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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:"Nam, Kiseok"
~subject:"Kapitaleinkommen"
~subject:"Markov chain"
~subject:"Share price"
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Search: subject_exact:"ARCH model"
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Kapitaleinkommen
Markov chain
Share price
ARCH model
11
ARCH-Modell
11
Capital income
8
Volatility
8
Volatilität
8
Aktienmarkt
7
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7
Börsenkurs
6
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4
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Estimation
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Asymmetric power ARCH
1
Australia
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Beljid, Makram
Belkhouja, Mustapha
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Degiannakis, Stavros
4
Floros, Christos
4
Karanasos, Menelaos
4
Li, Yan
4
Filis, George
3
Ma, Feng
3
Wei, Yu
3
Bee, Marco
2
Bu, Ruijun
2
Chan, Jennifer So Kuen
2
Fabozzi, Frank J.
2
Haas, Markus
2
Karoglou, Michail
2
Kim, Chang-jin
2
Kok Haur Ng
2
Lau, Chi Keung
2
Lee, Hsiang-Tai
2
Liang, Chao
2
McCauley, Joseph L.
2
Molnár, Peter
2
Morelli, David
2
Nonejad, Nima
2
Pyun, Chong-soo
2
Teräsvirta, Timo
2
Wang, Yudong
2
Wu, Chongfeng
2
Xue, Wenjun
2
Yarovaya, Larisa
2
Yfanti, Stavroula
2
Yin, Libo
2
Alhaj-Yaseen, Yaseen S.
1
Ali, Faek Menla
1
Ali, Md Hakim
1
Amado, Cristina
1
An, Haizhong
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
11
International journal of forecasting
4
Economic modelling
3
The North American journal of economics and finance : a journal of financial economics studies
3
Economics letters
2
Research in international business and finance
2
Applied economics
1
Defence and peace economics
1
Discussion paper series / University of Heidelberg, Department of Economics
1
Economics and Business Letters : EBL
1
Economics working paper
1
Emerging markets review
1
Finmap working paper
1
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
1
International journal of finance & economics : IJFE
1
International review of economics & finance : IREF
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economics and finance
1
Journal of international financial markets, institutions & money
1
Journal of multinational financial management
1
Journal of risk
1
Journal of risk and financial management : JRFM
1
Pacific-Basin finance journal
1
Review of quantitative finance and accounting
1
The European journal of finance
1
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
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:
2
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:
3
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:
4
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:
5
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:
6
Asymmetric and leptokurtic distribution for heteroscedastic asset returns : the S[U]-normal distribution
Choi, Pilsun
;
Nam, Kiseok
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 41-63
Persistent link: https://www.econbiz.de/10003692974
Saved in:
7
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:
8
The asymmetric reverting property of stock returns
Nam, Kiseok
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
6
(
2002
)
4
Persistent link: https://www.econbiz.de/10001790050
Saved in:
9
Asymmetric mean-reversion and contrarian profits : ANST-GARCH approach
Nam, Kiseok
;
Pyun, Chong-soo
;
Arize, Augustine Chuck
- In:
Journal of empirical finance
9
(
2002
)
5
,
pp. 563-588
Persistent link: https://www.econbiz.de/10001712022
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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