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person:"Rombouts, Jeroen V. K."
~accessRights:"restricted"
~person:"Francq, Christian"
~person:"McAleer, Michael"
~subject:"Theorie"
~subject:"Time series analysis"
~subject:"Volatilität"
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Search: subject_exact:"GARCH model"
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ARCH model
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11
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Rombouts, Jeroen V. K.
Francq, Christian
McAleer, Michael
Ma, Feng
57
Gupta, Rangan
33
Zhang, Yaojie
29
Bouri, Elie
28
Liang, Chao
21
Tiwari, Aviral Kumar
19
Wang, Yudong
19
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19
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17
Serletis, Apostolos
17
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17
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13
Xuan Vinh Vo
13
Hammoudeh, Shawkat
12
Jawadi, Fredj
12
Lu, Xinjie
12
Nonejad, Nima
12
Lau, Chi Keung
11
Li, Yan
11
Liu, Jing
11
Lucey, Brian M.
11
Molnár, Peter
11
Wang, Jiqian
11
Wang, Lu
11
Floros, Christos
10
Hafner, Christian M.
10
Herwartz, Helmut
10
Huang, Zhuo
10
Ji, Qiang
10
Lee, Chien-chiang
10
Mensi, Walid
10
Shi, Yanlin
10
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10
Degiannakis, Stavros
9
Wahab, M. I. M.
9
Yin, Libo
9
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8
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6
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2
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2
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2
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1
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1
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Multivariate volatility forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
8
Pricing individual stock options using both stock and market index information
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012221075
Saved in:
9
Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
Saved in:
10
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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