Marius Matei
Marius Matei
National Bank of Romania, Financial Stability Department
Verified email at bnro.ro - Homepage
Title
Cited by
Cited by
Year
Assessing volatility forecasting models: why GARCH models take the lead
M Matei
Romanian Journal of Economic Forecasting 12 (4), 42-65, 2009
642009
Surfing through the GFC: Systemic risk in Australia
M Dungey, M Matei, M Luciani, D Veredas
Economic Record 93 (300), 1-19, 2017
162017
Volatility during the financial crisis through the lens of high frequency data: a realized GARCH approach
D Banulescu, PR Hansen, Z Huang, M Matei
Available at SSRN 3178890, 2018
102018
Testing for mutually exciting jumps and financial flights in high frequency data
M Dungey, D Erdemlioglu, M Matei, X Yang
Journal of Econometrics 202 (1), 18-44, 2018
10*2018
Price volatility forecast for agricultural commodity futures: The role of high frequency data
W Huang, Z Huang, M Matei, T Wang
Romanian Journal of Economic Forecasting 15 (4), 83-103, 2012
92012
Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data
M Dungey, M Matei, S Treepongkaruna
University of Tasmania, 2014
42014
Non-Linear Volatility Modelling of Economic and Financial Time Series Using High Frequency Data
M Matei
Romanian Journal of Economic Forecasting 14 (2), 116-141, 2011
42011
Bivariate volatility modeling with high-frequency data
M Matei, X Rovira, N Agell
Econometrics 7 (3), 41, 2019
32019
Perspectives on Risk Measurement-A Critical Assessment of PC-GARCH Against the Main Volatility Forecasting Models
M Matei
Romanian Journal of Economic Forecasting 15 (1), 95-115, 2012
32012
Volatility during the financial crisis through the lens of high frequency data: a realized GARCH approach
D Banulescu-Radu, PR Hansen, Z Huang, M Matei
22017
Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes
M Matei
Working Papers of Institute for Economic Forecasting, 2010
22010
Examining stress in Asian currencies: A perspective offered by high frequency financial market data
M Dungey, M Matei, S Treepongkaruna
Journal of International Financial Markets, Institutions and Money 67, 101200, 2020
12020
Modelling and measuring jumps in high frequency data
M Matei
2016
Identifying Periods of Financial Stress: The Role of High Frequency Financial Market Data!
M Dungey, M Matei, S Treepongkaruna
2013
A Contribution to Multivariate Volatility Modeling with High Frequency Data
M Marius
Universitat Ramon Llull, 2012
2012
Analiza riscului în evaluarea oportunitatilor internationale de investitii. Perspective în modelarea si previzionarea volatilitatii utilizate în estimarea riscului
M Matei
Working Papers of Macroeconomic Modelling Seminar, 2009
2009
Discussion of:” Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach”
D Banulescu-Radu, P Hansen, Z Huang, M Matei
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Articles 1–17