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~accessRights:"restricted"
~person:"Andersen, Torben"
~person:"Asai, Manabu"
~person:"Christoffersen, Peter F."
~person:"Liao, Yin"
~person:"Medeiros, Marcelo C."
~source:"econis"
~source:"econstor"
~subject:"ARCH-Modell"
~subject:"Measurement"
~subject:"Prognoseverfahren"
~subject:"Theory"
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ARCH-Modell
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Volatility
53
Volatilität
53
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21
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21
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21
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Andersen, Torben
Asai, Manabu
Christoffersen, Peter F.
Liao, Yin
Medeiros, Marcelo C.
Gupta, Rangan
89
Ma, Feng
81
Bouri, Elie
43
Zhang, Yaojie
38
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34
Liang, Chao
33
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27
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25
Wei, Yu
25
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22
McAleer, Michael
21
Wang, Jiqian
20
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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
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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
Mensi, Walid
13
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8
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3
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1
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1
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ECONIS (ZBW)
EconStor
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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
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:
6
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:
7
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
8
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
9
When "time varying"
volatility
meets "transaction cost" in portfolio selection
Qiao, W.
;
Bu, Di
;
Gibberd, Alex J.
;
Liao, Yin
;
Wen, Ting
; …
- In:
Journal of empirical finance
73
(
2023
),
pp. 220-237
Persistent link: https://www.econbiz.de/10014477015
Saved in:
10
Oil
volatility
risk and expected stock returns
Christoffersen, Peter F.
;
Pan, Xuhui
- In:
Journal of banking & finance
95
(
2018
),
pp. 5-26
Persistent link: https://www.econbiz.de/10011966688
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