude oil prices volatility during major crises. (2020). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304380. Full description at Econpapers || Download paper | |
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