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There are 32190 results for: content related to: Volatility persistence and stock valuations: Some empirical evidence using garch

  1. Forecasting commodity prices: GARCH, jumps, and mean reversion

    Journal of Forecasting

    Volume 27, Issue 4, July 2008, Pages: 279–291, Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian and Sebastien Mcmahon

    Version of Record online : 17 MAY 2008, DOI: 10.1002/for.1061

  2. You have full text access to this OnlineOpen article
    An introduction to oil market volatility analysis

    OPEC Energy Review

    Volume 37, Issue 3, September 2013, Pages: 247–269, Walid Matar, Saud M. Al-Fattah, Tarek Atallah and Axel Pierru

    Version of Record online : 9 SEP 2013, DOI: 10.1111/opec.12007

  3. Measuring the Volatility of Wheat Futures Prices on the LIFFE

    Journal of Agricultural Economics

    Volume 66, Issue 1, February 2015, Pages: 20–35, P. J. Dawson

    Version of Record online : 28 OCT 2014, DOI: 10.1111/1477-9552.12092


    Journal of Economic Surveys

    Volume 25, Issue 4, September 2011, Pages: 801–827, Chew Lian Chua, David Kim and Sandy Suardi

    Version of Record online : 11 JAN 2011, DOI: 10.1111/j.1467-6419.2010.00662.x

  5. Volatility Models

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sébastien Laurent, Pages: 1–45, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch1


    The Manchester School

    Volume 73, Issue s1, September 2005, Pages: 58–76, DON BREDIN and STILIANOS FOUNTAS

    Version of Record online : 5 AUG 2005, DOI: 10.1111/j.1467-9957.2005.00461.x

  7. Forecasting and trading currency volatility: an application of recurrent neural regression and model combination

    Journal of Forecasting

    Volume 21, Issue 5, August 2002, Pages: 317–354, Christian L. Dunis and Xuehuan Huang

    Version of Record online : 11 JUN 2002, DOI: 10.1002/for.833

  8. Modeling and forecasting of stock index volatility with APARCH models under ordered restriction

    Statistica Neerlandica

    Volume 69, Issue 3, August 2015, Pages: 329–356, Milton Abdul Thorlie, Lixin Song, Muhammad Amin and Xiaoguang Wang

    Version of Record online : 18 FEB 2015, DOI: 10.1111/stan.12062

  9. You have free access to this content

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 487–535, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.biblio

  10. Realized GARCH: a joint model for returns and realized measures of volatility

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 877–906, Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

    Version of Record online : 17 MAR 2011, DOI: 10.1002/jae.1234

  11. Average conditional correlation and tree structures for multivariate GARCH models

    Journal of Forecasting

    Volume 25, Issue 8, December 2006, Pages: 579–600, Francesco Audrino and Giovanni Barone-Adesi

    Version of Record online : 15 DEC 2006, DOI: 10.1002/for.1014

  12. Modelling petroleum future price volatility: analysing asymmetry and persistency of shocks

    OPEC Energy Review

    Volume 36, Issue 1, March 2012, Pages: 1–24, Fardous Alom, Bert D. Ward and Baiding Hu

    Version of Record online : 14 FEB 2012, DOI: 10.1111/j.1753-0237.2011.00204.x

  13. Oil Price Uncertainty

    Journal of Money, Credit and Banking

    Volume 42, Issue 6, September 2010, Pages: 1137–1159, JOHN ELDER and APOSTOLOS SERLETIS

    Version of Record online : 19 AUG 2010, DOI: 10.1111/j.1538-4616.2010.00323.x

  14. Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

    The Econometrics Journal

    Volume 12, Issue 2, July 2009, Pages: 248–271, P. Čížek, W. Härdle and V. Spokoiny

    Version of Record online : 21 JUL 2009, DOI: 10.1111/j.1368-423X.2009.00292.x

  15. Modelling oil price volatility before, during and after the global financial crisis

    OPEC Energy Review

    Volume 38, Issue 4, December 2014, Pages: 469–495, Afees A. Salisu

    Version of Record online : 30 DEC 2014, DOI: 10.1111/opec.12037

  16. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination

    Applied Quantitative Methods for Trading and Investment

    Christian L. Dunis, Xuehuan Huang, Pages: 129–162, 2005

    Published Online : 28 JAN 2005, DOI: 10.1002/0470013265.ch4

  17. Theory and inference for a Markov switching GARCH model

    The Econometrics Journal

    Volume 13, Issue 2, July 2010, Pages: 218–244, Luc Bauwens, Arie Preminger and Jeroen V. K. Rombouts

    Version of Record online : 7 MAY 2010, DOI: 10.1111/j.1368-423X.2009.00307.x

  18. Estimating Volatility Persistence in Oil Prices Under Structural Breaks

    Financial Review

    Volume 45, Issue 4, November 2010, Pages: 1011–1023, Bradley T. Ewing and Farooq Malik

    Version of Record online : 11 OCT 2010, DOI: 10.1111/j.1540-6288.2010.00283.x

  19. A simplified approach to modeling the co-movement of asset returns

    Journal of Futures Markets

    Volume 27, Issue 6, June 2007, Pages: 575–598, Richard D. F. Harris, Evarist Stoja and Jon Tucker

    Version of Record online : 4 APR 2007, DOI: 10.1002/fut.20262

  20. Nonlinear Models for Autoregressive Conditional Heteroskedasticity

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 47–69, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch2