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accessRights:"restricted"
~accessRights:"free"
~person:"Blazsek, Szabolcs"
~person:"Chen, Miao-Ling"
~person:"Chevallier, Julien"
~person:"Gerlach, Richard"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Cross-country"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Blazsek, Szabolcs
Chen, Miao-Ling
Chevallier, Julien
Gerlach, Richard
Lee, Hsiang-Tai
8
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7
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6
Chang, Kuang-Liang
5
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4
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4
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Chen, Cathy W. S.
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Amanjot Singh
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Asai, Manabu
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
3
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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4
Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market
Hsu, Ching-Chi
;
Wei, An-Pin
;
Chen, Miao-Ling
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012665989
Saved in:
5
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
6
Asymmetric effect of advertising on the Chinese stock market
Hsu, Ching-Chi
;
Chen, Miao-Ling
- In:
Applied economics letters
26
(
2019
)
2
,
pp. 157-162
Persistent link: https://www.econbiz.de/10012204156
Saved in:
7
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
8
Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics
49
(
2017
)
2
,
pp. 111-137
Persistent link: https://www.econbiz.de/10011810520
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