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~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:"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:"Autocorrelation"
~subject:"Capital income"
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Search: subject_exact:"ARCH model"
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Autocorrelation
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ARCH model
16
ARCH-Modell
16
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10
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10
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7
Kapitaleinkommen
7
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7
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6
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Wang, Tianyi
Huang, Zhuo
3
Karanasos, Menelaos
3
Nam, Kiseok
3
Chan, Jennifer So Kuen
2
Christensen, Bent Jesper
2
Gupta, Rangan
2
Kim, Chang-jin
2
Kok Haur Ng
2
Liang, Fang
2
Min, Hong-ghi
2
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Wang, Yudong
2
Zhu, Jie
2
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1
Ahmed, Abdullahi Dahir
1
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1
Amado, Cristina
1
Anatolyev, Stanislav
1
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1
Aragó Manzana, Vicent
1
Arize, Augustine Chuck
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Arouri, Mohamed
1
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Babikir, Ali
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Bae, Jinho
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1
Caglayan, Mustafa O.
1
Cavaliere, Giuseppe
1
Chang, Kuang-Liang
1
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1
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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
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
CFS working paper series
5
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
LIDAM discussion paper CORE
2
Advanced Studies in Theoretical and Applied Econometrics
1
Australian economic papers
1
CORE discussion paper : DP
1
CORE discussion papers : DP
1
Cardiff economics working papers
1
Discussion paper / Tinbergen Institute
1
Discussion papers / UCL, Département des Sciences Economiques
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quantitative Finanzwirtschaft : Schriftenreihe zu Statistik und Ökonometrie
1
Research paper series / Swiss Finance Institute
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of applied business research
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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
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:
8
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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