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person:"McAleer, Michael"
~person:"Salisu, Afees A."
~subject:"Capital market returns"
~subject:"Hedging"
~subject:"Prognoseverfahren"
~type:"book"
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Capital market returns
Hedging
Prognoseverfahren
Volatility
254
Volatilität
225
ARCH-Modell
102
ARCH model
101
Estimation
64
Schätzung
64
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50
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Welt
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volatility
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Risikomaß
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Risk measure
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Commodity derivative
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Rohstoffderivat
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McAleer, Michael
Salisu, Afees A.
Gupta, Rangan
47
Bollerslev, Tim
28
Chang, Chia-Lin
26
Diebold, Francis X.
25
Lux, Thomas
24
Pierdzioch, Christian
20
Asai, Manabu
17
Christoffersen, Peter F.
17
Caporin, Massimiliano
16
Engle, Robert F.
16
Clements, Adam
15
Clark, Todd E.
13
Degiannakis, Stavros Antonios
13
Medeiros, Marcelo C.
13
Allen, David E.
12
Giglio, Stefano
12
Dijk, Dick van
11
Andersen, Torben
10
Carriero, Andrea
10
Chan, Joshua
10
Freyberger, Joachim
10
Gallo, Giampiero M.
10
Ghysels, Eric
10
Marcellino, Massimiliano
10
Neuhierl, Andreas
10
Weber, Michael
10
Zhou, Hao
10
Bali, Turan G.
9
Bekaert, Geert
9
Bonato, Matteo
9
Dew-Becker, Ian
9
Koopman, Siem Jan
9
Ravazzolo, Francesco
9
Zhang, Bo
9
Baumeister, Christiane
8
Borensztein, Eduardo
8
Bouri, Elie
8
Conrad, Christian
8
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3
Department of Economics and Finance, College of Business and Economics
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1
Institute of Economic Research, Kyoto University
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Econometric Institute research papers
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ECONIS (ZBW)
96
RePEc
3
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1
Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014521267
Saved in:
2
Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014505054
Saved in:
3
Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model
Salisu, Afees A.
;
Liao, Wenting
;
Gupta, Rangan
;
Cepni, …
-
2023
Persistent link: https://www.econbiz.de/10014329743
Saved in:
4
Energy-related uncertainty and international stock market volatility
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014443108
Saved in:
5
Oil price returns skewness and forecastability of international stock returns over one century of data
Salisu, Afees A.
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014443111
Saved in:
6
Technological shocks and stock market volatility over a century : a GARCHMIDAS approach
Salisu, Afees A.
;
Demirer, Rıza
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014253794
Saved in:
7
Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.
;
Gupta, Rangan
;
Bouri, Elie
-
2022
Persistent link: https://www.econbiz.de/10012820363
Saved in:
8
Bitcoin prices and the realized volatility of US sectoral stock returns
Bouri, Elie
;
Salisu, Afees A.
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10013270159
Saved in:
9
Policy uncertainty and stock market volatility revisited : the predictive role of signal quality
Salisu, Afees A.
;
Demirer, Rıza
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10013270178
Saved in:
10
Forecasting output growth of advanced economies over eight centuries : the role of gold market volatility as a proxy of global uncertainty
Salisu, Afees A.
;
Gupta, Rangan
;
Karmakar, Sayar
;
Das, …
-
2021
Persistent link: https://www.econbiz.de/10012622272
Saved in:
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