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~isPartOf:"Department of Economics working paper series"
~isPartOf:"Emerging markets, finance and trade : EMFT"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Beljid, Makram"
~person:"Belkhouja, Mustapha"
~person:"Chang, Li-Han"
~person:"Conrad, Christian"
~person:"Gallo, Giampiero M."
~person:"Gupta, Rangan"
~person:"Nam, Kiseok"
~subject:"Markov chain"
~subject:"Share price"
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Search: subject_exact:"ARCH model"
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Markov chain
Share price
ARCH model
27
ARCH-Modell
27
Volatility
22
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22
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16
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16
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13
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Beljid, Makram
Belkhouja, Mustapha
Chang, Li-Han
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Salisu, Afees A.
3
Bouri, Elie
2
Bu, Ruijun
2
Fang, Libing
2
Haas, Markus
2
Karanasos, Menelaos
2
Ogbonna, Ahamuefula Ephraim
2
Segnon, Mawuli
2
Teräsvirta, Timo
2
Wang, Yudong
2
Wu, Chongfeng
2
Yin, Libo
2
Ali, Faek Menla
1
Amado, Cristina
1
Aragó Manzana, Vicent
1
Bauwens, Luc
1
BenSaïda, Ahmed
1
Bernardi, Mauro
1
Bianchi, Michele Leonardo
1
Blazsek, Szabolcs
1
Bouras, Christos
1
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Byun, Suk Joon
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Chen, Liming
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1
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1
Chow, William W.
1
Christou, Christina
1
Chu, Xiaojun
1
Coakley, Jerry
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Department of Economics working paper series
Emerging markets, finance and trade : EMFT
Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Economic modelling
2
Economics letters
2
International journal of forecasting
2
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2
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ECONIS (ZBW)
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1
Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014505054
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2
Climate risks and stock market volatility over a century in an emerging market economy : the case of South Africa
Wu, Kejin
;
Karmakar, Sayar
;
Gupta, Rangan
;
Pierdzioch, …
-
2023
Persistent link: https://www.econbiz.de/10014336437
Saved in:
3
Energy-related uncertainty and international stock market volatility
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014443108
Saved in:
4
Technological shocks and stock market volatility over a century : a GARCHMIDAS approach
Salisu, Afees A.
;
Demirer, Rıza
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014253794
Saved in:
5
Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?
Li, Haohua
;
Bouri, Elie
;
Gupta, Rangan
;
Fang, Libing
-
2023
Persistent link: https://www.econbiz.de/10013482253
Saved in:
6
Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10012800652
Saved in:
7
Real-time forecast of DSGE models with time-varying volatility in GARCH form
Ivashchenko, Sergey
;
Ҫekin, Semih Emre
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10012800653
Saved in:
8
Conventional and unconventional monetary policy rate uncertainty and stock market volatility : a forecasting perspective
Liu, Ruipeng
;
Gupta, Rangan
-
2021
Persistent link: https://www.econbiz.de/10012665261
Saved in:
9
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
10
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
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