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~isPartOf:"Applied economics letters"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Commodity derivative"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Aktienmarkt
Commodity derivative
Volatility
Markov chain
39
Markov-Kette
39
Estimation
14
Schätzung
14
Theorie
8
Theory
8
Volatilität
8
Capital income
6
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6
ARCH-Modell
5
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Multivariate Analyse
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Aufsatz in Zeitschrift
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Chevallier, Julien
2
Ma, Feng
2
Azhar Mohamad
1
Caputo, Rodrigo
1
Chang, Kuang-Liang
1
Chen, Miao-Ling
1
Gatumel, Mathieu
1
Goutte, Stéphane
1
Hsu, Ching-Chi
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Ielpo, Florian
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Inani, Sarveshwar Kumar
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Kim, Young Min
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Lee, Seojin
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Li, Ming-yuan Leon
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Li, Pan
1
Li, Tao
1
Lin, Hsiou-wei William
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Liu, Li
1
Liu, Zhichao
1
Lu, Xinjie
1
Ordóñez, Félix
1
Wei, Yu
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Applied economics letters
Energy economics
37
Economic modelling
25
Applied economics
22
Finance research letters
21
Journal of empirical finance
21
Journal of econometrics
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
International review of financial analysis
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
International journal of forecasting
17
The North American journal of economics and finance : a journal of financial economics studies
17
Quantitative finance
14
International review of economics & finance : IREF
13
Economics letters
12
International journal of theoretical and applied finance
12
Journal of banking & finance
11
Journal of forecasting
11
Review of quantitative finance and accounting
11
The European journal of finance
11
Computational economics
9
Journal of economic dynamics & control
9
Journal of mathematical finance
9
The journal of futures markets
9
Econometric reviews
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
International journal of finance & economics : IJFE
8
Applied financial economics
7
Applied mathematical finance
7
Journal of risk and financial management : JRFM
7
Research in international business and finance
7
International Journal of Financial Studies : open access journal
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Econometrics : open access journal
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
5
International journal of economics and finance
5
International journal of financial engineering
5
Annals of finance
4
Econometric theory
4
Emerging markets review
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ECONIS (ZBW)
10
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1
Wars, cartels and COVID-19 : regime switching in commodity prices
Caputo, Rodrigo
;
Ordóñez, Félix
- In:
Applied economics letters
31
(
2024
)
4
,
pp. 338-345
Persistent link: https://www.econbiz.de/10014468840
Saved in:
2
Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility
Azhar Mohamad
;
Inani, Sarveshwar Kumar
- In:
Applied economics letters
30
(
2023
)
19
,
pp. 2749-2757
Persistent link: https://www.econbiz.de/10014368575
Saved in:
3
Volatility spillovers across financial markets : the role of oil price uncertainty
Lee, Seojin
;
Kim, Young Min
- In:
Applied economics letters
30
(
2023
)
17
,
pp. 2342-2347
Persistent link: https://www.econbiz.de/10014365776
Saved in:
4
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
5
Asymmetric effect of advertising on the Chinese stock market
Hsu, Ching-Chi
;
Chen, Miao-Ling
- In:
Applied economics letters
26
(
2019
)
2
,
pp. 157-162
Persistent link: https://www.econbiz.de/10012204156
Saved in:
6
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
7
Detecting jumps and regime switches in international stock markets returns
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1011-1019
Persistent link: https://www.econbiz.de/10011312229
Saved in:
8
Forecasting realized range volatility : a regime-switching approach
Ma, Feng
;
Liu, Li
;
Liu, Zhichao
;
Wei, Yu
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1361-1365
Persistent link: https://www.econbiz.de/10011380188
Saved in:
9
Understanding momentum in commodity markets
Chevallier, Julien
;
Gatumel, Mathieu
;
Ielpo, Florian
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
Saved in:
10
Estimating value-a-risk via Markov switching ARCH models : an empirical study on stock index returns
Li, Ming-yuan Leon
;
Lin, Hsiou-wei William
- In:
Applied economics letters
11
(
2004
)
11
,
pp. 679-691
Persistent link: https://www.econbiz.de/10002195609
Saved in:
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