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Comprehensive evaluation of ARMA―GARCH(-M) approaches for modeling the mean and volatility of wind speedHEPING LIU; ERDEM, Ergin; JING SHI et al.Applied energy. 2011, Vol 88, Num 3, pp 724-732, issn 0306-2619, 9 p.Article

Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?YUDONG WANG; CHONGFENG WU.Energy economics. 2012, Vol 34, Num 6, pp 2167-2181, issn 0140-9883, 15 p.Article

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH ModelsHWANG, Soosung; VALLS PEREIRA, Pedro L.Communications in statistics. Simulation and computation. 2008, Vol 37, Num 3-5, pp 571-578, issn 0361-0918, 8 p.Article

An analysis of the flexibility of Asymmetric Power GARCH modelsANE, Thierry.Computational statistics & data analysis. 2006, Vol 51, Num 2, pp 1293-1311, issn 0167-9473, 19 p.Article

L'INTÉGRATION BOURSIÈRE INTERNATIONALE : TESTS ET EFFETS SUR LA DIVERSIFICATION = World Stock Markets Integration : Tests and Impacts on Portfolio DiversificationAROURI MOHAMED EL HEDI.Annales d'économie et de statistique. 2007, Num 85, pp 189-218, issn 0769-489X, 30 p.Article

The influence of biofuels, economic and financial factors on daily returns of commodity futures pricesALGIERI, Bernardina.Energy policy. 2014, Vol 69, pp 227-247, issn 0301-4215, 21 p.Article

Day-ahead electricity price forecasting using wavelet transform combined with ARIMA and GARCH modelsZHONGFU TAN; JINLIANG ZHANG; JIANHUI WANG et al.Applied energy. 2010, Vol 87, Num 11, pp 3606-3610, issn 0306-2619, 5 p.Article

Testing for parameter constancy in GARCH(p, q) modelsBERKES, Istvan; HORVATH, Lajos; KOKOSZKA, Piotr et al.Statistics & probability letters. 2004, Vol 70, Num 4, pp 263-273, issn 0167-7152, 11 p.Article

Examining crude oil price - Exchange rate nexus for India during the period of extreme oil price volatilityGHOSH, Sajal.Applied energy. 2011, Vol 88, Num 5, pp 1886-1889, issn 0306-2619, 4 p.Article

Applying ARMA―GARCH approaches to forecasting short-term electricity pricesHEPING LIU; JING SHI.Energy economics. 2013, Vol 37, pp 152-166, issn 0140-9883, 15 p.Article

Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETSFENG, Zhen-Hua; WEI, Yi-Ming; KAI WANG et al.Applied energy. 2012, Vol 99, pp 97-108, issn 0306-2619, 12 p.Article

AN EXPONENTIAL CONTINUOUS-TIME GARCH PROCESSHAUG, Stephan; CZADO, Claudia.Journal of applied probability. 2007, Vol 44, Num 4, pp 960-976, issn 0021-9002, 17 p.Article

On stationarity and β-mixing property of certain nonlinear GARCH(p,q) modelsLEE, O; SHIN, D. W.Statistics & probability letters. 2005, Vol 73, Num 1, pp 25-35, issn 0167-7152, 11 p.Article

Are shocks to commodity prices persistent?KUMAR NARAYAN, Paresh; RUIPENG LIU.Applied energy. 2011, Vol 88, Num 1, pp 409-416, issn 0306-2619, 8 p.Article

Efficient capital markets : A statistical definition and commentsMILIONIS, Alexandros E.Statistics & probability letters. 2007, Vol 77, Num 6, pp 607-613, issn 0167-7152, 7 p.Article

Stationarity domains for δ-power Garch process with heavy tailsBELLLNI, Fabio; BOTTOLO, Leonardo.Statistics & probability letters. 2007, Vol 77, Num 13, pp 1418-1427, issn 0167-7152, 10 p.Article

Volatility spillovers between food and energy markets: A semiparametric approachSERRA, Teresa.Energy economics. 2011, Vol 33, Num 6, pp 1155-1164, issn 0140-9883, 10 p.Article

Evaluating multivariate GARCH models in the nordic electricity marketsMALO, P; KANTO, A.Communications in statistics. Simulation and computation. 2006, Vol 35, Num 1, pp 117-148, issn 0361-0918, 32 p.Article

Bayesian comparison of bivariate ARCH-type models for the main exchange rates in PolandOSIEWALSKI, Jacek; PIPIEN, Mateusz.Journal of econometrics. 2004, Vol 123, Num 2, pp 371-391, issn 0304-4076, 21 p.Article

Ergodicité des chaînes de Markov à valeurs dans une variété algébrique : application aux modèles GARCH multivariés = Ergodicity of Markov chains in an algebraic manifold : application to multivariate GARCH modelsBOUSSAMA, Farid.Comptes rendus. Mathématique. 2006, Vol 343, Num 4, pp 275-278, issn 1631-073X, 4 p.Article

The functional central limit theorem for a family of GARCH observations with applicationsBERKES, Istvan; HÖRMANN, Siegfried; HORVATH, Lajos et al.Statistics & probability letters. 2008, Vol 78, Num 16, pp 2725-2730, issn 0167-7152, 6 p.Article

The impact of stock market volatility on corporate bond credit spreadsBEWLEY, Ronald; REES, David; BERG, Paul et al.Mathematics and computers in simulation. 2004, Vol 64, Num 3-4, pp 363-372, issn 0378-4754, 10 p.Conference Paper

Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companiesSADORSKY, Perry.Energy economics. 2012, Vol 34, Num 1, pp 248-255, issn 0140-9883, 8 p.Article

Forecasting hourly electricity prices using ARMAX-GARCH models: An application to MISO hubsHICKEY, Emily; LOOMIS, David G; MOHAMMADI, Hassan et al.Energy economics. 2012, Vol 34, Num 1, pp 307-315, issn 0140-9883, 9 p.Article

International evidence on crude oil price dynamics: Applications of ARIMA-GARCH modelsMOHAMMADI, Hassan; LIXIAN SU.Energy economics. 2010, Vol 32, Num 5, pp 1001-1008, issn 0140-9883, 8 p.Article

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