IDEAS home Printed from https://ideas.repec.org/e/c/pca153.html
   My authors  Follow this author

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)
  1. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.

    Mentioned in:

    1. Leverage effect in energy futures revisited (Energy Economics 2019) in ReplicationWiki ()

Working papers

  1. Carnero Fernández, María Ángeles & Pérez, Ana & Ruiz Ortega, Esther, 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 Estadística.

    Cited by:

    1. Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
    2. 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).
    3. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    4. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
    5. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.

  2. 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).

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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).
    5. 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.
    6. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    7. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    8. Li, Jie & Smallwood, Aaron D., 2025. "The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers," Global Finance Journal, Elsevier, vol. 65(C).
    9. 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).
    10. 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.
    11. Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.
    12. 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).
    13. 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.

  3. 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).

    Cited by:

    1. 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).
    2. 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.
    3. 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.
    4. Sara de la Rica & Albretch Glitz & Francesc Ortega, 2013. "Immigration in Europe: Trends, Policies and Empirical Evidence," Working Papers 2013-16, FEDEA.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.

  4. 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).

    Cited by:

    1. Eve Caroli & Andrea Bassanini, 2017. "Is work bad for health? The role of constraint vs choice," Working Papers hal-01511562, HAL.
    2. 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.

  5. 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).

    Cited by:

    1. Núria Rodríguez‐Planas, 2018. "Mortgage finance and culture," Journal of Regional Science, Wiley Blackwell, vol. 58(4), pages 786-821, September.
    2. Raffaele Grotti & Helen Russell & Bertrand Maître & Davide Gritti, 2024. "The Experience of Housing Discrimination and Housing Deprivation Across Social Groups in Ireland," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 175(1), pages 195-215, October.
    3. 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).
    4. 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.
    5. Baldini, Massimo & Federici, Marta, 2011. "Ethnic discrimination in the Italian rental housing market," Journal of Housing Economics, Elsevier, vol. 20(1), pages 1-14, March.
    6. 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.
    7. Souleymane Mbaye, 2019. "Trois évaluations d’actions de lutte contre les discriminations," Erudite Ph.D Dissertations, Erudite, number ph19-01 edited by Pascale Petit, December.
    8. 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.
    9. 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.
    10. Lepinteur, Anthony & Menta, Giorgia & Waltl, Sofie R., 2025. "Equal price for equal place? Demand-driven racial discrimination in the housing market," Regional Science and Urban Economics, Elsevier, vol. 111(C).
    11. Filip Matejka, 2013. "Attention Discrimination: Theory and Field Experiments," 2013 Meeting Papers 798, Society for Economic Dynamics.
    12. 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.
    13. Antoine Bonleu, 2015. "Procedural Formalism and Social Networks in the Housing Market," AMSE Working Papers 1529, Aix-Marseille School of Economics, France.
    14. 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).
    15. 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.
    16. Ildefonso Mendez & Isabel Cutillas, 2014. "Has immigration affected Spanish presidential elections results?," Journal of Population Economics, Springer;European Society for Population Economics, vol. 27(1), pages 135-171, January.
    17. 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.
    18. Nicodemo, Catia & Raya, Josep M., 2018. "Does Juan Carlos or Nelson Obtain a Larger Price Cut in the Spanish Housing Market?," IZA Discussion Papers 11811, Institute of Labor Economics (IZA).
    19. Nunley John M. & Pugh Adam & Romero Nicholas & Seals R. Alan, 2015. "Racial Discrimination in the Labor Market for Recent College Graduates: Evidence from a Field Experiment," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 15(3), pages 1093-1125, July.
    20. 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.
    21. Lisa Andersson & Niklas Jakobsson & Andreas Kotsadam, 2012. "A Field Experiment of Discrimination in the Norwegian Housing Market: Gender, Class, and Ethnicity," Land Economics, University of Wisconsin Press, vol. 88(2), pages 233-240.
    22. Sylvain Chareyron & Yannick L'Horty & Pascale Petit & Souleymane Mbaye, 2019. "Mesurer l’impact d’un courrier d’alerte sur les discriminations liées à l’origine," TEPP Research Report 2019-05, TEPP.
    23. Sara de la Rica & Albretch Glitz & Francesc Ortega, 2013. "Immigration in Europe: Trends, Policies and Empirical Evidence," Working Papers 2013-16, FEDEA.
    24. Philippe Askenazy & Verónica Escudero, 2022. "Dimension géographique des inégalités d’accès à l’emploi," Post-Print halshs-03801734, HAL.
    25. 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.
    26. 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).
    27. 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.
    28. Luca Fumarco, 2017. "Disability Discrimination in the Italian Rental Housing Market: A Field Experiment with Blind Tenants," Land Economics, University of Wisconsin Press, vol. 93(4), pages 567-584.
    29. Carlos Gomez-Gonzalez & Cornel Nesseler & Helmut M. Dietl, 2021. "Mapping discrimination in Europe through a field experiment in amateur sport," Palgrave Communications, Palgrave Macmillan, vol. 8(1), pages 1-8, December.
    30. 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.
    31. 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.
    32. Acolin, Arthur & Bostic, Raphael & Painter, Gary, 2016. "A field study of rental market discrimination across origins in France," Journal of Urban Economics, Elsevier, vol. 95(C), pages 49-63.
    33. Gaddis, S. Michael, 2018. "An Introduction to Audit Studies in the Social Sciences," SocArXiv e5hfc, Center for Open Science.
    34. 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.
    35. 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.
    36. Krause, Annabelle & Rinne, Ulf & Zimmermann, Klaus F., 2012. "Anonymous job applications of fresh Ph.D. economists," Economics Letters, Elsevier, vol. 117(2), pages 441-444.
    37. 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.
    38. Claudia Diehl & Elisabeth Liebau, 2017. "Perceptions of Discrimination: What Do They Measure and Why Do They Matter?," SOEPpapers on Multidisciplinary Panel Data Research 945, DIW Berlin, The German Socio-Economic Panel (SOEP).
    39. 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.
    40. 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.
    41. David Schwegman, 2017. "Rental Market Discrimination against Same-Sex Couples: Evidence from an Email Correspondence Audit," Center for Policy Research Working Papers 210, Center for Policy Research, Maxwell School, Syracuse University.
    42. Murchie, Judson & Pang, Jindong, 2018. "Rental housing discrimination across protected classes: Evidence from a randomized experiment," Regional Science and Urban Economics, Elsevier, vol. 73(C), pages 170-179.
    43. 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.
    44. Rich, Judy, 2014. "What Do Field Experiments of Discrimination in Markets Tell Us? A Meta Analysis of Studies Conducted since 2000," IZA Discussion Papers 8584, Institute of Labor Economics (IZA).
    45. Bunel, Mathieu & Tovar, Elisabeth, 2024. "Fairness of the first-come, first-served rule on the rental housing market: Insights from a hypothetical survey experiment," Journal of Housing Economics, Elsevier, vol. 65(C).
    46. 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.
    47. Sylvain Chareyron & Yannick L'Horty & Philom ne Mbaye & Pascale Petit, 2022. "Impacts of quota policy and employer obligation to adapt workstations on discrimination against people with disabilities: Lessons from an experiment," TEPP Working Paper 2022-17, TEPP.
    48. 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.
    49. Marianne Bertrand & Esther Duflo, 2016. "Field Experiments on Discrimination," NBER Working Papers 22014, National Bureau of Economic Research, Inc.
    50. Bonick, Matthew & Farfán-Vallespín, Antonio, 2016. "On the origin and consequences of racism," The Constitutional Economics Network Working Papers 02-2016, University of Freiburg, Department of Economic Policy and Constitutional Economic Theory.
    51. Climent Quintana Domeque & Sonia Oreffice, 2010. "Anthropometry and socioeconomics in the couple: evidence from the PSID," Working Papers. Serie AD 2010-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    52. Sansani, Shahar, 2017. "Are the Religiously Observant Discriminated Against in the Rental Housing Market? Experimental Evidence from Israel," MPRA Paper 81424, University Library of Munich, Germany.
    53. 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.
    54. Dai, Tianran & Schiff, Nathan, 2021. "The Structure and Growth of Ethnic Neighborhoods," MPRA Paper 108073, University Library of Munich, Germany.
    55. Mathieu Bunel & Yannick L'Horty & Lo c du Parquet & Pascale Petit, 2017. "Identifying preference-based discrimination in rental market: A field experiment in Paris," TEPP Working Paper 2017-06, TEPP.
    56. Julie Le Gallo & Yannick L'Horty & Loic Du Parquet & Pascale Petit, 2018. "Les discriminations dans l'accès au logement en France : un testing de couverture nationale," Working Papers halshs-01878188, HAL.
    57. Fumarco, Luca, 2015. "Disability Discrimination in the Rental Housing Market – A Field Experiment on Blind Tenants," MPRA Paper 63899, University Library of Munich, Germany.
    58. Nesseler, Cornel & Gomez-Gonzalez, Carlos & Parshakov, Petr & Dietl, Helmut, 2023. "Examining discrimination against Jews in Italy with three natural field experiments," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 106(C).
    59. Hanson, Andrew & Hawley, Zackary & Taylor, Aryn, 2011. "Subtle discrimination in the rental housing market: Evidence from e-mail correspondence with landlords," Journal of Housing Economics, Elsevier, vol. 20(4), pages 276-284.
    60. 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.
    61. Suzuki, Masatomo & Kawai, Kohei & Shimizu, Chihiro, 2022. "Discrimination against the atypical type of tenants in the Tokyo private rental housing market: Evidence from moving-in inspection and rent arrear records," Journal of Housing Economics, Elsevier, vol. 58(PB).
    62. Carlsson, Magnus & Eriksson, Stefan, 2014. "Discrimination in the rental market for apartments," Journal of Housing Economics, Elsevier, vol. 23(C), pages 41-54.
    63. 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.
    64. Adam Nowak & Juan Sayago-Gomez, 2017. "Homeowner Preferences after September 11th, a Microdata Approach," Working Papers 17-03, Department of Economics, West Virginia University.
    65. 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.
    66. Weichselbaumer, Doris & Riess, Hermann, 2024. "Discrimination in the Austrian rental housing market: The effect of information concerning first and second-generation immigrant status," Journal of Housing Economics, Elsevier, vol. 66(C).
    67. John M. Nunley & Adam Pugh & Nicholas Romero & Richard Alan Seals, Jr., 2014. "An Examination of Racial Discrimination in the Labor Market for Recent College Graduates: Estimates from the Field," Auburn Economics Working Paper Series auwp2014-06, Department of Economics, Auburn University.
    68. Moritz, Raphael & Manger, Christian, 2022. "Somebody that I want to know: The non-monotonic effect of personality information on ethnic and gender discrimination in the market for shared housing," Journal of Housing Economics, Elsevier, vol. 57(C).
    69. Grotti, Raffaele & Russell, Helen & Fahey, Éammon & Maître, Bertrand, 2018. "Discrimination and inequality in housing in Ireland," Research Series, Economic and Social Research Institute (ESRI), number BKMNEXT361.
    70. Rafael Mu-oz de Bustillo Llorente & José-Ignacio Antón Pérez, 2011. "From the Highest Employment Growth to the Deepest Fall: Economic Crisis and Labour Inequalities in Spain," Chapters, in: Daniel Vaughan-Whitehead (ed.), Work Inequalities in the Crisis, chapter 10, Edward Elgar Publishing.
    71. Philippe Askenazy & Verónica Escudero, 2022. "The Geographical Dimension of Inequalities in Access to Employment," Post-Print halshs-04828621, HAL.
    72. Miquel‐Àngel Garcia–Lopez & Rosella Nicolini & José Luis Roig, 2020. "Segregation and urban spatial structure in Barcelona," Papers in Regional Science, Wiley Blackwell, vol. 99(3), pages 749-772, June.
    73. 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).
    74. 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.
    75. Andrew Hanson & Michael Santas, 2014. "Field Experiment Tests for Discrimination against Hispanics in the U.S. Rental Housing Market," Southern Economic Journal, John Wiley & Sons, vol. 81(1), pages 135-167, July.
    76. 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.
    77. 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.
    78. Koppensteiner, Martin Foureaux & Oliveira, Tania & Rohith, Nikitha, 2022. "Testing for Discrimination in Rental Markets: Experimental Evidence from the UK," IZA Discussion Papers 15460, Institute of Labor Economics (IZA).

  6. 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).

    Cited by:

    1. Grané Chávez, Aurea & 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 Estadística.
    2. 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.
    3. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.

  7. 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.

    Cited by:

    1. F. Durante & A. Gatto & F. Ravazzolo, 2024. "Understanding relationships with the Aggregate Zonal Imbalance using copulas," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(2), pages 513-554, April.
    2. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    3. Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188264, HAL.
    4. Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
    5. Cerasa, Andrea & Zani, Alessandro, 2025. "Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions," Applied Energy, Elsevier, vol. 383(C).
    6. Francesco Lisi & Ismail Shah, 2024. "Joint Component Estimation for Electricity Price Forecasting Using Functional Models," Energies, MDPI, vol. 17(14), pages 1-18, July.
    7. Yuri Balagula, 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.
    8. Kyritsis, Evangelos & Andersson, Jonas & Serletis, Apostolos, 2017. "Electricity prices, large-scale renewable integration, and policy implications," Energy Policy, Elsevier, vol. 101(C), pages 550-560.
    9. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    10. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology, revised 15 Apr 2013.
    11. Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023. "Forecasting electricity prices with expert, linear, and nonlinear models," International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
    12. António Rua & Paulo M.M. Rodrigues & João Pedro Pereira, 2016. "Market integration and the persistence of electricity prices," Working Papers w201609, Banco de Portugal, Economics and Research Department.
    13. Radu Porumb & Petru Postolache & George Serițan & Ramona Vatu & Oana Ceaki, 2013. "Load profiles analysis for electricity market," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 1(2), pages 30-38, December.
    14. Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
    15. Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers 2007.103, Fondazione Eni Enrico Mattei.
    16. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259225, HAL.
    17. Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013. "Long-term Memory in Electricity Prices: Czech Market Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
    18. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2018. "Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration," Working Papers No 2/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    19. Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
    20. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
    21. Sherzod N. Tashpulatov, 2022. "Modeling Electricity Price Dynamics Using Flexible Distributions," Mathematics, MDPI, vol. 10(10), pages 1-15, May.
    22. Fell, Harrison, 2008. "EU-ETS and Nordic Electricity: A CVAR Approach," RFF Working Paper Series dp-08-31, Resources for the Future.
    23. 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.
    24. Alexopoulos, Thomas A., 2017. "The growing importance of natural gas as a predictor for retail electricity prices in US," Energy, Elsevier, vol. 137(C), pages 219-233.
    25. 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.
    26. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
    27. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
    28. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University.
    29. 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.
    30. 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.
    31. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
    32. Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
    33. Sophie Bercu & Fr�d�ric Proïa, 2013. "A SARIMAX coupled modelling applied to individual load curves intraday forecasting," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(6), pages 1333-1348, June.
    34. Higgs, Helen, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 748-756, September.
    35. Zachmann, Georg, 2013. "A stochastic fuel switching model for electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 5-13.
    36. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
    37. Abdelhakim Aknouche, 2017. "Periodic autoregressive stochastic volatility," Statistical Inference for Stochastic Processes, Springer, vol. 20(2), pages 139-177, July.
    38. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    39. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    40. Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016. "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers 2016-23, Department of Economics and Business Economics, Aarhus University.
    41. Shadi Tehrani & Jesús Juan & Eduardo Caro, 2022. "Electricity Spot Price Modeling and Forecasting in European Markets," Energies, MDPI, vol. 15(16), pages 1-23, August.
    42. Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
    43. Daniel Ambach & Carsten Croonenbroeck, 2016. "Space-time short- to medium-term wind speed forecasting," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(1), pages 5-20, March.
    44. Baillie, Richard T. & Cho, Dooyeon & Rho, Seunghwa, 2024. "Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs," Econometrics and Statistics, Elsevier, vol. 29(C), pages 88-112.
    45. 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.
    46. Ding, Shusheng & Cui, Tianxiang & Zhang, Yongmin, 2022. "Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect," International Review of Financial Analysis, Elsevier, vol. 83(C).
    47. Nazim Regnard & Jean‐Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
    48. Francq, Christian & Sucarrat, Genaro, 2013. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper 51783, University Library of Munich, Germany.
    49. Andrea Petrella & Sandro Sapio, 2010. "No PUN intended: A time series analysis of the Italian day-ahead electricity prices," RSCAS Working Papers 2010/03, European University Institute.
    50. Karol Pilot & Alicja Ganczarek-Gamrot & Krzysztof Kania, 2024. "Dealing with Anomalies in Day-Ahead Market Prediction Using Machine Learning Hybrid Model," Energies, MDPI, vol. 17(17), pages 1-20, September.
    51. Alonso Fernández, Andrés Modesto & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS ws081406, Universidad Carlos III de Madrid. Departamento de Estadística.
    52. Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta, 2017. "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," CQE Working Papers 6117, Center for Quantitative Economics (CQE), University of Muenster.
    53. Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
    54. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
    55. Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup, 2009. "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper 1211, Economics Department, Queen's University.
    56. Carlo Fezzi & Luca Mosetti, 2018. "Size matters: Estimation sample length and electricity price forecasting accuracy," DEM Working Papers 2018/10, Department of Economics and Management.
    57. Kim, Myung Suk, 2013. "Modeling special-day effects for forecasting intraday electricity demand," European Journal of Operational Research, Elsevier, vol. 230(1), pages 170-180.
    58. Tashpulatov, Sherzod N., 2013. "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.
    59. Katarzyna Maciejowska & Rafał Weron, 2015. "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, vol. 30(3), pages 805-819, September.
    60. Hipòlit Torró, . "Assessing the influence of spot price predictability on electricity futures hedging," Journal of Risk, Journal of Risk.
    61. Paraschiv, Florentina & Bunn, Derek & Westgaard, Sjur, 2016. "Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients," Working Papers on Finance 1607, University of St. Gallen, School of Finance.
    62. Chelsey Hill & James Li & Matthew J. Schneider & Martin T. Wells, 2021. "The tensor auto‐regressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 636-652, July.
    63. Katarzyna Maciejowska & Rafal Weron, 2015. "Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals," HSC Research Reports HSC/15/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    64. Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
    65. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.
    66. Higgs, Helen & Lien, Gudbrand & Worthington, Andrew C., 2015. "Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility," Economic Analysis and Policy, Elsevier, vol. 48(C), pages 172-181.
    67. Daniel Ambach & Carsten Croonenbroeck, 2016. "Space-time short- to medium-term wind speed forecasting," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(1), pages 5-20, March.
    68. Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017. "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS 24614, Universidad Carlos III de Madrid. Departamento de Estadística.
    69. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, vol. 47(C), pages 98-111.
    70. Per B. Solibakke, 2022. "Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 17-42, January.
    71. Sherzod N. Tashpulatov, 2021. "The Impact of Regulatory Reforms on Demand Weighted Average Prices," Mathematics, MDPI, vol. 9(10), pages 1-15, May.
    72. BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    73. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
    74. G P Girish & Aviral Kumar Tiwari, 2016. "A comparison of different univariate forecasting models forSpot Electricity Price in India," Economics Bulletin, AccessEcon, vol. 36(2), pages 1039-1057.
    75. Cincinelli, Peter & Pellini, Elisabetta, 2025. "The role of geopolitical and climate risk in driving uncertainty in European electricity markets," Energy Economics, Elsevier, vol. 144(C).
    76. Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 13(4), pages 415-432, November.
    77. Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.
    78. 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.
    79. Philipp Wegmüller & Christian Glocker & Valentino Guggia, 2021. "Weekly Economic Activity: Measurement and Informational Content," WIFO Working Papers 627, WIFO.
    80. Martina Assereto & Julie Byrne, 2020. "The Implications of Policy Uncertainty on Solar Photovoltaic Investment," Energies, MDPI, vol. 13(23), pages 1-20, November.
    81. Bowen Zhang & Hongda Tian & Adam Berry & A. Craig Roussac, 2025. "A Local-Temporal Convolutional Transformer for Day-Ahead Electricity Wholesale Price Forecasting," Sustainability, MDPI, vol. 17(12), pages 1-22, June.
    82. Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen, 2012. "The power of weather," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3793-3807.
    83. Renato Fernandes & Isabel Soares, 2022. "Reviewing Explanatory Methodologies of Electricity Markets: An Application to the Iberian Market," Energies, MDPI, vol. 15(14), pages 1-17, July.
    84. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2008. "The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts," Working Paper 2008/08, Norges Bank.
    85. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
    86. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    87. Baillie Richard T. & Kapetanios George, 2016. "On the estimation of short memory components in long memory time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 365-375, September.
    88. Martin-Valmayor, Miguel A. & Gil-Alana, Luis A. & Infante, Juan, 2023. "Energy prices in Europe. Evidence of persistence across markets," Resources Policy, Elsevier, vol. 82(C).
    89. Zanotti, Giovanna & Gabbi, Giampaolo & Geranio, Manuela, 2010. "Hedging with futures: Efficacy of GARCH correlation models to European electricity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 135-148, April.
    90. Ioannidis, Filippos & Kosmidou, Kyriaki & Savva, Christos & Theodossiou, Panayiotis, 2021. "Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components," Energy Economics, Elsevier, vol. 95(C).
    91. Lucia, Julio J. & Torró, Hipòlit, 2011. "On the risk premium in Nordic electricity futures prices," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 750-763, October.
    92. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
    93. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    94. Fan, Qingju & Li, Dan, 2015. "Multifractal cross-correlation analysis in electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 17-27.
    95. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
    96. Liu, Heping & Shi, Jing, 2013. "Applying ARMA–GARCH approaches to forecasting short-term electricity prices," Energy Economics, Elsevier, vol. 37(C), pages 152-166.
    97. Sherzod N. Tashpulatov, 2018. "The Impact of Behavioral and Structural Remedies on Electricity Prices: The Case of the England and Wales Electricity Market," Energies, MDPI, vol. 11(12), pages 1-24, December.
    98. Ethem Çanakoğlu & Esra Adıyeke, 2020. "Comparison of Electricity Spot Price Modelling and Risk Management Applications," Energies, MDPI, vol. 13(18), pages 1-22, September.
    99. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    100. 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.
    101. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
    102. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
    103. Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
    104. Heidarpanah, Mohammadreza & Hooshyaripor, Farhad & Fazeli, Meysam, 2023. "Daily electricity price forecasting using artificial intelligence models in the Iranian electricity market," Energy, Elsevier, vol. 263(PE).
    105. Aknouche, Abdelhakim, 2013. "Periodic autoregressive stochastic volatility," MPRA Paper 69571, University Library of Munich, Germany, revised 2015.
    106. de Frutos Cachorro, J. & Willeghems, G. & Buysse, J., 2019. "Strategic investment decisions under the nuclear power debate in Belgium," Resource and Energy Economics, Elsevier, vol. 57(C), pages 156-184.
    107. Brusaferri, Alessandro & Matteucci, Matteo & Portolani, Pietro & Vitali, Andrea, 2019. "Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices," Applied Energy, Elsevier, vol. 250(C), pages 1158-1175.
    108. Ambach, Daniel & Schmid, Wolfgang, 2015. "Periodic and long range dependent models for high frequency wind speed data," Energy, Elsevier, vol. 82(C), pages 277-293.
    109. Sherzod N. Tashpulatov, 2021. "Modeling and Estimating Volatility of Day-Ahead Electricity Prices," Mathematics, MDPI, vol. 9(7), pages 1-11, March.
    110. Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
    111. Rangga Handika & Rangga Handika & Sigit Triandaru, 2016. "Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 814-821.
    112. Panagiotelis, Anastasios & Smith, Michael, 2008. "Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions," International Journal of Forecasting, Elsevier, vol. 24(4), pages 710-727.
    113. Zorana Zoran Stanković & Milena Nebojsa Rajic & Zorana Božić & Peđa Milosavljević & Ancuța Păcurar & Cristina Borzan & Răzvan Păcurar & Emilia Sabău, 2024. "The Volatility Dynamics of Prices in the European Power Markets during the COVID-19 Pandemic Period," Sustainability, MDPI, vol. 16(6), pages 1-16, March.
    114. Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    115. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
    116. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
    117. Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
    118. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute.
    119. Avesani, Diego & Zanfei, Ariele & Di Marco, Nicola & Galletti, Andrea & Ravazzolo, Francesco & Righetti, Maurizio & Majone, Bruno, 2022. "Short-term hydropower optimization driven by innovative time-adapting econometric model," Applied Energy, Elsevier, vol. 310(C).
    120. M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, August.
    121. Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
    122. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
    123. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
    124. Sucarrat, Genaro & Escribano, Álvaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de Economía.
    125. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, vol. 51(C), pages 430-444.
    126. Härdle, Wolfgang Karl & Trück, Stefan, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers 2010-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  8. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2004. "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS ws042007, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. 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.
    2. 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.

  9. Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004. "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings 158, Econometric Society.

    Cited by:

    1. 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.
    2. Torro, Hipolit, 2007. "Forecasting Weekly Electricity Prices at Nord Pool," International Energy Markets Working Papers 7437, Fondazione Eni Enrico Mattei (FEEM).
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Siem Jan Koopman & Marius Ooms, 2004. "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers 04-135/4, Tinbergen Institute.
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.

  10. 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:

    1. Ruiz Ortega, Esther & 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 Estadística.

  11. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 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 Estadística.

    Cited by:

    1. 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 Estadística.
    2. Galeano, Pedro & Peña, Daniel & 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 Estadística.

  12. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS ws010805, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Pérez, Ana & Ruiz Ortega, Esther, 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 Estadística.
    3. 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).
    4. 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.
    5. Rodríguez, Julio & Ruiz Ortega, Esther, 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 Estadística.

  13. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 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 Estadística.
    2. Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Post-Print hal-03186891, HAL.
    3. 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.
    4. 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).
    5. 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).
    6. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
    7. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
    13. Amélie Charles & Olivier Darné, 2019. "Volatility estimation for Bitcoin: Replication and robustness," International Economics, CEPII research center, issue 157, pages 23-32.
    14. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    15. 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.
    16. 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).

Articles

  1. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.

    Cited by:

    1. Bouri, Elie & Gupta, Rangan & Pierdzioch, Christian & Polat, Onur, 2024. "Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments," Finance Research Letters, Elsevier, vol. 69(PB).
    2. Chen, Yan & Luo, Qiong & Zhang, Feipeng, 2025. "Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).

  2. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.

    Cited by:

    1. 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).
    2. 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).
    3. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
    4. 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.
    5. 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.
    6. Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).

  3. 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:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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).
    6. 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).
    7. Canran Xiao & Yongmei Liu, 2025. "A Multifrequency Data Fusion Deep Learning Model for Carbon Price Prediction," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 436-458, March.
    8. 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.

  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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:

    1. Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
    2. 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.
    3. 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).
    4. 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.
    5. 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).
    6. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    7. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    8. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2025. "Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty," Bulletin of Applied Economics, Risk Market Journals, vol. 12(2), pages 15-44.
    9. 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.
    10. 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.
    11. Anupam Dutta & Elie Bouri, 2022. "Outliers and Time-Varying Jumps in the Cryptocurrency Markets," JRFM, MDPI, vol. 15(3), pages 1-7, March.
    12. Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
    13. 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.
    14. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    15. 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.
    16. Hotta, Luiz & Trucíos, Carlos & Ruiz Ortega, Esther, 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 Estadística.
    17. 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.
    18. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
    19. Bahram Adrangi & Arjun Chatrath & Saman Hatamerad & Kambiz Raffiee, 2025. "Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin," Bulletin of Applied Economics, Risk Market Journals, vol. 12(1), pages 75-105.
    20. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    21. 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.
    22. 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.
    23. 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.
    24. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
    25. 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.
    26. Huang Zibin & Ibragimov Rustam, 2022. "Equity returns and sentiment," Dependence Modeling, De Gruyter, vol. 10(1), pages 159-176, January.
    27. 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.
    28. 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.
    29. Cioroianu, Iulia & Corbet, Shaen & Larkin, Charles, 2021. "Guilt through association: Reputational contagion and the Boeing 737-MAX disasters," Economics Letters, Elsevier, vol. 198(C).
    30. Grané Chávez, Aurea & 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 Estadística.
    31. Fiszeder, Piotr & Małecka, Marta & Molnár, Peter, 2024. "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies," Economic Modelling, Elsevier, vol. 141(C).
    32. 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.
    33. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
    34. 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).
    35. 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.

  9. 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.
  10. 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:

    1. 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.
    2. 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.

  11. 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.
  12. 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:

    1. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
    2. Carnero Fernández, María Ángeles & Pérez, Ana & Ruiz Ortega, Esther, 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 Estadística.
    3. 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.
    4. Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
    5. 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.
    6. Grané Chávez, Aurea & 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 Estadística.
    7. 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.
    8. 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.
    9. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
    10. 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).
    11. 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).
    12. Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
    13. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    14. Carmen Broto, 2012. "The effectiveness of forex interventions in four Latin American countries," Working Papers 1226, Banco de España.
    15. 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.
    16. 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.
    17. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    18. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
    19. Ruiz Ortega, Esther & 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 Estadística.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
    25. Amélie Charles & Olivier Darné, 2019. "Volatility estimation for Bitcoin: Replication and robustness," International Economics, CEPII research center, issue 157, pages 23-32.
    26. 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.
    27. 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 Estadística.
    28. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    29. 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.
    30. Hotta, Luiz & Trucíos, Carlos & Ruiz Ortega, Esther, 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 Estadística.
    31. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
    32. 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.
    33. 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.
    34. Karanasos, M. & Kartsaklas, A., 2009. "Dual long-memory, structural breaks and the link between turnover and the range-based volatility," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 838-851, December.
    35. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    36. 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.
    37. Grané Chávez, Aurea & 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 Estadística.
    38. 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.
    39. 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.
    40. 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.
    41. Lisa Crosato & Luigi Grossi, 2019. "Correcting outliers in GARCH models: a weighted forward approach," Statistical Papers, Springer, vol. 60(6), pages 1939-1970, December.
    42. Vasiliki Chatzikonstanti & Michail Karoglou, 2022. "Can black swans be tamed with a flexible mean‐variance specification?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3202-3227, July.
    43. Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
    44. Grané Chávez, Aurea & 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 Estadística.
    45. Fiszeder, Piotr & Małecka, Marta & Molnár, Peter, 2024. "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies," Economic Modelling, Elsevier, vol. 141(C).
    46. 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.
    47. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
    48. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    49. 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.
    50. 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.
    51. Walid Ben Omrane & Khaled Guesmi & Qi Qianru & Samir Saadi, 2023. "The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets," Annals of Operations Research, Springer, vol. 330(1), pages 177-209, November.

  13. 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:

    1. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
    2. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
    3. 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.
    4. David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
    5. Casas, Isabel & Lopes Moreira da Veiga, María Helena, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Timo Terasvirta & Zhenfang Zhao, 2011. "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 67-94.
    7. Hafner, C. & Preminger, A., 2010. "Deciding between GARCH and Stochastic Volatility via Strong Decision Rules," LIDAM Reprints ISBA 2010032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Hafner, Christian & Manner H., 2012. "Dynamic stochastic copula models: Estimation, inference and applications," LIDAM Reprints ISBA 2012022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Krämer, Walter & Messow, Philip, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 310, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    10. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
    11. Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006. "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(1), pages 55-77.
    12. 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).
    13. Kishor, N. Kundan & Kumari, Swati & Song, Suyong, 2015. "Time variation in the relative importance of permanent and transitory components in the U.S. housing market," Finance Research Letters, Elsevier, vol. 12(C), pages 92-99.
    14. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil).
    15. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    16. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
    17. Abanto-Valle, Carlos A. & Rodríguez, Gabriel & Garrafa-Aragón, Hernán B., 2021. "Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 272-286.
    18. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. María Isabel Restrepo E., 2012. "Estimating Portfolio Value at Risk with GARCH and MGARCH models," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 77-92.
    20. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
    21. Yu, Rentian & Xiao, Haotian & Zhu, Yukun & Zhang, Gongqiu, 2025. "Does multi-scale GARCH information enhance volatility prediction?," Finance Research Letters, Elsevier, vol. 78(C).
    22. 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.
    23. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006. "Multivariate normal mixture GARCH," CFS Working Paper Series 2006/09, Center for Financial Studies (CFS).
    24. Rivera-Alonso, David & Iglesias, Emma M., 2024. "Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?," Resources Policy, Elsevier, vol. 90(C).
    25. 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].
    26. Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    27. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira da Veiga, María Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
    28. 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.
    29. 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.
    30. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
    31. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
    32. Joan del Castillo & Juan-Pablo Ortega, 2011. "Hedging of time discrete auto-regressive stochastic volatility options," Papers 1110.6322, arXiv.org.
    33. Ruiz Ortega, Esther & 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 Estadística.
    34. Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series 2012/04, European University at St. Petersburg, Department of Economics.
    35. Antonis Demos, 2025. "Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models," DEOS Working Papers 2546, Athens University of Economics and Business.
    36. 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.
    37. Aycan HEPSAG, 2016. "Asymmetric stochastic volatility in central and eastern European stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 135-144, Summer.
    38. Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2020. "On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin," Econometrics and Statistics, Elsevier, vol. 16(C), pages 69-90.
    39. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    40. Guerbyenne, Hafida & Hamdi, Fayçal & Hamrat, Malika, 2024. "The logGARCH stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 214(C).
    41. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
    42. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira da Veiga, María Helena, 2014. "Score driven asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws142618, Universidad Carlos III de Madrid. Departamento de Estadística.
    43. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    44. 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.
    45. 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.
    46. 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.
    47. McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
    48. Fałdziński, Marcin & Fiszeder, Piotr & Molnár, Peter, 2024. "Improving volatility forecasts: Evidence from range-based models," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    49. 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.
    50. Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther, 2020. "Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 118(C).
    51. Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
    52. Jihyun Park & Andrey Sarantsev, 2024. "Log Heston Model for Monthly Average VIX," Papers 2410.22471, arXiv.org.
    53. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    54. Carlos A. Abanto-Valle & Gabriel Rodríguez & Hernán B. Garrafa-Aragón, 2020. "Stochastic Volatility in Mean: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2020-481, Departamento de Economía - Pontificia Universidad Católica del Perú.
    55. Xing Yan & Weizhong Zhang & Lin Ma & Wei Liu & Qi Wu, 2020. "Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning," Papers 2010.08263, arXiv.org.
    56. 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.
    57. Di Zhang & Qiang Niu & Youzhou Zhou, 2022. "Modeling Randomly Walking Volatility with Chained Gamma Distributions," Papers 2207.01151, arXiv.org, revised Oct 2022.
    58. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
    59. Nguyen, Hien Thi & Nguyen, Hoang & Tran, Minh-Ngoc, 2024. "Deep learning enhanced volatility modeling with covariates," Finance Research Letters, Elsevier, vol. 69(PB).
    60. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
    61. 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.
    62. Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
    63. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.
    64. 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.
    65. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
    66. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
    67. Alekseev, Oleg & Janda, Karel & Petit, Mathieu & Zilberman, David, 2024. "Return and volatility spillovers between the raw material and electric vehicles markets," Energy Economics, Elsevier, vol. 137(C).
    68. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
    69. Tao Pang & Yang Zhao, 2025. "On GARCH and Autoregressive Stochastic Volatility Approaches for Market Calibration and Option Pricing," Risks, MDPI, vol. 13(2), pages 1-24, February.
    70. Rodríguez, Mª José & Ruiz Ortega, Esther, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
    71. 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).
    72. 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.
    73. 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.
    74. Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April.
    75. Christian Bauer, 2007. "A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 65-87.
    76. Liang, Chao & Li, Yan & Ma, Feng & Wei, Yu, 2021. "Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information," International Review of Financial Analysis, Elsevier, vol. 75(C).
    77. Bogdan Dima & Ștefana Maria Dima, 2024. "The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 755-781, August.
    78. 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.
    79. 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.
    80. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
    81. Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
    82. Mora Galán, Alberto & Pérez, Ana & Ruiz Ortega, Esther, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
    83. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    84. Smith Daniel R, 2009. "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-36, May.
    85. José‐María Montero & Gema Fernández‐Avilés & María‐Carmen García, 2010. "Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy Products," International Statistical Review, International Statistical Institute, vol. 78(3), pages 330-347, December.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.