eCite Digital Repository

Author: Matei, M (Dr Marius Matei)

Number of items: 6

Journal Article
Dungey, M and Erdemlioglu, D and Matei, M and Yang, X, Testing for mutually exciting jumps and financial flights in high frequency data, Journal of Econometrics, 202, (1) pp. 18-44. ISSN 0304-4076 (2018) [Refereed Article] 
Matei, M, Perspectives on Risk Measurement - A Critical Assessment of PC-GARCH Against the Main Volatility Forecasting Models, Romanian Journal of Economic Forecasting, 15, (1) Article 6. ISSN 1582-6163 (2012) [Refereed Article] 
Huang, W and Huang, Z and Matei, M and Wang, T, Price volatility forecast for agricultural commodity futures: The role of high frequency data, Romanian Journal of Economic Forecasting, 15, (4) pp. 83-103. ISSN 1582-6163 (2012) [Refereed Article]
Matei, M, Non-Linear Volatility Modelling of Economic and Financial Time Series Using High Frequency Data, Romanian Journal of Economic Forecasting, 14, (2) pp. 116-141. ISSN 1582-6163 (2011) [Refereed Article] 
Matei, M, Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead, Romanian Journal of Economic Forecasting, 12, (4) pp. 42-65. ISSN 1582-6163 (2009) [Refereed Article] 
Chapter in Book
Matei, M, Modelling and measuring jumps in high frequency data, Selected Issues in Macroeconomic and Regional Modeling: Romania as an Emerging Country in the EU, Nova Science Publishers, E Dobrescu, B Pauna, and C Saman (ed), New York, NY, pp. 245-254. ISBN 978-1-63484-936-4 (2016) [Research Book Chapter] 

This list was generated on Wed Oct 5 01:37:05 2022.