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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Bauwens, Luc"
~person:"Gallo, Giampiero M."
~person:"Haas, Markus"
~subject:"ARCH-Modell"
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Ma, Feng
5
Huang, Zhuo
4
Iglesias, Emma M.
4
Jawadi, Fredj
4
Karanasos, Menelaos
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Economic modelling
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
CORE discussion papers : DP
15
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6
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Skew-normal mixture and Markov-switching GARCH processes
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10009515142
Saved in:
5
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:
6
Volatility components and long memory-effects revisited
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
11
(
2007
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009513029
Saved in:
7
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:
8
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 211-250
Persistent link: https://www.econbiz.de/10002214262
Saved in:
9
A new approach to Markov-switching GARCH models
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
4
,
pp. 493-530
Persistent link: https://www.econbiz.de/10002349828
Saved in:
10
Bayesian option pricing using asymmetric GARCH models
Bauwens, Luc
;
Lubrano, Michel
- In:
Journal of empirical finance
9
(
2002
)
3
,
pp. 287-319
Persistent link: https://www.econbiz.de/10001705439
Saved in:
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