Volatility has been one of the most active and successful areas of research in time series
econometrics and economic forecasting in recent decades. This chapter provides a selective …

We present a unified and up‐to‐date overview of temporal aggregation techniques for
univariate and multivariate time series models explaining in detail, although intuitively, the …

This study investigates the volatility and external shock persistence within the financial and
alternative assets markets during times of crises triggered by Covid-19 and the war in …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …

This paper investigates the asymptotic theory for a vector autoregressive moving average–
generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The …

In the 20 years following the publication of the ARCH model, there has been a vast quantity
of research uncovering the properties of competing volatility models. Wide‐ranging …

This paper investigates the conditional correlations and volatility spillovers between the
crude oil and financial markets, based on crude oil returns and stock index returns. Daily …

International tourism demand, which is typically measured as tourist arrivals, to Australia has
experienced dramatic fluctuations in recent years due to changes in the economic, financial …

A comprehensive guide to financial econometrics Financial econometrics is a quest for
models that describe financial time series such as prices, returns, interest rates, and …

Various univariate and multivariate models of volatility have been used to evaluate market
risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and …