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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Lu, Xinjie"
~subject:"ARCH model"
~subject:"Crude oil"
~subject:"Theorie"
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ARCH model
Crude oil
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Markov chain
11
Markov-Kette
11
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9
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8
Volatilität
8
Estimation
5
Multivariate Verteilung
5
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Chang, Kuang-Liang
Lu, Xinjie
Tsionas, Efthymios G.
13
Serletis, Apostolos
9
Xu, Libo
8
Feinberg, Eugene A.
7
Ma, Feng
7
Casarin, Roberto
6
Cavicchioli, Maddalena
6
Elliott, Robert J.
6
Gupta, Rangan
6
Billio, Monica
5
Dimitrakopoulos, Stefanos
5
Goyal, Vineet
5
Guérin, Pierre
5
Houtum, Geert-Jan van
5
Lee, Hsiang-Tai
5
Li, Yong
5
Lunday, Brian J.
5
Maheu, John M.
5
Marcellino, Massimiliano
5
Robbins, Matthew J.
5
Shi, Yanlin
5
Siu, Tak Kuen
5
Arts, Joachim
4
Bauwens, Luc
4
Creemers, Stefan
4
Cui, Lirong
4
D'Amico, Guglielmo
4
Dufays, Arnaud
4
Gerlach, Richard
4
Jin, Xin
4
Kang, Kyu Ho
4
Lesage, James P.
4
Otranto, Edoardo
4
Wang, Chao
4
Wang, Jiqian
4
Wilfling, Bernd
4
Yang, Hailiang
4
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Applied economics letters
2
International review of economics & finance : IREF
2
Applied economics
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Energy economics
1
Journal of forecasting
1
Journal of international money and finance
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The North American journal of economics and finance : a journal of financial economics studies
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1
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
2
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
3
Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Liu, Jing
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
Saved in:
4
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
5
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
6
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
7
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
8
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
9
A mixed dependence between the exchange rate and international crude oil returns : an application of dynamic mixture copula
Chang, Kuang-Liang
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
10/11/12
,
pp. 2347-2360
Persistent link: https://www.econbiz.de/10011825350
Saved in:
10
Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Chang, Kuang-Liang
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 72-87
Persistent link: https://www.econbiz.de/10011625059
Saved in:
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