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person:"Rombouts, Jeroen V. K."
~accessRights:"restricted"
~person:"Francq, Christian"
~person:"Ji, Qiang"
~person:"McAleer, Michael"
~subject:"Monte-Carlo-Simulation"
~subject:"Time series analysis"
~subject:"Volatilität"
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Search: subject_exact:"GARCH model"
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Monte-Carlo-Simulation
Time series analysis
Volatilität
ARCH model
38
ARCH-Modell
38
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29
Estimation
15
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13
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Rombouts, Jeroen V. K.
Francq, Christian
Ji, Qiang
McAleer, Michael
Ma, Feng
57
Gupta, Rangan
33
Zhang, Yaojie
29
Bouri, Elie
28
Liang, Chao
21
Tiwari, Aviral Kumar
19
Wang, Yudong
19
Wu, Xinyu
19
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17
Wei, Yu
17
Serletis, Apostolos
14
Kang, Sang Hoon
13
Hammoudeh, Shawkat
12
Lu, Xinjie
12
Nonejad, Nima
12
Xuan Vinh Vo
12
Jawadi, Fredj
11
Lau, Chi Keung
11
Li, Yan
11
Liu, Jing
11
Lucey, Brian M.
11
Molnár, Peter
11
Wang, Jiqian
11
Wang, Lu
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Floros, Christos
10
Lee, Chien-chiang
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Mensi, Walid
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Shi, Yanlin
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Wen, Fenghua
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Degiannakis, Stavros
9
Huang, Zhuo
9
Wahab, M. I. M.
9
Yin, Libo
9
Balcilar, Mehmet
8
Brooks, Robert
8
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7
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4
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2
Finance research letters
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2
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1
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:
2
Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
Luo, Jiawen
;
Marfatia, Hardik A.
;
Ji, Qiang
;
Klein, Tony
- In:
Energy economics
117
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014437127
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
Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications
Liu, Zhenhua
;
Ji, Qiang
;
Zhai, Pengxiang
;
Ding, Zhihua
- In:
Research in international business and finance
66
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014462203
Saved in:
5
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:
6
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:
7
Mixed-frequency forecasting of crude oil volatility based on the information content of global economic conditions
Salisu, Afees A.
;
Gupta, Rangan
;
Bouri, Elie
;
Ji, Qiang
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 134-157
Persistent link: https://www.econbiz.de/10012796279
Saved in:
8
Forecasting the volatility of agricultural commodity futures : the role of co-volatility and oil volatility
Marfatia, Hardik A.
;
Ji, Qiang
;
Luo, Jiawen
- In:
Journal of forecasting
41
(
2022
)
2
,
pp. 383-404
Persistent link: https://www.econbiz.de/10012817783
Saved in:
9
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:
10
Evolving United States stock market volatility : the role of conventional and unconventional monetary policies
Plakandaras, Vasilios
;
Gupta, Rangan
;
Balcilar, Mehmet
; …
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013449139
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