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~isPartOf:"Cardiff economics working papers"
~isPartOf:"China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Research paper series / Swiss Finance Institute"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"The journal of applied business research"
~person:"Bauwens, Luc"
~person:"Gallo, Giampiero M."
~person:"Haas, Markus"
~person:"Lahiani, Amine"
~person:"Wang, Tianyi"
~subject:"Capital income"
~subject:"Gold"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"ARCH model"
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18
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18
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12
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8
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7
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Wang, Tianyi
Huang, Zhuo
3
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3
Nam, Kiseok
3
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Cardiff economics working papers
China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University
Economic modelling
Journal of empirical finance
Research paper series / Swiss Finance Institute
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The journal of applied business research
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3
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2
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ECONIS (ZBW)
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1
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
2
Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing
;
Liang, Fang
;
Wang, Tianyi
;
Huang, Zhuo
- In:
Economic modelling
87
(
2020
),
pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
Saved in:
3
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
4
Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Liu, Hao
;
Shen, Shihan
;
Wang, Tianyi
;
Huang, Zhuo
- In:
China economic journal : the official journal of the …
9
(
2016
)
2
,
pp. 140-153
Persistent link: https://www.econbiz.de/10011585334
Saved in:
5
Is gold a hedge against inflation? : new evidence from a nonlinear ARDL approach
Hoang, Thi Hong Van
;
Lahiani, Amine
;
Heller, David
- In:
Economic modelling
54
(
2016
),
pp. 54-66
Persistent link: https://www.econbiz.de/10011641377
Saved in:
6
World gold prices and stock returns in China : insights for hedging and diversification strategies
Arouri, Mohamed
;
Lahiani, Amine
;
Nguyen, Duc Khuong
- In:
Economic modelling
44
(
2015
),
pp. 273-282
Persistent link: https://www.econbiz.de/10011326226
Saved in:
7
Understanding return and volatility spillovers among major agricultural commodities
Lahiani, Amine
;
Nguyen, Duc Khuong
;
Vo, Thierry
- In:
The journal of applied business research
29
(
2013
)
6
,
pp. 1781-1790
Persistent link: https://www.econbiz.de/10010229476
Saved in:
8
A component GARCH model with time varying weights
Bauwens, Luc
;
Storti, Giuseppe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
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:
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