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~isPartOf:"Cardiff economics working papers"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~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"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~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:"article"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"ARCH model"
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Asymmetry
Capital income
Forecasting model
Gold
Statistical distribution
Theorie
ARCH model
20
ARCH-Modell
20
Volatility
13
Volatilität
13
Prognoseverfahren
8
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Aufsatz in Zeitschrift
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16
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16
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Wang, Tianyi
Gupta, Rangan
6
Ma, Feng
6
Paolella, Marc S.
6
Bollerslev, Tim
5
Zhang, Yaojie
5
Francq, Christian
4
Kang, Sang Hoon
4
Kok Haur Ng
4
McAleer, Michael
4
Mensi, Walid
4
Nonejad, Nima
4
Shi, Yanlin
4
Wu, Xinyu
4
Zakoïan, Jean-Michel
4
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3
Chang, Chia-Lin
3
Dufays, Arnaud
3
Gerlach, Richard
3
Hallin, Marc
3
Herwartz, Helmut
3
Ho, Kin-Yip
3
Huang, Zhuo
3
Karanasos, Menelaos
3
Molnár, Peter
3
Nam, Kiseok
3
Patton, Andrew J.
3
Qiao, Gaoxiu
3
Rombouts, Jeroen V. K.
3
Storti, Giuseppe
3
Teräsvirta, Timo
3
Todorova, Neda
3
Wang, Yudong
3
Aknouche, Abdelhakim
2
Al-Jarrah, Idries Mohammad Wanas
2
Al-Yahyaee, Khamis Hamed
2
Andersen, Torben
2
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Cardiff economics working papers
Economic modelling
Journal of econometrics
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
The North American journal of economics and finance : a journal of financial economics studies
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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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Energy economics
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Finance research letters
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Journal of applied econometrics
1
Journal of financial econometrics
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Oxford bulletin of economics and statistics
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ECONIS (ZBW)
16
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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
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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