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subject:"ARCH-Modell"
~isPartOf:"Applied economics"
~person:"Wang, Lu"
~person:"Wu, Xinyu"
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ARCH-Modell
ARCH model
2
Aktienindex
2
Capital income
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Kapitaleinkommen
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Stock index
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Volatility
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Volatilität
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Aktienmarkt
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Börsenkurs
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Estimation
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Forecasting model
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Index futures
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Index-Futures
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Liquidity
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Liquidität
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Market liquidity
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Marktliquidität
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Prognoseverfahren
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Realized EGARCH
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Schätzung
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Share price
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Stock market
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components volatility structure
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high-frequency information
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Wang, Lu
Wu, Xinyu
Albulescu, Claudiu Tiberiu
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Li, Xindan
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Applied economics
Journal of risk
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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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:
2
The cross-market dynamic effects of liquidity on volatility : evidence from Chinese stock index and futures markets
Qiao, Gaoxiu
;
Teng, Yuxin
;
Xu, Yanyan
;
Wang, Lu
- In:
Applied economics
52
(
2020
)
1
,
pp. 85-99
Persistent link: https://www.econbiz.de/10012197378
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