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~isPartOf:"Econometric Institute research papers"
~person:"Andersen, Torben"
~person:"Chang, Chia-Lin"
~person:"Liao, Yin"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Capital income"
~subject:"Measurement"
~subject:"Prognoseverfahren"
~subject:"Theory"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Search: subject:"Volatility"
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ARCH model
Capital income
Measurement
Prognoseverfahren
Theory
Volatility
38
Volatilität
38
ARCH-Modell
21
Spillover effect
16
Spillover-Effekt
16
USA
16
United States
16
Estimation
12
Schätzung
12
Oil price
10
Spot market
10
Spotmarkt
10
Ölpreis
10
Capital market returns
9
Commodity derivative
9
Kapitalmarktrendite
9
Rohstoffderivat
9
Futures
7
Index derivative
7
Indexderivat
7
Kapitaleinkommen
7
Welt
7
World
7
Aktienindex
5
Forecasting model
5
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Risk measure
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Stock index
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Börsenkurs
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Portfolio selection
4
Portfolio-Management
4
Preis
4
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4
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4
Taiwan
4
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3
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26
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Graue Literatur
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Arbeitspapier
26
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26
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26
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Andersen, Torben
Chang, Chia-Lin
Liao, Yin
Medeiros, Marcelo C.
McAleer, Michael
50
Asai, Manabu
9
Tansuchat, Roengchai
6
Chen, Chi-chung
4
Franses, Philip Hans
3
Allen, David E.
2
Bodeutsch, Denice
2
Caporin, Massimiliano
2
Chen, Ping-yu
2
Dijk, Dick van
2
Hafner, Christian M.
2
Hammoudeh, Shawkat
2
Hammoudeh, Shawkat M.
2
Martinet, Guillaume Gaetan
2
Powell, Robert
2
Pérez Amaral, Teodosio
2
Roengchai Tansuchat
2
Singh, Abhay Kumar
2
Yuan, Yuan
2
Bannouh, Karim
1
Chan, Felix
1
Chang, Chia-Ling
1
Chen, Ping-Yu
1
Chu, LanFen
1
Da Veiga, Bernardo
1
Hakim, Abdul
1
Herwartz, Helmut
1
Hsu, Hui-Kuang
1
Hsu, Hui-kuang
1
Huang, Jian
1
Ilomäki, Jukka
1
Jimenez-Martin, Juan-Angel
1
Jiménez-Martín, Juan-Ángel
1
Khamkaew, Thanchanok
1
Kobayashi, Masahito
1
Laurila, Hannu
1
Leij, Marco van der
1
Lim, Christine
1
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Econometric Institute research papers
Discussion paper / Tinbergen Institute
14
Working paper
12
Working paper / National Bureau of Economic Research, Inc.
10
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
9
CFS working paper series
4
CREATES research paper
4
Working papers / Financial Institutions Center
4
Financial Institutions Center
3
Global COE Hi-Stat discussion paper series
2
NCER working paper series
2
Texto para discussão
2
CAMA working paper series
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Department of Economics discussion paper series / University of Oxford
1
Economics discussion papers
1
Technical working paper / National Bureau of Economic Research
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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1
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1
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ECONIS (ZBW)
26
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1
Realized stochastic
volatility
with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
2
The impact of China on stock return and
volatility
Chang, Chia-Lin
;
Hsu, Hui-Kuang
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10010354381
Saved in:
3
Long run returns predictability and
volatility
with moving averages
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920696
Saved in:
4
Latent
volatility
granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2018
Persistent link: https://www.econbiz.de/10011863536
Saved in:
5
Volatility
spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
6
Volatility
spillovers for spot, futures, and ETF prices in Energy and Agriculture
Chang, Chia-Lin
;
Liu, Chia-Ping
;
McAleer, Michael
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541148
Saved in:
7
Modelling and testing
volatility
spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin
;
McAleer, Michael
;
Tian, Jiarong
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
Saved in:
8
An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Chien-Hsun
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
Saved in:
9
Modelling the effects of oil prices on global fertilizer prices and
volatility
Chen, Ping-Yu
;
Chang, Chia-Lin
;
Chen, Chi-chung
; …
-
2013
Persistent link: https://www.econbiz.de/10010354373
Saved in:
10
Modelling long memory
volatility
in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619551
Saved in:
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