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~isPartOf:"Cardiff economics working papers"
~isPartOf:"Economic modelling"
~isPartOf:"Energy economics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Quantitative finance"
~isPartOf:"Research paper series / Swiss Finance Institute"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Bauwens, Luc"
~person:"Gallo, Giampiero M."
~person:"Haas, Markus"
~person:"Lahiani, Amine"
~person:"Wang, Tianyi"
~subject:"Asymmetry"
~subject:"Capital income"
~subject:"Forecasting model"
~subject:"Gold"
~subject:"Statistical distribution"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"ARCH model"
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| 19 applied filters
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Asymmetry
Capital income
Forecasting model
Gold
Statistical distribution
Theorie
ARCH model
17
ARCH-Modell
17
Volatility
11
Volatilität
11
Prognoseverfahren
9
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6
Time series analysis
6
Zeitreihenanalyse
6
Aktienmarkt
5
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Theory
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Schätzung
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Forecasting
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Realized GARCH
2
Risikomaß
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2
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2
Structural breaks
2
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2005-2010
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Adaptive Lasso
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14
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14
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Wang, Tianyi
Ma, Feng
19
Zhang, Yaojie
10
Wang, Yudong
6
Wei, Yu
6
Liang, Chao
5
Liu, Jing
5
Todorova, Neda
5
Wu, Chongfeng
5
Bouri, Elie
4
Chevallier, Julien
4
Gupta, Rangan
4
Huang, Dengshi
4
Nguyen, Duc Khuong
4
Arouri, Mohamed
3
Chang, Kuang-liang
3
Fałdziński, Marcin
3
Fiszeder, Piotr
3
Gerlach, Richard
3
Hammoudeh, Shawkat
3
Huang, Zhuo
3
Karanasos, Menelaos
3
Lai, Xiaodong
3
Lin, Boqiang
3
Lu, Xinjie
3
Molnár, Peter
3
Nam, Kiseok
3
Nonejad, Nima
3
Qu, Hui
3
Sadorsky, Perry A.
3
Shi, Yanlin
3
Storti, Giuseppe
3
Tiwari, Aviral Kumar
3
Yin, Libo
3
Ahmed, Abdullahi Dahir
2
Aknouche, Abdelhakim
2
Al-Freedi, Ajab
2
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Cardiff economics working papers
Economic modelling
Energy economics
Journal of empirical finance
Quantitative finance
Research paper series / Swiss Finance Institute
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The econometrics journal
2
The journal of applied business research
2
Australian economic papers
1
China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University
1
Econometric reviews
1
Econometrics : open access journal
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Finance research letters
1
Journal of applied econometrics
1
Journal of financial econometrics
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Oxford bulletin of economics and statistics
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Socio-economic planning sciences : the international journal of public sector decision-making
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ECONIS (ZBW)
14
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14
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1
The effects of economic uncertainty on financial volatility : a comprehensive investigation
Tong, Chen
;
Huang, Zhuo
;
Wang, Tianyi
;
Zhang, Cong
- In:
Journal of empirical finance
73
(
2023
),
pp. 369-389
Persistent link: https://www.econbiz.de/10014477040
Saved in:
2
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:
3
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:
4
Adaptive Lasso for vector Multiplicative Error Models
Cattivelli, Luca
;
Gallo, Giampiero M.
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 255-274
Persistent link: https://www.econbiz.de/10012194865
Saved in:
5
On the asymmetric impact of macro-variables on volatility
Amendola, Alessandra
;
Candila, Vincenzo
;
Gallo, Giampiero M.
- In:
Economic modelling
76
(
2019
),
pp. 135-152
Persistent link: https://www.econbiz.de/10012198276
Saved in:
6
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:
7
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:
8
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:
9
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
10
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed
;
Lahiani, Amine
;
Lévy, Aldo
;
Nguyen, …
- In:
Energy economics
34
(
2012
)
1
,
pp. 283-293
Persistent link: https://www.econbiz.de/10009618848
Saved in:
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