المؤلفون: Stephen M. Miller, ChunShen Lee, WenShwo Fang

المصدر: Scottish Journal of Political Economy. 55:509-541

مصطلحات موضوعية: Economics and Econometrics, Sociology and Political Science, Great Moderation, Autoregressive conditional heteroskedasticity, Structural break, jel:E32, jel:C32, Variance (accounting), Standard deviation, jel:O40, Real gross domestic product, Econometrics, Economics, Nonstationary variance, the Great Moderation, real GDP growth and volatility, modified ICSS algorithm, IGARCH effect, Volatility (finance), Spurious relationship

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b69c2fadd01de72a4fe4da1fd6cf588e
https://doi.org/10.1111/j.1467-9485.2008.00464.x

المؤلفون: BELLINI, FABIO, Bottolo, L.

المساهمون: Bellini, F, Bottolo, L

مصطلحات موضوعية: Innovation distribution, IGarch effect, Monte Carlo simulations, weak and strong stationarity, volatility forecasting

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000260571100003; volume:38; issue:1; firstpage:31; lastpage:45; journal:COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION; http://hdl.handle.net/10281/6252; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-55449099617

الاتاحة: http://hdl.handle.net/10281/6252
https://doi.org/10.1080/03610910802395653

المؤلفون: Fang, WenShwo, Miller, Stephen M.

المصدر: Economics Working Papers

مصطلحات موضوعية: Japan, real GDP growth, the Great Moderation, outlier, structural changes, IGARCH effect, Economics

وصف الملف: application/pdf

Relation: https://digitalcommons.lib.uconn.edu/econ_wpapers/200847; https://digitalcommons.lib.uconn.edu/context/econ_wpapers/article/1386/viewcontent/2008_47.pdf

الاتاحة: https://digitalcommons.lib.uconn.edu/econ_wpapers/200847
https://digitalcommons.lib.uconn.edu/context/econ_wpapers/article/1386/viewcontent/2008_47.pdf

المؤلفون: Fang, WenShwo, Miller, Stephen M., Lee, ChunShen

المصدر: Economics Working Papers

مصطلحات موضوعية: Nonstationary variance, the Great Moderation, real GDP growth and volatility, modified ICSS algorithm, IGARCH effect, Economics

وصف الملف: application/pdf

Relation: https://digitalcommons.lib.uconn.edu/econ_wpapers/200720; https://digitalcommons.lib.uconn.edu/context/econ_wpapers/article/1112/viewcontent/2007_20.pdf

الاتاحة: https://digitalcommons.lib.uconn.edu/econ_wpapers/200720
https://digitalcommons.lib.uconn.edu/context/econ_wpapers/article/1112/viewcontent/2007_20.pdf

المؤلفون: WenShwo Fang, Stephen M. Miller

مصطلحات موضوعية: Economics and Econometrics, Stochastic volatility, Great Moderation, Autoregressive conditional heteroskedasticity, jel:E32, Japan, real GDP growth, the Great Moderation, outlier, structural changes, IGARCH effect, jel:C32, Implied volatility, jel:O40, Real gross domestic product, Political Science and International Relations, Econometrics, Forward volatility, Volatility smile, Economics, Volatility (finance), Finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2cbcc732da19ab211dc7fb498c066bb7
http://web.unlv.edu/projects/RePEc/pdf/0904.pdf

المؤلفون: Stefano HERZEL, Catalin STARICA, Thomas NORD

مصطلحات موضوعية: stock returns, volatility forecasting, GARCH(1,1), IGARCH effect, option hedging, jel:C32, jel:C16, jel:C14

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od_______645::a14c944c852926a158ec89e2469a0ea5
http://www.ec.unipg.it/DEFS/uploads/quaderno34web_001.pdf

المؤلفون: Catalin Starica, Stefano Herzel, Tomas Nord

مصطلحات موضوعية: jel:C32, stock returns, volatility forecasting, GARCH(1,1), IGARCH effect, hedging, non-stationary, longer horizon forecasting, jel:C14

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od_______645::8a8d77bfc35948845300b6d36003272f
http://econwpa.repec.org/eps/em/papers/0508/0508003.pdf

المؤلفون: BELLINI, FABIO, Bottolo, L.

المساهمون: Bellini, F, Bottolo, L

مصطلحات موضوعية: Innovation distribution, IGARCH effect, Monte Carlo simulation, Weak and strong stationarity, volatility forecasting

Relation: http://hdl.handle.net/10281/3162

الاتاحة: http://hdl.handle.net/10281/3162

المؤلفون: Bellini, F, Bottolo, L, BELLINI, FABIO, Bottolo, L.

مصطلحات الفهرس: Innovation distribution, IGarch effect, Monte Carlo simulations, weak and strong stationarity, volatility forecasting, info:eu-repo/semantics/article

URL: http://hdl.handle.net/10281/6252
info:eu-repo/semantics/altIdentifier/wos/WOS:000260571100003
volume:38
issue:1
firstpage:31
lastpage:45
journal:COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION