M. Angeles Carnero
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Carnero, M. Angeles & Pérez, Ana, 2019.
"Leverage effect in energy futures revisited,"
Energy Economics, Elsevier, vol. 82(C), pages 237-252.
Mentioned in:
- Leverage effect in energy futures revisited (Energy Economics 2019) in ReplicationWiki ()
Working papers
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
DES - Working Papers. Statistics and Econometrics. WS
ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
Cited by:
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Charles, Amélie & Darné, Olivier, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, Elsevier, vol. 157(C), pages 179-202.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
- Carnero M. Angeles & Pérez Ana, 2021.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012.
"Estimating VAR-MGARCH models in multiple steps,"
Working Papers. Serie AD
2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 339-365, May.
Cited by:
- Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.
- M. Hakan Eratalay; Evgenii V. Vladimirov, 2018.
"Mapping The Stocks In Micex: Who Is Central To The Moscow Stock Exchange?,"
University of Tartu - Faculty of Economics and Business Administration Working Paper Series
111, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- M. Hakan Eratalay & Evgenii Vladimirov, 2017. "Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?," EUSP Department of Economics Working Paper Series 2017/01, European University at St. Petersburg, Department of Economics.
- M. Hakan Eratalay & Evgenii V. Vladimirov, 2020. "Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
- Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
- Carnero M. Angeles & Eratalay M. Hakan, 2014.
"Estimating VAR-MGARCH models in multiple steps,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 339-365, May.
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022.
"The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms,"
JRFM, MDPI, vol. 15(4), pages 1-41, March.
- Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
- Rick Bohte & Luca Rossini, 2019.
"Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models,"
JRFM, MDPI, vol. 12(3), pages 1-18, September.
- Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Hashem Zarafat & Sascha Liebhardt & Mustafa Hakan Eratalay, 2022. "Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?," JRFM, MDPI, vol. 15(8), pages 1-32, July.
- Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
- Ariana Paola Cortés à ngel & Mustafa Hakan Eratalay, 2021. "Deedp Diving Into The S&P 350 Europe Index Network Ans Its Reaction To Covid-19," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 134, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2011.
"Rental housing discrimination and the persistence of ethnic enclaves,"
Working Papers. Serie AD
2011-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Mariano Bosch & M. Carnero & Lídia Farré, 2015. "Rental housing discrimination and the persistence of ethnic enclaves," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 129-152, June.
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2011. "Rental Housing Discrimination and the Persistence of Ethnic Enclaves," IZA Discussion Papers 5583, Institute of Labor Economics (IZA).
Cited by:
- Natera-Rivas Juan Jose & Larrubia-Vargas Remedios & Navarro-Rodríguez Susana, 2021. "Description of the Intramunicipal Habitat with Significant Concentrations of Foreign Population. The Case of the Province of Málaga (Spain)," Bulletin of Geography. Socio-economic Series, Sciendo, vol. 52(52), pages 39-58, June.
- Auspurg, Katrin & Schneck, Andreas & Thiel, Fabian, 2020. "Different samples, different results? How sampling techniques affect the results of field experiments on ethnic discrimination," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 0.
- Verena Dill & Uwe Jirjahn & Georgi Tsertsvadze, 2011.
"Residential Segregation and Immigrants' Satisfaction with the Neighborhood in Germany,"
Research Papers in Economics
2011-08, University of Trier, Department of Economics.
- Verena Dill & Uwe Jirjahn & Georgi Tsertvadze, 2011. "Residential Segregation and Immigrants' Satisfaction with the Neighborhood in Germany," SOEPpapers on Multidisciplinary Panel Data Research 410, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Verena Dill & Uwe Jirjahn & Georgi Tsertsvadze, 2015. "Residential Segregation and Immigrants’ Satisfaction with the Neighborhood in Germany," Social Science Quarterly, Southwestern Social Science Association, vol. 96(2), pages 354-368, June.
- de la Rica, Sara & Glitz, Albrecht & Ortega, Francesc, 2013.
"Immigration in Europe: Trends, Policies and Empirical Evidence,"
IZA Discussion Papers
7778, Institute of Labor Economics (IZA).
- Sara de la Rica & Albretch Glitz & Francesc Ortega, 2013. "Immigration in Europe: Trends, Policies and Empirical Evidence," Working Papers 2013-16, FEDEA.
- Verena Dill & Uwe Jirjahn, 2011.
"Ethnic Residential Segregation and Immigrants' Perceptions of Discrimination in West Germany,"
Research Papers in Economics
2011-10, University of Trier, Department of Economics.
- Verena Dill & Uwe Jirjahn, 2011. "Ethnic Residential Segregation and Immigrants' Perceptions of Discrimination in West Germany," SOEPpapers on Multidisciplinary Panel Data Research 416, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Alexandre Flage, 2018. "Ethnic and Gender Discrimination in Rental Housing Market, Evidence from Meta-Analysis of Correspondence Tests, 2006-2017," Working Papers 2018-04, CRESE.
- Verena Dill & Uwe Jirjahn, 2014. "Ethnic residential segregation and immigrants’ perceptions of discrimination in West Germany," Urban Studies, Urban Studies Journal Limited, vol. 51(16), pages 3330-3347, December.
- José M. Casado-Díaz & Raquel Simón-Albert & Hipólito Simón, 2022. "Reassessing the commuting penalty for immigrants: new evidence from Spain," Transportation, Springer, vol. 49(4), pages 1099-1132, August.
- Cochard, François & Flage, Alexandre & Peterle, Emmanuel, 2019. "Intermediation and discrimination in an investment game: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 168(C), pages 196-208.
- Flage, Alexandre, 2018. "Ethnic and gender discrimination in the rental housing market: Evidence from a meta-analysis of correspondence tests, 2006–2017," Journal of Housing Economics, Elsevier, vol. 41(C), pages 251-273.
- Travis R Meyer & Daniel Balagué & Miguel Camacho-Collados & Hao Li & Katie Khuu & P Jeffrey Brantingham & Andrea L Bertozzi, 2019. "A year in Madrid as described through the analysis of geotagged Twitter data," Environment and Planning B, , vol. 46(9), pages 1724-1740, November.
- M. Angeles Carnero Fernández & Blanca Martínez & Rocío Sánchez Mangas, 2010.
"Mobbing and workers' health: an empirical analysis for Spain,"
Working Papers. Serie AD
2010-30, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Angeles Carnero & Blanca Martínez & Rocı´o Sa´nchez‐Mangas, 2012. "Mobbing and workers’ health: empirical analysis for Spain," International Journal of Manpower, Emerald Group Publishing Limited, vol. 33(3), pages 322-339, June.
Cited by:
- Eve Caroli & Andrea Bassanini, 2017.
"Is work bad for health? The role of constraint vs choice,"
Working Papers
hal-01511562, HAL.
- Bassanini, Andrea & Caroli, Eve, 2014. "Is Work Bad for Health? The Role of Constraint vs Choice," IZA Discussion Papers 7891, Institute of Labor Economics (IZA).
- Bassanini, Andrea & Caroli, Eve, 2014. "Is work bad for health? The role of constraint vs choice," CEPREMAP Working Papers (Docweb) 1402, CEPREMAP.
- Muhammad Qureshi & Mehwish Iftikhar & Saquib Janjua & Khalid Zaman & Uzma Raja & Yasir Javed, 2015. "Empirical investigation of mobbing, stress and employees’ behavior at work place: quantitatively refining a qualitative model," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(1), pages 93-113, January.
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2009.
"Information and discrimination in the rental housing market: evidence from a field experiment,"
Working Papers. Serie AD
2009-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2010. "Information and discrimination in the rental housing market: Evidence from a field experiment," Regional Science and Urban Economics, Elsevier, vol. 40(1), pages 11-19, January.
Cited by:
- Vojtech Bartos & Michal Bauer & Julie Chytilova & Filip Matejka, 2013.
"Attention Discrimination: Theory and Field Experiments,"
CERGE-EI Working Papers
wp499, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Filip Matejka, 2013. "Attention Discrimination: Theory and Field Experiments," 2013 Meeting Papers 798, Society for Economic Dynamics.
- Nick Drydakis, 2011. "Women's Sexual Orientation and Labor Market Outcomes in Greece," Feminist Economics, Taylor & Francis Journals, vol. 17(1), pages 89-117, January.
- Lídia Farré, 2016.
"New evidence on the healthy immigrant effect,"
Journal of Population Economics, Springer;European Society for Population Economics, vol. 29(2), pages 365-394, April.
- Farré, Lídia, 2013. "New Evidence on the Healthy Immigrant Effect," IZA Discussion Papers 7840, Institute of Labor Economics (IZA).
- Lídia Farré, 2016. "New evidence on the healthy immigrant effect," Journal of Population Economics, Springer;European Society for Population Economics, vol. 29(2), pages 365-394, April.
- Tito Boeri & Marta De Philippis & Eleonora Patacchini & Michele Pellizzari, 2015.
"Immigration, Housing Discrimination and Employment,"
Economic Journal, Royal Economic Society, vol. 125(586), pages 82-114, August.
- Tito Boeri & Marta De Philippis & Eleonora Patacchini & Michele Pellizzari, 2011. "Immigration, Housing Discrimination and Employment," Working Papers 390, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Tito Boeri & Marta De Philippis & Eleonora Patacchini & Michele Pellizzari, 2014. "Immigration, Housing Discrimination and Employment," RF Berlin - CReAM Discussion Paper Series 1414, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
- Olivier Bertrand & Marie-Ann Betschinger & Caterina Moschieri, 2021. "Are firms with foreign CEOs better citizens? A study of the impact of CEO foreignness on corporate social performance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 52(3), pages 525-543, April.
- Gaddis, S. Michael, 2018. "An Introduction to Audit Studies in the Social Sciences," SocArXiv e5hfc, Center for Open Science.
- Auspurg, Katrin & Hinz, Thomas & Schmid, Laura, 2017. "Contexts and conditions of ethnic discrimination: Evidence from a field experiment in a German housing market," Journal of Housing Economics, Elsevier, vol. 35(C), pages 26-36.
- Hanson, Andrew & Hawley, Zackary, 2011.
"Do landlords discriminate in the rental housing market? Evidence from an internet field experiment in US cities,"
Journal of Urban Economics, Elsevier, vol. 70(2), pages 99-114.
- Hanson, Andrew & Hawley, Zackary, 2011. "Do landlords discriminate in the rental housing market? Evidence from an internet field experiment in US cities," Journal of Urban Economics, Elsevier, vol. 70(2-3), pages 99-114, September.
- Andrew Hanson & Zackary Hawley, 2011. "Do Landlords Discriminate in the Rental Housing Market? Evidence from an Internet Field Experiment in U.S. Cities," Experimental Economics Center Working Paper Series 2011-05, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University.
- David Neumark & Judith Rich, 2019.
"Do Field Experiments on Labor and Housing Markets Overstate Discrimination? A Re-examination of the Evidence,"
ILR Review, Cornell University, ILR School, vol. 72(1), pages 223-252, January.
- David Neumark & Judith Rich, 2016. "Do Field Experiments on Labor and Housing Markets Overstate Discrimination? A Re-examination of the Evidence," NBER Working Papers 22278, National Bureau of Economic Research, Inc.
- Dai, Tianran & Schiff, Nathan, 2021.
"The Structure and Growth of Ethnic Neighborhoods,"
MPRA Paper
108073, University Library of Munich, Germany.
- Dai, Tianran & Schiff, Nathan, 2023. "The structure and growth of ethnic neighborhoods," Journal of Urban Economics, Elsevier, vol. 137(C).
- Auspurg, Katrin & Schneck, Andreas & Thiel, Fabian, 2020. "Different samples, different results? How sampling techniques affect the results of field experiments on ethnic discrimination," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 0.
- Verena Dill & Uwe Jirjahn & Georgi Tsertsvadze, 2011.
"Residential Segregation and Immigrants' Satisfaction with the Neighborhood in Germany,"
Research Papers in Economics
2011-08, University of Trier, Department of Economics.
- Verena Dill & Uwe Jirjahn & Georgi Tsertvadze, 2011. "Residential Segregation and Immigrants' Satisfaction with the Neighborhood in Germany," SOEPpapers on Multidisciplinary Panel Data Research 410, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Verena Dill & Uwe Jirjahn & Georgi Tsertsvadze, 2015. "Residential Segregation and Immigrants’ Satisfaction with the Neighborhood in Germany," Social Science Quarterly, Southwestern Social Science Association, vol. 96(2), pages 354-368, June.
- Souleymane Mbaye, 2019. "Trois évaluations d’actions de lutte contre les discriminations," Erudite Ph.D Dissertations, Erudite, number ph19-01 edited by Pascale Petit.
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2011.
"Rental Housing Discrimination and the Persistence of Ethnic Enclaves,"
IZA Discussion Papers
5583, Institute of Labor Economics (IZA).
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2011. "Rental housing discrimination and the persistence of ethnic enclaves," Working Papers. Serie AD 2011-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Mariano Bosch & M. Carnero & Lídia Farré, 2015. "Rental housing discrimination and the persistence of ethnic enclaves," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 129-152, June.
- de la Rica, Sara & Glitz, Albrecht & Ortega, Francesc, 2013.
"Immigration in Europe: Trends, Policies and Empirical Evidence,"
IZA Discussion Papers
7778, Institute of Labor Economics (IZA).
- Sara de la Rica & Albretch Glitz & Francesc Ortega, 2013. "Immigration in Europe: Trends, Policies and Empirical Evidence," Working Papers 2013-16, FEDEA.
- Antoine Bonleu, 2015.
"Procedural Formalism and Social Networks in the Housing Market,"
AMSE Working Papers
1529, Aix-Marseille School of Economics, France.
- Antoine Bonleu, 2014. "Procedural Formalism and Social Networks in the Housing Market," Working Papers halshs-01178230, HAL.
- Antoine Bonleu, 2019. "Procedural Formalism and Social Networks in the Housing Market," Post-Print hal-02080574, HAL.
- Antoine Bonleu, 2019. "Procedural Formalism and Social Networks in the Housing Market," Annals of Economics and Statistics, GENES, issue 133, pages 25-56.
- Davíð Freyr Björnsson & Fredrik Kopsch & Gylfi Zoega, 2018. "Discrimination in the Housing Market as an Impediment to European Labour Force Integration: the Case of Iceland," Journal of International Migration and Integration, Springer, vol. 19(3), pages 829-847, August.
- Fernández-Huertas Moraga, Jesús & Ferrer-i-Carbonell, Ada & Saiz, Albert, 2017.
"Immigrant Locations and Native Residential Preferences: Emerging Ghettos or New Communities?,"
IZA Discussion Papers
11143, Institute of Labor Economics (IZA).
- Fernández-Huertas Moraga, Jesús & Ferrer-i-Carbonell, Ada & Saiz, Albert, 2019. "Immigrant locations and native residential preferences: Emerging ghettos or new communities?," Journal of Urban Economics, Elsevier, vol. 112(C), pages 133-151.
- Sugasawa, Takeru & Harano, Kei, 2023. "A field experiment on discrimination against foreigners in the rental housing market in Japan examining the 23 wards of Tokyo," Journal of the Japanese and International Economies, Elsevier, vol. 69(C).
- Valencia, Christian & Janzen, Sarah & Ghorpade, Yashodhan & Rahman, Amanina Abdur, 2024.
"Soft Skills, Competition, and Hiring Discrimination,"
IZA Discussion Papers
16993, Institute of Labor Economics (IZA).
- Valencia,Christian & Janzen,Sarah Ann & Ghorpade,Yashodhan & Abdur Rahman,Amanina Binti, 2024. "Soft Skills, Competition, and Hiring Discrimination," Policy Research Working Paper Series 10755, The World Bank.
- Nowak, Adam & Sayago-Gomez, Juan, 2018.
"Homeowner preferences after September 11th, a microdata approach,"
Regional Science and Urban Economics, Elsevier, vol. 70(C), pages 330-351.
- Adam Nowak & Juan Sayago-Gomez, 2017. "Homeowner Preferences after September 11th, a Microdata Approach," Working Papers 17-17, Department of Economics, West Virginia University.
- Adam Nowak & Juan Sayago-Gomez, 2017. "Homeowner Preferences after September 11th, a Microdata Approach," Working Papers 17-03, Department of Economics, West Virginia University.
- Carlsson, Magnus & Eriksson, Stefan, 2014. "Discrimination in the rental market for apartments," Journal of Housing Economics, Elsevier, vol. 23(C), pages 41-54.
- Weichselbaumer, Doris & Riess, Hermann, 2024. "Discrimination in the Austrian Rental Housing Market: The Effect of Information Concerning First and Second-Generation Immigrant Status," IZA Discussion Papers 17403, Institute of Labor Economics (IZA).
- Christophe Leclerc & Maarten Vink & Hans Schmeets, 2022. "Citizenship acquisition and spatial stratification: Analysing immigrant residential mobility in the Netherlands," Urban Studies, Urban Studies Journal Limited, vol. 59(7), pages 1406-1423, May.
- Julie Le Gallo & Yannick L'Horty & Loïc du Parquet & Pascale Petit, 2019.
"Discrimination in Access to Housing: A Test on Urban Areas in Metropolitan France,"
Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 513, pages 27-45.
- Julie Le Gallo & Yannick L'Horty & Loic Du Parquet & Pascale Petit, 2020. "Discrimination in Access to Housing: A Test on Urban Areas in Metropolitan France," Post-Print hal-02537864, HAL.
- Ott Toomet, 2011. "Learn English, Not the Local Language! Ethnic Russians in the Baltic States," American Economic Review, American Economic Association, vol. 101(3), pages 526-531, May.
- Mathieu Bunel & Samuel Gorohouna & Yannick L’Horty & Pascale Petit & Catherine Ris, 2019.
"Ethnic Discrimination in the Rental Housing Market: An Experiment in New Caledonia,"
International Regional Science Review, , vol. 42(1), pages 65-97, January.
- Mathieu Bunel & Samuel Gorohouna & Yannick L'Horty & Pascale Petit & Catherine Ris, 2018. "Ethnic discrimination in the rental housing market : an experiment in New Caledonia," Working Papers halshs-01879553, HAL.
- Mathieu Bunel & Samuel Gorohouna & Yannick L’Horty & Pascale Petit & Catherine Ris, 2018. "Ethnic Discrimination in the Rental Housing Market: An Experiment in New Caledonia," TEPP Working Paper 2018-06, TEPP.
- Mathieu Bunel & Samuel Gorohouna & Yannick L'Horty & Pascale Petit & Catherine Ris, 2017. "Ethnic Discrimination in the Rental Housing Market: An Experiment in New Caledonia," Post-Print hal-02458685, HAL.
- Francois Bonnet & Etienne Lalé & Mirna Safi & Etienne Wasmer, 2016.
"Better residential than ethnic discrimination! Reconciling audit and interview findings in the Parisian housing market,"
Urban Studies, Urban Studies Journal Limited, vol. 53(13), pages 2815-2833, October.
- François Bonnet & Etienne Lalé & Mirna Safi & Etienne Wasmer, 2016. "Better residential than ethnic discrimination! : Reconciling audit’s and interview findings in the Parisian housing market," SciencePo Working papers Main hal-01112450, HAL.
- François Bonnet & Etienne Lalé & Mirna Safi & Etienne Wasmer, 2016. "Better residential than ethnic discrimination! : Reconciling audit’s and interview findings in the Parisian housing market," Post-Print hal-01112450, HAL.
- Mathieu Bunel & Yannick L'Horty & Loïc du Parquet & Pascale Petit, 2017.
"Identifying preference-based discrimination in rental market: A field experiment in Paris,"
TEPP Working Paper
2017-06, TEPP.
- Mathieu Bunel & Yannick L'Horty & Loic Du Parquet & Pascale Petit, 2018. "Identifying preference-based discrimination in rental market : a field experiment in Paris," Working Papers halshs-01878869, HAL.
- Mathieu Bunel & Samuel Gorohouna & Yannick L'Horty & Pascale Petit & Catherine Ris, 2016.
"Discriminations ethniques dans l’accès au logement : une expérimentation en Nouvelle-Calédonie,"
TEPP Research Report
2016-08, TEPP.
- Mathieu Bunel & Samuel Gorohouna & Yannick L'Horty & Pascale Petit & Catherine Ris, 2016. "Discriminations Ethniques Dans L’Acces Au Logement: Une Experimentation En Nouvelle-Caledonie," Working Papers halshs-01374442, HAL.
- Hanson, Andrew & Hawley, Zackary, 2014. "Where does racial discrimination occur? An experimental analysis across neighborhood and housing unit characteristics," Regional Science and Urban Economics, Elsevier, vol. 44(C), pages 94-106.
- Abbate, Nicolás & Berniell, Inés & Coleff, Joaquín & Laguinge, Luis & Marchionni, Mariana & Pedrazzi, Julián & Machelett, Margarita & Pinto, María Florencia, 2023.
"Discrimination Against Gay and Transgender People in Latin America: A Correspondence Study in the Rental Housing Market,"
IDB Publications (Working Papers)
12708, Inter-American Development Bank.
- Nicolás Abbate & Inés Berniell & Joaquín Coleff & Luis Laguinge & Margarita Machelett & Mariana Marchionni & Julián Pedrazzi & María Florencia Pinto, 2023. "Discrimination against gay and transgender people in Latin America: a correspondence study in the rental housing market," Working Papers 2315, Banco de España.
- Nicolás Abbate & Inés Berniell & Joaquín Coleff & Luis Laguinge & Margarita Machelett & Mariana Marchionni & Julián Pedrazzi & María Florencia Pinto, 2022. "Discrimination Against Gay and Transgender People in Latin America: A Correspondence Study in the Rental Housing Market," CEDLAS, Working Papers 0306, CEDLAS, Universidad Nacional de La Plata.
- Abbate, Nicolás & Berniell, Inés & Coleff, Joaquín & Laguinge, Luis & Machelett, Margarita & Marchionni, Mariana & Pedrazzi, Julián & Pinto, María Florencia, 2024. "Discrimination against gay and transgender people in Latin America: A correspondence study in the rental housing market," Labour Economics, Elsevier, vol. 87(C).
- Mathieu Bunel & Yannick L'Horty & Loic Du Parquet & Pascale Petit, 2017.
"Les Discriminations Dans L'Acces Au Logement A Paris : Une Experience Controlee,"
Working Papers
halshs-01521995, HAL.
- Mathieu Bunel & Yannick L'Horty & Loïc du Parquet & Pascale Petit, 2017. "Les discriminations dans l’accès au logement à Paris : Une expérience contrôlée," TEPP Research Report 2017-01, TEPP.
- Mathieu Bunel & Pascale Petit & Loïc du Parquet & Yannick l'Horty, 2017. "Les discriminations dans l'accès au logement à Paris : Une expérience contrôlée," Post-Print hal-03387408, HAL.
- Marianne Bertrand & Esther Duflo, 2016. "Field Experiments on Discrimination," NBER Working Papers 22014, National Bureau of Economic Research, Inc.
- Michael Ewens & Bryan Tomlin & Liang Choon Wang, 2012.
"Statistical Discrimination or Prejudice? A Large Sample Field Experiment,"
Monash Economics Working Papers
23-12, Monash University, Department of Economics.
- Michael Ewens & Bryan Tomlin & Liang Choon Wang, "undated". "Statistical Discrimination or Prejudice? A Large Sample Field Experiment," GSIA Working Papers 2012-E37, Carnegie Mellon University, Tepper School of Business.
- Michael Ewens & Bryan Tomlin & Liang Choon Wang, 2014. "Statistical Discrimination or Prejudice? A Large Sample Field Experiment," The Review of Economics and Statistics, MIT Press, vol. 96(1), pages 119-134, March.
- Rodríguez-Planas, Núria, 2018.
"Mortgage Finance and Culture,"
IZA Discussion Papers
11316, Institute of Labor Economics (IZA).
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"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model,"
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Empirical Economics, Springer, vol. 57(5), pages 1495-1514, November.
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"Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data,"
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08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
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"Multivariate Volatility Modeling Of Electricity Futures,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
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Energy Economics, Elsevier, vol. 60(C), pages 79-96.
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"Forecasting electricity prices with expert, linear, and nonlinear models,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
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"Estimation of a dynamic multi-level factor model with possible long-range dependence,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
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"Electricity price forecasting: A review of the state-of-the-art with a look into the future,"
HSC Research Reports
HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
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"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
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"An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation,"
MPRA Paper
51783, University Library of Munich, Germany.
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MPRA Paper
22642, University Library of Munich, Germany.
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"Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships,"
HSC Research Reports
HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
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"Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market,"
Energy Policy, Elsevier, vol. 60(C), pages 81-90.
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"Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling,"
MPRA Paper
39277, University Library of Munich, Germany.
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- Francesco Lisi & Ismail Shah, 2024. "Joint Component Estimation for Electricity Price Forecasting Using Functional Models," Energies, MDPI, vol. 17(14), pages 1-18, July.
- Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
- Petrella, Andrea & Sapio, Alessandro, 2012. "Assessing the impact of forward trading, retail liberalization, and white certificates on the Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 40(C), pages 307-317.
- Balagula, Yuri, 2020. "Forecasting daily spot prices in the Russian electricity market with the ARFIMA model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 89-101.
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"Modelling cycles in climate series: The fractional sinusoidal waveform process,"
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- Zheng Xu, 2016. "An alternative circular smoothing method to nonparametric estimation of periodic functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1649-1672, July.
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"Spurious and hidden volatility,"
DES - Working Papers. Statistics and Econometrics. WS
ws042007, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
- Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
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"Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices,"
Econometric Society 2004 Australasian Meetings
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- M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
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- Sandro Sapio, 2004.
"Market Design, Bidding Rules, and Long Memory in Electricity Prices,"
LEM Papers Series
2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sandro Sapio, 2004. "Markets Design, Bidding Rules, and Long Memory in Electricity Prices," Revue d'Économie Industrielle, Programme National Persée, vol. 107(1), pages 151-170.
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"Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models,"
Tinbergen Institute Discussion Papers
04-135/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
- Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
- Niels Haldrup & Morten O. Nielsen, 2004.
"A Regime Switching Long Memory Model for Electricity Prices,"
Economics Working Papers
2004-2, Department of Economics and Business Economics, Aarhus University.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
- Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010.
"Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options,"
"Marco Fanno" Working Papers
0123, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
- Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
- Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
- Taylor, James W. & de Menezes, Lilian M. & McSharry, Patrick E., 2006. "A comparison of univariate methods for forecasting electricity demand up to a day ahead," International Journal of Forecasting, Elsevier, vol. 22(1), pages 1-16.
- Haldrup Niels & Nielsen Morten Ø., 2006.
"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
- Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, Department of Economics and Business Economics, Aarhus University.
- S. Vijayalakshmi & G. P. Girish, 2015. "Artificial Neural Networks for Spot Electricity Price Forecasting: A Review," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1092-1097.
- Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
- Hipòlit Torró, 2007.
"Forecasting Weekly Electricity Prices at Nord Pool,"
Working Papers
2007.88, Fondazione Eni Enrico Mattei.
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- Kosater, Peter, 2006. "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics 1/06, University of Cologne, Institute of Econometrics and Statistics.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook0601, December.
- Kosater, Peter & Mosler, Karl, 2006.
"Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices,"
Applied Energy, Elsevier, vol. 83(9), pages 943-958, September.
- Kosater, Peter & Mosler, Karl, 2005. "Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices," Discussion Papers in Econometrics and Statistics 1/05, University of Cologne, Institute of Econometrics and Statistics.
- Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
- Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
- E. Ruiz & M.A. Carnero & D. Pereira, 2004.
"Effects of Level Outliers on the Identification and Estimation of GARCH Models,"
Econometric Society 2004 Australasian Meetings
21, Econometric Society.
Cited by:
- Veiga, Helena, 2006.
"Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH,"
DES - Working Papers. Statistics and Econometrics. WS
ws066016, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
- Veiga, Helena, 2006.
"Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH,"
DES - Working Papers. Statistics and Econometrics. WS
ws066016, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, María Ángeles, 2003.
"Detecting level shifts in the presence of conditional heteroscedasticity,"
DES - Working Papers. Statistics and Econometrics. WS
ws036313, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD 2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- Galeano, Pedro, 2007.
"The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
- Galeano, Pedro, 2004. "Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process," DES - Working Papers. Statistics and Econometrics. WS ws046816, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Galeano, Pedro & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, María Ángeles, 2001.
"Outliers and conditional autoregressive heteroscedasticity in time series,"
DES - Working Papers. Statistics and Econometrics. WS
ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Cited by:
- Amélie Charles & Olivier Darné, 2019.
"Volatility estimation for Bitcoin: Replication and robustness,"
International Economics, CEPII research center, issue 157, pages 23-32.
- Olivier Darné & Amélie Charles, 2019. "Volatility estimation for Bitcoin: Replication and robustness," Post-Print hal-01941102, HAL.
- Charles, Amélie & Darné, Olivier, 2019. "Volatility estimation for Bitcoin: Replication and robustness," International Economics, Elsevier, vol. 157(C), pages 23-32.
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015.
"The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices,"
Energy: Resources and Markets
208768, Fondazione Eni Enrico Mattei (FEEM).
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
- Niaz Bashiri Behmiri & Matteo Manera, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers 2015.77, Fondazione Eni Enrico Mattei.
- Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014.
"Does the Great Recession imply the end of the Great Moderation? International evidence,"
Working Papers
hal-04141344, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-00952951, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does the Great Recession imply the end of the Great Moderation? International evidence," Post-Print hal-01757081, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris Nanterre, EconomiX.
- Charles, Amélie & Darné, Olivier, 2014.
"Volatility persistence in crude oil markets,"
Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020.
"Wind Generation and the Dynamics of Electricity Prices in Australia,"
Research Paper Series
416, Quantitative Finance Research Centre, University of Technology, Sydney.
- Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021. "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, vol. 103(C).
- Olivier Darné & Amélie Charles, 2011.
"Large shocks in U.S. macroeconomic time series: 1860-1988,"
Post-Print
hal-00771828, HAL.
- Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
- Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502, HAL.
- Amélie Charles & Olivier Darné, 0.
"Econometric history of the growth–volatility relationship in the USA: 1919–2017,"
Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 0, pages 1-24.
- Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 15(2), pages 419-442, May.
- Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 15(2), pages 419-442, May.
- Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Post-Print hal-03186891, HAL.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004.
"Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity,"
Working Papers. Serie AD
2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Charles, Amélie & Darné, Olivier, 2014.
"Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013,"
Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
- Charles, Amélie & Darné, Olivier & Pop, Adrian, 2015.
"Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes,"
Research in International Business and Finance, Elsevier, vol. 35(C), pages 33-56.
- Amélie Charles & Olivier Darné & Adrian Pop, 2015. "Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes," Post-Print hal-01153899, HAL.
- Amélie Charles & Olivier Darné, 2017.
"Forecasting crude-oil market volatility: Further evidence with jumps,"
Post-Print
hal-01598141, HAL.
- Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
- Yaqoob, Tanzeela & Maqsood, Arfa, 2024. "The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources," Resources Policy, Elsevier, vol. 89(C).
- Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.
- Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
- Amélie Charles & Olivier Darné, 2019.
"Volatility estimation for Bitcoin: Replication and robustness,"
International Economics, CEPII research center, issue 157, pages 23-32.
- Carnero, María Ángeles, 2001.
"Is stochastic volatility more flexible than garch?,"
DES - Working Papers. Statistics and Econometrics. WS
ws010805, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Cited by:
- Michel Beine & Charles Bos & Sébastien Laurent, 2007.
"The impact of Central Bank FX interventions on currency components,"
ULB Institutional Repository
2013/10419, ULB -- Universite Libre de Bruxelles.
- Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute.
- BEINE, Michel & BOS, Charles S. & LAURENT, Sébastien, 2006. "The impact of Central Bank FX interventions on currency components," LIDAM Reprints CORE 1980, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
- Pérez, Ana, 2001. "Properties of the sample autocorrelations in autoregressive stochastic volatllity models," DES - Working Papers. Statistics and Econometrics. WS ws011208, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen, 2002.
"Estimation methods for stochastic volatility models: a survey,"
DES - Working Papers. Statistics and Econometrics. WS
ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Rodríguez, Julio, 2003. "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS ws036716, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Michel Beine & Charles Bos & Sébastien Laurent, 2007.
"The impact of Central Bank FX interventions on currency components,"
ULB Institutional Repository
2013/10419, ULB -- Universite Libre de Bruxelles.
Articles
- Carnero, M. Angeles & Pérez, Ana, 2019.
"Leverage effect in energy futures revisited,"
Energy Economics, Elsevier, vol. 82(C), pages 237-252.
Cited by:
- Yingying Xu & Donald Lien, 2022. "Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 259-278, March.
- Xie, Qichang & Bai, Yu & Jia, Nanfei & Xu, Xin, 2024. "Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods," Energy Economics, Elsevier, vol. 134(C).
- Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).
- Pan, Qunxing & Sun, Yujia, 2023. "Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 58(PB).
- Jiqian Wang & Feng Ma & M.I.M. Wahab & Dengshi Huang, 2021. "Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 921-941, August.
- Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
- M. Angeles Carnero & Jose Olmo & Lorenzo Pascual, 2018.
"Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS,"
Energies, MDPI, vol. 11(11), pages 1-23, November.
Cited by:
- Vlad-Cosmin Bulai & Alexandra Horobet & Oana Cristina Popovici & Lucian Belascu & Sofia Adriana Dumitrescu, 2021. "A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors," Energies, MDPI, vol. 14(24), pages 1-21, December.
- Ye, Yingjin & Lin, Boqiang & Que, DingFei & Cai, Sijie & Wang, Chonghao, 2024. "COVID-19, the Russian-Ukrainian conflict and the extreme spillovers between fossil energy, electricity, and carbon markets," Energy, Elsevier, vol. 311(C).
- Joao Leitao & Joaquim Ferreira & Ernesto Santibanez‐Gonzalez, 2021. "Green bonds, sustainable development and environmental policy in the European Union carbon market," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 2077-2090, May.
- Qiao, Sen & Dang, Yi Jing & Ren, Zheng Yu & Zhang, Kai Quan, 2023. "The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method," Energy, Elsevier, vol. 266(C).
- Xing Zhang & Chongchong Zhang & Zhuoqun Wei, 2019. "Carbon Price Forecasting Based on Multi-Resolution Singular Value Decomposition and Extreme Learning Machine Optimized by the Moth–Flame Optimization Algorithm Considering Energy and Economic Factors," Energies, MDPI, vol. 12(22), pages 1-23, November.
- Nader Trabelsi & Aviral Kumar Tiwari, 2023. "CO2 Emission Allowances Risk Prediction with GAS and GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 775-805, February.
- Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020.
"From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS,"
EconStor Preprints
225210, ZBW - Leibniz Information Centre for Economics.
- Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 196150, ZBW - Leibniz Information Centre for Economics, revised 2020.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
See citations under working paper version above.
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mariano Bosch & M. Carnero & Lídia Farré, 2015.
"Rental housing discrimination and the persistence of ethnic enclaves,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 129-152, June.
See citations under working paper version above.
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2011. "Rental Housing Discrimination and the Persistence of Ethnic Enclaves," IZA Discussion Papers 5583, Institute of Labor Economics (IZA).
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2011. "Rental housing discrimination and the persistence of ethnic enclaves," Working Papers. Serie AD 2011-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Eratalay M. Hakan, 2014.
"Estimating VAR-MGARCH models in multiple steps,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 339-365, May.
See citations under working paper version above.
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012.
"Estimating GARCH volatility in the presence of outliers,"
Economics Letters, Elsevier, vol. 114(1), pages 86-90.
Cited by:
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Patrick F. Patrocinio & Valderio A. Reisen & Pascal Bondon & Edson Z. Monte & Ian M. Danilevicz, 2024. "M-Quantile Estimation for GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2175-2192, June.
- Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
- Yingying Xu & Donald Lien, 2022. "Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 259-278, March.
- Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015.
"The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices,"
Energy: Resources and Markets
208768, Fondazione Eni Enrico Mattei (FEEM).
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
- Niaz Bashiri Behmiri & Matteo Manera, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers 2015.77, Fondazione Eni Enrico Mattei.
- Charles, Amélie & Darné, Olivier, 2014.
"Volatility persistence in crude oil markets,"
Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- Anupam Dutta & Elie Bouri, 2022. "Outliers and Time-Varying Jumps in the Cryptocurrency Markets," JRFM, MDPI, vol. 15(3), pages 1-7, March.
- Carlos Trucíos & James W. Taylor, 2023. "A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 989-1007, July.
- Charles, Amélie & Darné, Olivier, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, Elsevier, vol. 157(C), pages 179-202.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
- Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018.
"On the robustness of the principal volatility components,"
Textos para discussão
474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2014.
"Forecasting growth during the Great Recession: is financial volatility the missing ingredient?,"
Post-Print
hal-01385941, HAL.
- Ferrara, L. & Marsilli, C. & Ortega, J-P., 2013. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Working papers 454, Banque de France.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," Working Papers hal-04141198, HAL.
- Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Economic Modelling, Elsevier, vol. 36(C), pages 44-50.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," EconomiX Working Papers 2013-19, University of Paris Nanterre, EconomiX.
- Carnero M. Angeles & Pérez Ana, 2021.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
- Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Charles, Amélie & Darné, Olivier, 2014.
"Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013,"
Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Charles, Amélie & Darné, Olivier & Pop, Adrian, 2015.
"Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes,"
Research in International Business and Finance, Elsevier, vol. 35(C), pages 33-56.
- Amélie Charles & Olivier Darné & Adrian Pop, 2015. "Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes," Post-Print hal-01153899, HAL.
- Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
- Amélie Charles & Olivier Darné, 2017.
"Forecasting crude-oil market volatility: Further evidence with jumps,"
Post-Print
hal-01598141, HAL.
- Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
- Cioroianu, Iulia & Corbet, Shaen & Larkin, Charles, 2021. "Guilt through association: Reputational contagion and the Boeing 737-MAX disasters," Economics Letters, Elsevier, vol. 198(C).
- Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2023. "S&P 500 volatility, volatility regimes, and economic uncertainty," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1362-1387, October.
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- Huang Zibin & Ibragimov Rustam, 2022. "Equity returns and sentiment," Dependence Modeling, De Gruyter, vol. 10(1), pages 159-176, January.
- Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
- Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
- Liu, Min & Taylor, James W. & Choo, Wei-Chong, 2020. "Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing," Economic Modelling, Elsevier, vol. 93(C), pages 651-659.
- Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
- Trucíos, Carlos & Hotta, Luiz K., 2016. "Bootstrap prediction in univariate volatility models with leverage effect," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 120(C), pages 91-103.
- Abdeljalil Settar & Nadia Idrissi Fatmi & Mohammed Badaoui, 2021. "New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(1), pages 55-74, March.
- Wang, Weichen & An, Ran & Zhu, Ziwei, 2024. "Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective," Journal of Econometrics, Elsevier, vol. 239(2).
- Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.
- M. Angeles Carnero & Blanca Martínez & Rocı´o Sa´nchez‐Mangas, 2012.
"Mobbing and workers’ health: empirical analysis for Spain,"
International Journal of Manpower, Emerald Group Publishing Limited, vol. 33(3), pages 322-339, June.
See citations under working paper version above.
- M. Angeles Carnero Fernández & Blanca Martínez & Rocío Sánchez Mangas, 2010. "Mobbing and workers' health: an empirical analysis for Spain," Working Papers. Serie AD 2010-30, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bosch, Mariano & Carnero, M. Angeles & Farré, Lídia, 2010.
"Information and discrimination in the rental housing market: Evidence from a field experiment,"
Regional Science and Urban Economics, Elsevier, vol. 40(1), pages 11-19, January.
See citations under working paper version above.
- M. Angeles Carnero Fernández & Lídia Farré Olalla & Mariano Bosch, 2009. "Information and discrimination in the rental housing market: evidence from a field experiment," Working Papers. Serie AD 2009-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Angeles Carnero & Blanca Martinez & Rocio Sanchez-Mangas, 2010.
"Mobbing and its determinants: the case of Spain,"
Applied Economics, Taylor & Francis Journals, vol. 42(29), pages 3777-3787.
Cited by:
- M. Angeles Carnero & Blanca Martínez & Rocı´o Sa´nchez‐Mangas, 2012.
"Mobbing and workers’ health: empirical analysis for Spain,"
International Journal of Manpower, Emerald Group Publishing Limited, vol. 33(3), pages 322-339, June.
- M. Angeles Carnero Fernández & Blanca Martínez & Rocío Sánchez Mangas, 2010. "Mobbing and workers' health: an empirical analysis for Spain," Working Papers. Serie AD 2010-30, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Asghar Afshar Jahanshahi & Bakr Al‐Gamrh, 2024. "Beyond external pressures: How work conditions harm employees' social and environmental responsibilities," Business Strategy and the Environment, Wiley Blackwell, vol. 33(5), pages 4292-4309, July.
- M. Angeles Carnero & Blanca Martínez & Rocı´o Sa´nchez‐Mangas, 2012.
"Mobbing and workers’ health: empirical analysis for Spain,"
International Journal of Manpower, Emerald Group Publishing Limited, vol. 33(3), pages 322-339, June.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
See citations under working paper version above.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007.
"Effects of outliers on the identification and estimation of GARCH models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
Cited by:
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
- Amélie Charles & Olivier Darné, 2019.
"Volatility estimation for Bitcoin: Replication and robustness,"
International Economics, CEPII research center, issue 157, pages 23-32.
- Olivier Darné & Amélie Charles, 2019. "Volatility estimation for Bitcoin: Replication and robustness," Post-Print hal-01941102, HAL.
- Charles, Amélie & Darné, Olivier, 2019. "Volatility estimation for Bitcoin: Replication and robustness," International Economics, Elsevier, vol. 157(C), pages 23-32.
- Doornik, Jurgen A. & Ooms, Marius, 2008.
"Multimodality in GARCH regression models,"
International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
- Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015.
"The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices,"
Energy: Resources and Markets
208768, Fondazione Eni Enrico Mattei (FEEM).
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
- Niaz Bashiri Behmiri & Matteo Manera, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers 2015.77, Fondazione Eni Enrico Mattei.
- Laurent, Sébastien & Lecourt, Christelle & Palm, Franz C., 2016.
"Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 383-400.
- Sébastien Laurent & Christelle Lecourt & Franz C. Palm, 2016. "Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach," Post-Print hal-01447861, HAL.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013.
"Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown,"
MPRA Paper
49344, University Library of Munich, Germany.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
- Escribano, Alvaro & Sucarrat, Genaro, 2016.
"Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility,"
MPRA Paper
72736, University Library of Munich, Germany.
- Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014.
"Does the Great Recession imply the end of the Great Moderation? International evidence,"
Working Papers
hal-04141344, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-00952951, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does the Great Recession imply the end of the Great Moderation? International evidence," Post-Print hal-01757081, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris Nanterre, EconomiX.
- Charles, Amélie & Darné, Olivier, 2014.
"Volatility persistence in crude oil markets,"
Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- Lisa Crosato & Luigi Grossi, 2019. "Correcting outliers in GARCH models: a weighted forward approach," Statistical Papers, Springer, vol. 60(6), pages 1939-1970, December.
- Broto, Carmen, 2013.
"The effectiveness of forex interventions in four Latin American countries,"
Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
- Carmen Broto, 2012. "The effectiveness of forex interventions in four Latin American countries," Working Papers 1226, Banco de España.
- Charles, Amélie & Darné, Olivier, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, Elsevier, vol. 157(C), pages 179-202.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
- Broto, Carmen, 2011.
"Inflation targeting in Latin America: Empirical analysis using GARCH models,"
Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
- Carmen Broto, 2008. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Working Papers 0826, Banco de España.
- Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
- Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
- Rezitis Anthony N & Stavropoulos Konstantinos S, 2011. "Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-37, July.
- Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, vol. 114(1), pages 86-90.
- Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
- Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
DES - Working Papers. Statistics and Econometrics. WS
ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
- Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Veiga, Helena, 2006.
"Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH,"
DES - Working Papers. Statistics and Econometrics. WS
ws066016, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
- Francisco Javier Duque-Pintor & Manuel Jesús Fernández-Gómez & Alicia Troncoso & Francisco Martínez-Álvarez, 2016. "A New Methodology Based on Imbalanced Classification for Predicting Outliers in Electricity Demand Time Series," Energies, MDPI, vol. 9(9), pages 1-10, September.
- Charles, Amélie & Darné, Olivier, 2014.
"Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013,"
Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.
- Charles, Amélie & Darné, Olivier & Pop, Adrian, 2015.
"Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes,"
Research in International Business and Finance, Elsevier, vol. 35(C), pages 33-56.
- Amélie Charles & Olivier Darné & Adrian Pop, 2015. "Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes," Post-Print hal-01153899, HAL.
- Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024.
"Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis,"
Working Papers
202437, University of Pretoria, Department of Economics.
- V. Candila & O. Cepni & G. M. Gallo & R. Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis," Working Paper CRENoS 202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Amélie Charles & Olivier Darné, 2017.
"Forecasting crude-oil market volatility: Further evidence with jumps,"
Post-Print
hal-01598141, HAL.
- Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
- Hans DEWACHTER & Deniz ERDEMLIOGLU & Jean-Yves GNABO & Christelle LECOURT, 2013.
"The intra-day impact of communication on euro-dollar volatility and jumps,"
Working Papers of Department of Economics, Leuven
ces13.04, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- Melike Bildirici & Nilgun Guler Bayazit & Yasemen Ucan, 2020. "Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM," Energies, MDPI, vol. 13(11), pages 1-18, June.
- Spierdijk, Laura, 2016. "Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 545-559.
- Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
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- Veiga, Helena, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016. "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, vol. 35(C), pages 24-40.
- Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 301-330, March.
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- Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
- Guanghui Cai & Zhimin Wu & Lei Peng, 2021. "Forecasting volatility with outliers in Realized GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 667-685, July.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
- M. Angeles Carnero, 2004.
"Persistence and Kurtosis in GARCH and Stochastic Volatility Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 319-342.
Cited by:
- Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2024. "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1775-1801, September.
- Didit Budi Nugroho & Takayuki Morimoto, 2019. "Incorporating Realized Quarticity into a Realized Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 495-528, December.
- Barnett, William A. & Jawadi, Fredj & Ftiti, Zied, 2020.
"Causal Relationships between Inflation and Inflation Uncertainty,"
MPRA Paper
101682, University Library of Munich, Germany.
- William A. Barnett & Fredj Jawadi & Zied Ftiti, 2020. "Causal Relationships Between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202010, University of Kansas, Department of Economics, revised Jul 2020.
- Barnett, William & Ftiti, Zied & Jawadi, Fredj, 2018. "The Causal Relationships between Inflation and Inflation Uncertainty," MPRA Paper 86478, University Library of Munich, Germany.
- Barnett William A. & Jawadi Fredj & Ftiti Zied, 2020. "Causal relationships between inflation and inflation uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-26, December.
- William A. Barnett & Zied Ftiti & Fredj Jawadi, 2018. "The Causal Relationships between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201803, University of Kansas, Department of Economics, revised Mar 2018.
- PREMINGER, Arie & HAFNER, Christian, 2006.
"Deciding between GARCH and stochastic volatility via strong decision rules,"
LIDAM Discussion Papers CORE
2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
- Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models,"
Working Papers
2023:7, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
- David E. Allen & Michael McAleer & Marcel Scharth, 2009.
"Realized Volatility Risk,"
CARF F-Series
CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Di Zhang & Qiang Niu & Youzhou Zhou, 2022. "Modeling Randomly Walking Volatility with Chained Gamma Distributions," Papers 2207.01151, arXiv.org, revised Oct 2022.
- Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
- Claudio Giovanni Borroni & Lucio De Capitani, 2022. "Some measures of kurtosis and their inference on large datasets," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(4), pages 573-607, December.
- Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010. "Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2883-2898, December.
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- Siem Jan Koopman & André Lucas & Marcel Scharth, 2016.
"Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models,"
The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
- Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
- Restrepo E., María Isabel, 2012. "Estimating Portfolio Value at Risk with GARCH and MGARCH models," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 77-92, July.
- M. Pilar Muñoz & M. Dolores Marquez & Lesly M. Acosta, 2007. "Forecasting volatility by means of threshold models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 343-363.
- Isabel Casas & Helena Veiga, 2021.
"Exploring Option Pricing and Hedging via Volatility Asymmetry,"
Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
- Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Michael McAleer & Marcelo Medeiros, 2008.
"Realized Volatility: A Review,"
Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
- Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
- Carlos A. Abanto‐Valle & Roland Langrock & Ming‐Hui Chen & Michel V. Cardoso, 2017. "Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(4), pages 394-408, August.
- Belaire-Franch, Jorge, 2020. "The finite sample behavior of the 0–1 test for chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
- Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
- Geoffrey M. Ngene & Parker Benefield & Allen K. Lynch, 2018. "Asymmetric and nonlinear dynamics in sovereign credit risk markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 563-585, May.
- Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"Modelling and Forecasting Noisy Realized Volatility,"
KIER Working Papers
758, Kyoto University, Institute of Economic Research.
- Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
- Dufrénot, Gilles & Keddad, Benjamin, 2014.
"Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data,"
International Review of Financial Analysis, Elsevier, vol. 33(C), pages 17-32.
- Gilles Dufrénot & Benjamin Keddad, 2014. "Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data," Post-Print hal-01474429, HAL.
- Moura, Guilherme V. & Santos, André A. P., 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022.
"Extensions to IVX Methods of Inference for Return Predictability,"
Essex Finance Centre Working Papers
29779, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2021. "Extensions to IVX methods of inference for return predictability," Working Papers w202104, Banco de Portugal, Economics and Research Department.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Extensions to IVX methods of inference for return predictability," Journal of Econometrics, Elsevier, vol. 237(2).
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- Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007.
"An objective function for simulation based inference on exchange rate data,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 125-145, December.
- Manfred Gilli & Peter Winker & Vahidin Jeleskovic, 2006. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Computing in Economics and Finance 2006 147, Society for Computational Economics.
- Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Swiss Finance Institute Research Paper Series 07-01, Swiss Finance Institute.
- Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
- Michael McAleer & Marcelo Cunha Medeiros, 2010.
"Forecasting Realized Volatility with Linear and Nonlinear Models,"
Textos para discussão
568, Department of Economics PUC-Rio (Brazil).
- McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
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