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~isPartOf:"Cardiff economics working papers"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~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:"Dimitrakopoulos, Stefanos"
~person:"Gallo, Giampiero M."
~person:"Haas, Markus"
~person:"Lahiani, Amine"
~person:"Wang, Tianyi"
~subject:"Asymmetry"
~subject:"Capital income"
~subject:"Forecasting model"
~subject:"Gold"
~subject:"Realized GARCH"
~subject:"Statistical distribution"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"ARCH model"
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Asymmetry
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Gold
Realized GARCH
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21
ARCH-Modell
21
Volatility
13
Volatilität
13
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Bauwens, Luc
Dimitrakopoulos, Stefanos
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Wang, Tianyi
Ma, Feng
6
Huang, Zhuo
5
Zhang, Yaojie
4
Dufays, Arnaud
3
Gerlach, Richard
3
Gupta, Rangan
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3
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3
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3
Maheu, John M.
3
Nam, Kiseok
3
Shi, Yanlin
3
Storti, Giuseppe
3
Todorova, Neda
3
Wang, Yudong
3
Aknouche, Abdelhakim
2
Amado, Cristina
2
Aragó Manzana, Vicent
2
Augustyniak, Maciej
2
Badescu, Alexandru
2
Bollerslev, Tim
2
Carnero, M. Angeles
2
Chan, Jennifer So Kuen
2
Chen Zhou
2
Chevallier, Julien
2
Christensen, Bent Jesper
2
Conrad, Christian
2
Corsi, Fulvio
2
Dark, Jonathan
2
Dijk, Dick van
2
Engle, Robert F.
2
Fałdziński, Marcin
2
Fiszeder, Piotr
2
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2
Ho, Kin-Yip
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Cardiff economics working papers
Economic modelling
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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
4
Economics letters
2
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The econometrics journal
2
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2
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1
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Finance research letters
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Journal of financial econometrics
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Socio-economic planning sciences : the international journal of public sector decision-making
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ECONIS (ZBW)
19
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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
Forecasting transaction counts with integer-valued GARCH models
Aknouche, Abdelhakim
;
Almohaimeed, Bader S.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 529-539
Persistent link: https://www.econbiz.de/10013453761
Saved in:
3
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:
4
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:
5
Bayesian analysis of periodic asymmetric power GARCH models
Aknouche, Abdelhakim
;
Demmouche, Nacer
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012299605
Saved in:
6
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:
7
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
8
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:
9
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:
10
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
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