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Results for volatility

Publications & Outputs

  1. Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

    Barigozzi, M., Hallin, M. & Soccorsi, S., 1/07/2019, In : Journal of Financial Econometrics. 17 , 3, p. 462-494 33 p.

    Research output: Contribution to journalJournal article

  2. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

    Barigozzi, M., Hallin, M. & Soccorsi, S., 02/2019, Lancaster: The Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  3. Asymmetric volatility spillovers between UK regional worker flows and vacancies

    Gefang, D. & Johnes, G., 08/2017, In : Applied Economics. 49, 50, p. 5117-5133 17 p.

    Research output: Contribution to journalJournal article

  4. Modelling financial volatility using Bayesian and conventional methods

    Li, X., 2016, Lancaster University. 193 p.

    Research output: ThesisDoctoral Thesis

  5. Two Cholesky-log-GARCH models for multivariate volatilities

    Pedeli, X., Fokianos, K. & Pourahmadi, M., 2015, In : Statistical Modelling. 15, 3, p. 233-255 23 p.

    Research output: Contribution to journalJournal article

  6. Some recent progress in count time series

    Fokianos, K., 2011, In : Statistics:A Journal of Theoretical and Applied Statistics. 45, 1, p. 49-58 10 p.

    Research output: Contribution to journalJournal article