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~accessRights:"restricted"
~person:"Andersen, Torben"
~person:"Asai, Manabu"
~person:"Campos-Martins, Susana"
~person:"Christoffersen, Peter F."
~person:"Liao, Yin"
~person:"Lucas, André"
~person:"Medeiros, Marcelo C."
~source:"econis"
~source:"econstor"
~subject:"ARCH-Modell"
~subject:"Measurement"
~subject:"Prognoseverfahren"
~subject:"Theory"
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Volatility
62
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62
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26
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26
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23
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Andersen, Torben
Asai, Manabu
Campos-Martins, Susana
Christoffersen, Peter F.
Liao, Yin
Lucas, André
Medeiros, Marcelo C.
Gupta, Rangan
89
Ma, Feng
81
Bouri, Elie
43
Zhang, Yaojie
38
Wang, Yudong
34
Liang, Chao
33
Pierdzioch, Christian
27
Tiwari, Aviral Kumar
25
Wei, Yu
25
Wu, Xinyu
22
McAleer, Michael
21
Wang, Jiqian
20
Kumar, Dilip
18
Wohar, Mark E.
18
Nonejad, Nima
17
Demirer, Rıza
16
Ji, Qiang
16
Lu, Xinjie
16
Lucey, Brian M.
16
Salisu, Afees A.
16
Degiannakis, Stavros
15
Jawadi, Fredj
15
Li, Yan
15
Liu, Jing
15
Serletis, Apostolos
15
Wang, Lu
15
Bollerslev, Tim
14
Caporin, Massimiliano
14
Gillas, Konstantinos Gkillas
14
Hammoudeh, Shawkat
14
Kang, Sang Hoon
14
Lau, Chi Keung
14
Yin, Libo
14
Balcilar, Mehmet
13
Chan, Joshua
13
Lee, Chien-chiang
13
Liu, Li
13
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13
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ECONIS (ZBW)
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1
Do commodity futures have a steering effect on the spot stock market in China? : new evidence from
volatility
forecasting
Lu, Fei
;
Ma, Feng
;
Bouri, Elie
;
Liao, Yin
- In:
International review of financial analysis
94
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014543949
Saved in:
2
Volatility
measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Realized matrix-exponential stochastic
volatility
with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
4
An oil futures
volatility
forecast perspective on the selection of high-frequency jump tests
Li, Xiafei
;
Liao, Yin
;
Lu, Xinjie
;
Ma, Feng
- In:
Energy economics
116
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013542124
Saved in:
5
Geoclimate, geopolitics, and the geovolatility of carbon-intensive equity returns
Campos-Martins, Susana
;
Hendry, David F.
-
2021
Persistent link: https://www.econbiz.de/10012696999
Saved in:
6
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
7
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
8
Financial market linkages and the sovereign debt crisis
Campos-Martins, Susana
;
Amado, Cristina
-
2021
Persistent link: https://www.econbiz.de/10012696986
Saved in:
9
Modelling time-varying
volatility
interactions
Campos-Martins, Susana
;
Amado, Cristina
-
2021
Persistent link: https://www.econbiz.de/10012696992
Saved in:
10
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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