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Financial Time Series: Methods and Models.
- Published in:
- Journal of Risk & Financial Management, 2020, v. 13, n. 5, p. 1, doi. 10.3390/jrfm13050086
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- Article
Analytical Gradients of Dynamic Conditional Correlation Models.
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- Journal of Risk & Financial Management, 2020, v. 13, n. 3, p. 1, doi. 10.3390/jrfm13030049
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- Article
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective.
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- Journal of Risk & Financial Management, 2016, v. 9, n. 3, p. 1, doi. 10.3390/jrfm9030008
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- Article
Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil.
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- Energy Journal, 2021, v. 42, n. 6, p. 247, doi. 10.5547/01956574.42.6.akha
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- Article
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH.
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- Statistica Neerlandica, 2011, v. 65, n. 2, p. 125, doi. 10.1111/j.1467-9574.2010.00479.x
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- Article
The factor structure of exchange rates volatility: global and intermittent factors.
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- Empirical Economics, 2024, v. 67, n. 1, p. 31, doi. 10.1007/s00181-023-02542-3
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- Article
New insights on the environmental Kuznets curve (EKC) for Central Asia.
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- Empirical Economics, 2024, v. 66, n. 5, p. 2335, doi. 10.1007/s00181-023-02520-9
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- Article
Is the Korean housing market following Gangnam style?
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- Empirical Economics, 2021, v. 61, n. 4, p. 2041, doi. 10.1007/s00181-020-01931-2
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- Article
Time-varying persistence in US inflation.
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- Empirical Economics, 2017, v. 53, n. 2, p. 423, doi. 10.1007/s00181-016-1144-y
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- Article
Comparing and Selecting Performance Measures Using Rank Correlations.
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- Economics: The Open-Access, Open-Assessment E-Journal, 2011, v. 5, p. 1, doi. 10.5018/economics-ejournal.ja.2011-10
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- Article
Building News Measures from Textual Data and an Application to Volatility Forecasting.
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- Econometrics (2225-1146), 2017, v. 5, n. 3, p. 35, doi. 10.3390/econometrics5030035
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- Article
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES.
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- Journal of Economic Surveys, 2014, v. 28, n. 5, p. 917, doi. 10.1111/joes.12041
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- Article
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS.
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- Journal of Economic Surveys, 2012, v. 26, n. 4, p. 736, doi. 10.1111/j.1467-6419.2011.00683.x
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- Article
The Role of Jumps in Realized Volatility Modeling and Forecasting.
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- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1143, doi. 10.1093/jjfinec/nbab030
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- Article
Volatility Jumps and Their Economic Determinants.
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- Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 29, doi. 10.1093/jjfinec/nbu028
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- Article
Volatility Threshold Dynamic Conditional Correlations: An International Analysis.
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- Journal of Financial Econometrics, 2013, v. 11, n. 4, p. 706, doi. 10.1093/jjfinec/nbs028
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- Article
Dynamic Asymmetric GARCH.
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- Journal of Financial Econometrics, 2006, v. 4, n. 3, p. 385, doi. 10.1093/jjfinec/nbj011
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- Article
Measuring Climate Transition Risk Spillovers.
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- Review of Finance, 2024, v. 28, n. 2, p. 447, doi. 10.1093/rof/rfad026
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- Article
Asset allocation strategies based on penalized quantile regression.
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- Computational Management Science, 2018, v. 15, n. 1, p. 1, doi. 10.1007/s10287-017-0288-3
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- Article
Misspecification tests for periodic long memory GARCH models.
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- Statistical Methods & Applications, 2010, v. 19, n. 1, p. 47, doi. 10.1007/s10260-009-0118-z
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- Article
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.
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- Statistical Methods & Applications, 2005, v. 14, n. 2, p. 145, doi. 10.1007/s10260-005-0108-8
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- Article
Identification of long term memory in GARCH models*.
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- Statistical Methods & Applications, 2003, v. 12, n. 2, p. 133, doi. 10.1007/s10260-003-0056-0
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- Article
Has the EU-ETS Financed the Energy Transition of the Italian Power System?
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- International Journal of Financial Studies, 2021, v. 9, n. 4, p. 71, doi. 10.3390/ijfs9040071
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- Article
Forecasting Temperature Indices Density with Time-Varying Long-Memory Models.
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- Journal of Forecasting, 2013, v. 32, n. 4, p. 339, doi. 10.1002/for.1272
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- Article
Scalar BEKK and indirect DCC.
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- Journal of Forecasting, 2008, v. 27, n. 6, p. 537, doi. 10.1002/for.1074
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- Article
Omega Compatibility: A Meta-analysis.
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- Computational Economics, 2023, v. 62, n. 2, p. 493, doi. 10.1007/s10614-022-10306-x
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- Article
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES.
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- Annals of Financial Economics, 2016, v. 11, n. 1, p. -1, doi. 10.1142/S2010495216500032
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- Article
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS.
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- Journal of Economic Surveys, 2010, v. 24, n. 1, p. 196, doi. 10.1111/j.1467-6419.2009.00585.x
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- Article
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS.
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- Journal of Economic Surveys, 2010, v. 24, n. 1, p. 192, doi. 10.1111/j.1467-6419.2009.00584.x
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- Article
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises.
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- British Journal of Management, 2019, v. 30, n. 3, p. 712, doi. 10.1111/1467-8551.12285
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- Article
Spatial effect of biomass energy consumption on carbon emissions reduction: the role of globalization.
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- Environmental Science & Pollution Research, 2024, v. 31, n. 18, p. 26961, doi. 10.1007/s11356-024-32849-2
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- Article
The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices.
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- Energy Journal, 2024, v. 45, n. 2, p. 137, doi. 10.5547/01956574.45.2.mcap
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- Article