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SpringerLink电子期刊(31)

在“SpringerLink电子期刊”中，命中：31条，耗时：0.0289859 秒

在所有数据库中总计命中：237条

1. Volatility spillover effects in interbank money markets

作者： Pedro Pires Ribeiro ; José Dias Curto

关键词：Interbank money markets ; Contagion ; Spillover index ; Multivariate GARCH models

刊名：Review of World Economics

出版年：2017

2. Fourier-type estimation of the power GARCH model with stable-Paretian innovations

作者： Christian Francq ; Simos G. Meintanis

关键词：GARCH model ; Minimum distance estimation ; Heavy ; tailed distribution ; Empirical characteristic function

刊名：Metrika

出版年：2016

3. The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets

作者： Mehmet Fatih Öztek ; Nadir Öcal

关键词：Multivariate GARCH ; Smooth transition conditional correlation ; Stock markets integration ; International portfolio diversification ; C32 ; C58 ; F36 ; G15

刊名：Empirical Economics

出版年：2016

4. A large deviations approach to limit theory for heavy-tailed time series

作者： Thomas Mikosch ; Olivier Wintenberger

关键词：Large deviation principle ; Regularly varying processes ; Central limit theorem ; Ruin probabilities ; GARCH

刊名：Probability Theory and Related Fields

出版年：2016

5. Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models

作者： Ezekiel NN Nortey ; Delali D Ngoh ; Kwabena Doku-Amponsah…

关键词：DCC ; BEKK ; GARCH ; Ghana ; Volatility ; Inflation ; Exchange ; Interest rates

刊名：SpringerPlus

出版年：2015

6. Capital market response to emission allowance prices: a multivariate GARCH approach

作者： Frank Venmans

关键词：EU ETS ; Windfall profits ; Competitiveness ; Multivariate GARCH

刊名：Environmental Economics and Policy Studies

出版年：2015

7. A multivariate analysis of United States and global real estate investment trusts

作者： Kyriaki Begiazi ; Dimitrios Asteriou…

刊名：International Economics and Economic Policy

出版年：2016

8. Joint extremal behavior of hidden and observable time series with applications to GARCH processes

作者： Andree Ehlert ; Ulf-Rainer Fiebig ; Anja Jan?en ; Martin Schlather

关键词：ARCH processes ; (asymmetric) GARCH processes ; Extremal index ; Joint extremal behavior ; Multivariate regular variation ; Tail chain ; Time series ; Primary-0G70 ; Secondary-0J05 ; 60J22 ; 91G60

刊名：Extremes

出版年：2015

9. The response of state employment to oil price volatility

作者： Wei Kang ; David Penn ; Joachim Zietz

关键词：State employment ; Oil price volatility ; GARCH ; Unobserved component model ; JEL Classification ; R23 ; Q43

刊名：Journal of Economics and Finance

出版年：2015

10. Volatility and Dependence for Systemic Risk Measurement of the International Financial System

关键词：Vine copulas ; Component expected shortfall ; GARCH ; G7

刊名：Lecture Notes in Computer Science

出版年：2015

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