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~isPartOf:"Australian economic papers"
~isPartOf:"Economic modelling"
~isPartOf:"Emerging markets, finance and trade : EMFT"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Beljid, Makram"
~person:"Belkhouja, Mustapha"
~person:"Conrad, Christian"
~person:"Gallo, Giampiero M."
~person:"Gupta, Rangan"
~person:"Nam, Kiseok"
~subject:"Markov chain"
~subject:"Share price"
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Search: subject_exact:"ARCH model"
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Markov chain
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18
ARCH-Modell
18
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14
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14
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10
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10
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Beljid, Makram
Belkhouja, Mustapha
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Ma, Feng
4
Degiannakis, Stavros
3
Filis, George
3
Floros, Christos
3
Karanasos, Menelaos
3
Li, Yan
3
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2
Bouri, Elie
2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Zhang, Yaojie
2
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1
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Australian economic papers
Economic modelling
Emerging markets, finance and trade : EMFT
International review of financial analysis
Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Department of Economics working paper series
11
Economics letters
2
International journal of forecasting
2
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2
The North American journal of economics and finance : a journal of financial economics studies
2
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Discussion paper series / University of Heidelberg, Department of Economics
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1
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1
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1
Pacific-Basin finance journal
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Review of quantitative finance and accounting
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The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
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ECONIS (ZBW)
11
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1
Real-time forecast of DSGE models with time-varying volatility in GARCH form
Çekin, Semih Emre
;
Ivashchenko, Sergey
;
Gupta, Rangan
; …
- In:
International review of financial analysis
93
(
2024
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014543555
Saved in:
2
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
3
Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan
;
Huber, Florian
;
Piribauer, Philipp
- In:
International review of financial analysis
68
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
Saved in:
4
Geopolitical risks, returns, and volatility in emerging stock markets : evidence from a panel GARCH model
Bouras, Christos
;
Christou, Christina
;
Gupta, Rangan
; …
- In:
Emerging markets, finance and trade : EMFT
55
(
2019
)
8
,
pp. 1841-1856
Persistent link: https://www.econbiz.de/10012210912
Saved in:
5
Can volume predict Bitcoin returns and volatility? : a quantiles-based approach
Balcilar, Mehmet
;
Bouri, Elie
;
Gupta, Rangan
;
Roubaud, David
- In:
Economic modelling
64
(
2017
),
pp. 74-81
Persistent link: https://www.econbiz.de/10011756479
Saved in:
6
On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian
;
Stürmer, Karin
;
Rittler, Daniel
- In:
Journal of empirical finance
29
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
Saved in:
7
Correlations and volatility spillovers across commodity and stock markets : linking energies, food, and gold
Mensi, Walid
;
Beljid, Makram
;
Boubaker, Adel
;
Managi, …
- In:
Economic modelling
32
(
2013
),
pp. 15-22
Persistent link: https://www.econbiz.de/10009760820
Saved in:
8
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian
;
Karanasos, Menelaos
;
Zeng, Ning
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
Saved in:
9
Volatility estimation via hidden Markov models
Rossi, Alessandro
;
Gallo, Giampiero M.
- In:
Journal of empirical finance
13
(
2006
)
2
,
pp. 203-230
Persistent link: https://www.econbiz.de/10003296949
Saved in:
10
Modelling the impact of overnight surprises on intra-daily volatility
Gallo, Giampiero M.
- In:
Australian economic papers
40
(
2001
)
4
,
pp. 567-580
Persistent link: https://www.econbiz.de/10001982984
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