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accessRights:"restricted"
~person:"Chen, Cathy W. S."
~person:"Dufays, Arnaud"
~subject:"Crude oil"
~subject:"Theorie"
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Chen, Cathy W. S.
Dufays, Arnaud
Tsionas, Efthymios G.
12
Serletis, Apostolos
8
Feinberg, Eugene A.
7
Xu, Libo
7
Cavicchioli, Maddalena
6
Elliott, Robert J.
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Goyal, Vineet
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Houtum, Geert-Jan van
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Li, Yong
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Marcellino, Massimiliano
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Siu, Tak Kuen
5
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4
Billio, Monica
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Chang, Kuang-Liang
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Creemers, Stefan
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Cui, Lirong
4
D'Amico, Guglielmo
4
Dimitrakopoulos, Stefanos
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Gerlach, Richard
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Kang, Kyu Ho
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Lee, Hsiang-Tai
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Lesage, James P.
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Maheu, John M.
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Yang, Qiao
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Badescu, Andrei L.
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Bianchi, Francesco
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Economics letters
1
International journal of finance & economics : IJFE
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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The North American journal of economics and finance : a journal of financial economics studies
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1
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
2
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
3
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
4
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Augustyniak, Maciej
;
Dufays, Arnaud
- In:
Economics letters
170
(
2018
),
pp. 122-126
Persistent link: https://www.econbiz.de/10012019659
Saved in:
5
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
Saved in:
6
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
Saved in:
7
Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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