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accessRights:"restricted"
~accessRights:"free"
~person:"Blazsek, Szabolcs"
~person:"Chevallier, Julien"
~person:"Gupta, Rangan"
~person:"Haas, Markus"
~person:"Hammoudeh, Shawkat"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Cross-country"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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ARCH model
Aktienmarkt
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Markov chain
33
Markov-Kette
33
Estimation
19
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19
Volatility
16
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16
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13
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11
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Blazsek, Szabolcs
Chevallier, Julien
Gupta, Rangan
Haas, Markus
Hammoudeh, Shawkat
Lee, Hsiang-Tai
8
Ma, Feng
6
Chang, Kuang-Liang
5
Lu, Xinjie
4
Otranto, Edoardo
4
Serletis, Apostolos
4
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4
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3
Bauwens, Luc
3
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3
Chkili, Walid
3
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3
Lee, Chien-chiang
3
Li, Tao
3
Maheu, John M.
3
Wang, Jiqian
3
Wilfling, Bernd
3
Zhang, Dayong
3
Aloui, Chaker
2
Amanjot Singh
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Asai, Manabu
2
BenSaïda, Ahmed
2
Casarin, Roberto
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Cavicchioli, Maddalena
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Chauvet, Marcelle
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2
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2
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2
Dua, Pami
2
Dufays, Arnaud
2
Feng, Lingbing
2
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Applied economics
2
Energy economics
2
The North American journal of economics and finance : a journal of financial economics studies
2
Emerging markets review
1
Finance research letters
1
International journal of forecasting
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International review of economics & finance : IREF
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1
Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli
;
Gupta, Rangan
;
Wilfling, Bernd
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10014450235
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
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
4
Bear, bull, sidewalk, and crash : the evolution of the us stock market using over a century of daily data
Wang, Shixuan
;
Gupta, Rangan
;
Zhang, Yue-Jun
- In:
Finance research letters
43
(
2021
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014632469
Saved in:
5
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
6
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:
7
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
8
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:
9
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
10
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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