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person:"Rombouts, Jeroen V. K."
~accessRights:"restricted"
~person:"Floros, Christos"
~person:"Francq, Christian"
~person:"McAleer, Michael"
~subject:"Time series analysis"
~subject:"Volatilität"
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Search: subject_exact:"GARCH model"
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Time series analysis
Volatilität
ARCH model
38
ARCH-Modell
38
Volatility
29
Estimation
18
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18
Börsenkurs
14
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14
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12
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Rombouts, Jeroen V. K.
Floros, Christos
Francq, Christian
McAleer, Michael
Ma, Feng
62
Gupta, Rangan
36
Bouri, Elie
31
Zhang, Yaojie
31
Liang, Chao
23
Wang, Yudong
21
Wu, Xinyu
20
Tiwari, Aviral Kumar
19
Kumar, Dilip
17
Wei, Yu
17
Serletis, Apostolos
14
Wang, Lu
14
Kang, Sang Hoon
13
Lucey, Brian M.
13
Hammoudeh, Shawkat
12
Lu, Xinjie
12
Nonejad, Nima
12
Wang, Jiqian
12
Xuan Vinh Vo
12
Jawadi, Fredj
11
Ji, Qiang
11
Lau, Chi Keung
11
Lee, Chien-chiang
11
Li, Yan
11
Liu, Jing
11
Molnár, Peter
11
Degiannakis, Stavros
10
Mensi, Walid
10
Shi, Yanlin
10
Wen, Fenghua
10
Huang, Dengshi
9
Huang, Zhuo
9
Wahab, M. I. M.
9
Yin, Libo
9
Balcilar, Mehmet
8
Brooks, Robert
8
Corbet, Shaen
8
Filis, George
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Journal of econometrics
6
International review of economics & finance : IREF
3
Econometrics : open access journal
2
International journal of forecasting
2
Applied economics
1
Computational economics
1
Econometric reviews
1
Economics letters
1
Energy economics
1
Finance research letters
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1
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1
International review of financial analysis
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Journal of banking & finance
1
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Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of international financial markets, institutions & money
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
33
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1
Volatility spillovers across the spot and futures oil markets after news announcements
Apostolakis, George N.
;
Floros, Christos
;
Gillas, …
- In:
The North American journal of economics and finance : a …
69
(
2024
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014445527
Saved in:
2
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
Quasi score-driven models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
5
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
6
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
7
On the stationarity of futures hedge ratios
Degiannakis, Stavros
;
Floros, Christos
;
Salvador, Enrique
; …
- In:
Operational research : an international journal
22
(
2022
)
3
,
pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633
Saved in:
8
On bank return and volatility spillovers : identifying transmitters and receivers during crisis periods
Apostolakis, George N.
;
Floros, Christos
;
Giannellis, …
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 156-176
Persistent link: https://www.econbiz.de/10013542907
Saved in:
9
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
10
Political uncertainty, COVID-19 pandemic and stock market volatility transmission
Apostolakis, George N.
;
Floros, Christos
;
Gillas, …
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012803182
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