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~isPartOf:"Australian economic papers"
~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:"Li, Yan"
~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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15
ARCH-Modell
15
Volatility
12
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12
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11
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11
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Beljid, Makram
Belkhouja, Mustapha
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Li, Yan
Nam, Kiseok
Degiannakis, Stavros
3
Filis, George
3
Floros, Christos
3
Karanasos, Menelaos
3
Bu, Ruijun
2
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2
Karoglou, Michail
2
Lau, Chi Keung
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
Wu, Chongfeng
2
Yfanti, Stavroula
2
Yin, Libo
2
Alhaj-Yaseen, Yaseen S.
1
Ali, Faek Menla
1
Amado, Cristina
1
An, Haizhong
1
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1
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1
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1
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1
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1
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Australian economic papers
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
8
Economic modelling
2
Economics letters
2
Finance research letters
2
International journal of forecasting
2
Research in international business and finance
2
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2
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1
Discussion paper series / University of Heidelberg, Department of Economics
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Economics and Business Letters : EBL
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Emerging markets review
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
1
Journal of economics and finance
1
Journal of forecasting
1
Journal of international financial markets, institutions & money
1
Journal of risk and financial management : JRFM
1
Pacific-Basin finance journal
1
Review of quantitative finance and accounting
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The European journal of finance
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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
Long-term adjusted volatility : powerful capability in forecasting stock market returns
Qiu, Rui
;
Liu, Jing
;
Li, Yan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248427
Saved in:
2
A volatility model based on adaptive expectations : an improvement on the rational expectations model
Yao, Yuan
;
Zhao, Yang
;
Li, Yan
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013431245
Saved in:
3
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:
4
Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information
Liang, Chao
;
Li, Yan
;
Ma, Feng
;
Wei, Yu
- In:
International review of financial analysis
75
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012804153
Saved in:
5
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:
6
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:
7
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:
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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