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~subject:"Capital income"
~subject:"Germany"
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Search: subject_exact:"GARCH model"
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Gupta, Rangan
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9
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8
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7
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ECONIS (ZBW)
885
RePEc
1
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1
Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model
Zhao, Wandi
;
Gao, Yang
;
Wang, Mingjin
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013538992
Saved in:
2
Causality and volatility spillovers of banks' stock price returns on BSE Bankex returns
Subburayan, Baranidharan
- In:
The journal of corporate accounting & finance
35
(
2024
)
1
,
pp. 59-75
Persistent link: https://www.econbiz.de/10014472167
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
5
Explanatory power of realised moments
Rehman, Seema
;
Sharif, Saqib
;
Ullah, Wali
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
14
(
2024
)
1
,
pp. 22-42
Persistent link: https://www.econbiz.de/10014490919
Saved in:
6
The relationship between implied volatility and equity returns in South Africa
Peerbhai, Faeezah
;
Kunjal, Damien
;
Naidu, Delane D.
; …
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
14
(
2024
)
1
,
pp. 83-99
Persistent link: https://www.econbiz.de/10014490922
Saved in:
7
Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Gupta, Pankaj Kumar
;
Mittal, Prabhat
- In:
Global business & economics review
30
(
2024
)
1
,
pp. 56-71
Persistent link: https://www.econbiz.de/10014490993
Saved in:
8
Modelling stock market volatility using asymmetric GARCH models : evidence from BRICS stock markets
Siddiqui, Ayesha
;
Shamim, Mohd
- In:
Global business & economics review
30
(
2024
)
1
,
pp. 107-127
Persistent link: https://www.econbiz.de/10014491085
Saved in:
9
Forecasting VaRs via hybrid EVT with normal and non-normal filters : a comparative analysis from the Chinese stock market
Tong, Bin
;
Diao, Xundi
;
Li, Xiaoping
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014491148
Saved in:
10
Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu
;
Dufour, Alfonso
- In:
The quarterly review of economics and finance
94
(
2024
),
pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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