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Search: subject:"state-space model"
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State space model
22
Zustandsraummodell
22
Volatility
9
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International review of financial analysis
Discussion paper / Tinbergen Institute
94
Economic modelling
82
Economics letters
55
Computational economics
54
Journal of econometrics
54
Energy economics
52
International journal of forecasting
52
Journal of forecasting
46
Journal of economic dynamics & control
41
Applied economics
40
Finance research letters
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CAMA working paper series
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
Working paper / Department of Econometrics and Business Statistics, Monash University
35
The North American journal of economics and finance : a journal of financial economics studies
34
Applied economics letters
33
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
International review of economics & finance : IREF
31
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Working paper
25
Discussion paper / Centre for Economic Policy Research
22
Econometric reviews
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Journal of applied econometrics
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Working paper series / European Central Bank
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Finance and economics discussion series
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Journal of empirical finance
18
CREATES research paper
17
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
17
CESifo working papers
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Journal of macroeconomics
16
Bank of Finland research discussion papers
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of risk and financial management : JRFM
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NBER Working Paper
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NBER working paper series
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Tinbergen Institute Discussion Paper
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International journal of finance & economics : IJFE
14
ECB Working Paper
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Econometrics : open access journal
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ECONIS (ZBW)
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1
The effects of economic and financial shocks on private investment : a wavelet study of return and volatility spillovers
GVS Chiranjivi
;
Sensarma, Rudra
- In:
International review of financial analysis
90
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014470876
Saved in:
2
Do commodity markets catch a cold from stock markets? : Modelling uncertainty spillovers using Google search trends and wavelet coherence
Szczygielski, Jan Jakub
;
Charteris, Ailie
;
Obojska, Lidia
- In:
International review of financial analysis
87
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014457702
Saved in:
3
High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange
Bahcivan, Hulusi
;
Karahan, Cenk C.
- In:
International review of financial analysis
80
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013366247
Saved in:
4
Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
82
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
Saved in:
5
Stock price default boundary : a Black-Cox model approach
Shi, Yunkun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
Saved in:
6
Which time-frequency domain dominates spillover in the Chinese energy stock market?
Sun, Qingru
;
Gao, Xiangyun
;
An, Haizhong
;
Guo, Sui
; …
- In:
International review of financial analysis
73
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012803729
Saved in:
7
Time-frequency co-movement of cryptocurrency return and volatility : evidence from wavelet coherence analysis
Qiao, Xingzhi
;
Zhu, Huiming
;
Hau, Liya
- In:
International review of financial analysis
71
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012436392
Saved in:
8
Identifying the comovement of price between China's and international crude oil futures : a time-frequency perspective
Huang, Xiaohong
;
Huang, Shupei
- In:
International review of financial analysis
72
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012437245
Saved in:
9
What drives stochastic risk aversion?
Cho, Sungjun
- In:
International review of financial analysis
34
(
2014
),
pp. 44-63
Persistent link: https://www.econbiz.de/10010528474
Saved in:
10
The roles of past returns and firm fundamentals in driving US stock price movements
Hong, KiHoon
;
Wu, Eliza
- In:
International review of financial analysis
43
(
2016
),
pp. 62-75
Persistent link: https://www.econbiz.de/10011623714
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