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person:"Paolella, Marc S."
subject:"Japan"
~person:"Bismarck, Karin Elisabeth von"
~person:"Wu, Xinyu"
~subject:"ARCH-Modell"
~subject:"Statistische Verteilung"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Thesis"
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Japan
ARCH-Modell
Statistische Verteilung
Volatility
Estimation
24
Schätzung
24
ARCH model
18
Volatilität
17
Capital income
14
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14
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12
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12
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10
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10
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8
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8
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8
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7
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Paolella, Marc S.
Bismarck, Karin Elisabeth von
Wu, Xinyu
Gupta, Rangan
66
Bahmani-Oskooee, Mohsen
39
Todorov, Viktor
27
Ma, Feng
26
Pierdzioch, Christian
26
Bouri, Elie
25
Bollerslev, Tim
24
McAleer, Michael
24
Wohar, Mark E.
23
Xuan Vinh Vo
23
Balcilar, Mehmet
22
Caporale, Guglielmo Maria
21
Gil-Alaña, Luis A.
20
Hamori, Shigeyuki
20
Kumar, Dilip
20
Tiwari, Aviral Kumar
20
Kang, Sang Hoon
19
Yoon, Seong-min
19
Chiang, Thomas C.
18
Mensi, Walid
18
Brooks, Robert
16
Asai, Manabu
15
Narayan, Paresh Kumar
15
Rashid, Abdul
15
Andersen, Torben
14
Apergēs, Nikolaos
14
Li, Jia
14
McMillan, David G.
14
Wang, Yudong
14
Wei, Yu
14
Caporin, Massimiliano
13
Salisu, Afees A.
13
Tauchen, George Eugene
13
Zhang, Yaojie
13
Zhu, Huiming
13
Bali, Turan G.
12
Hegerty, Scott W.
12
Lee, Chien-chiang
12
Malik, Farooq
12
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Finance research letters
3
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3
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2
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2
The North American journal of economics and finance : a journal of financial economics studies
2
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1
Applied economics
1
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1
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1
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1
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1
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ECONIS (ZBW)
23
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1
Forecasting RMB exchange rate volatility : do time-varying higher moments and time-varying risk aversion help?
Wu, Xinyu
;
Mei, Xueting
;
Liu, Li
- In:
Applied economics letters
31
(
2024
)
8
,
pp. 757-767
Persistent link: https://www.econbiz.de/10014557859
Saved in:
2
Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Wu, Xinyu
;
Qian, Jia
;
Zhao, Xiaohan
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014491122
Saved in:
3
Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX
Wu, Xinyu
;
Xia, Michelle
;
Li, Xindan
- In:
Applied economics
55
(
2023
)
20
,
pp. 2273-2291
Persistent link: https://www.econbiz.de/10014294916
Saved in:
4
Forecasting VIX using two-component realized EGARCH model
Wu, Xinyu
;
Zhao, An
;
Liu, Li
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014484064
Saved in:
5
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk : JOR
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014487116
Saved in:
6
Forecasting VIX with time-varying risk aversion
Wu, Xinyu
;
He, Qizhi
;
Xie, Haibin
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 458-475
Persistent link: https://www.econbiz.de/10014475366
Saved in:
7
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
8
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
Saved in:
9
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
10
Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model
Wu, Xinyu
;
Wang, Xiaona
;
Wang, Haiyun
- In:
Applied economics letters
28
(
2021
)
11
,
pp. 915-920
Persistent link: https://www.econbiz.de/10012589699
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