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~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:"Min, Hong-ghi"
~person:"Nielsen, Morten Ørregaard"
~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
19
ARCH-Modell
19
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13
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13
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10
Aktienmarkt
8
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8
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7
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Min, Hong-ghi
Nielsen, Morten Ørregaard
Wang, Tianyi
Karanasos, Menelaos
3
Nam, Kiseok
3
Chan, Jennifer So Kuen
2
Christensen, Bent Jesper
2
Gupta, Rangan
2
Huang, Zhuo
2
Kim, Chang-jin
2
Kok Haur Ng
2
Liang, Fang
2
Wang, Yudong
2
Zhu, Jie
2
Agosto, Arianna
1
Ahmed, Abdullahi Dahir
1
Ali, Faek Menla
1
Amado, Cristina
1
Anatolyev, Stanislav
1
Antoniou, Antonios
1
Aragó Manzana, Vicent
1
Arize, Augustine Chuck
1
Arouri, Mohamed
1
Aslanidis, Nektarios
1
Babikir, Ali
1
Bae, Jinho
1
Balcilar, Mehmet
1
Baur, Dirk G.
1
Bee, Marco
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BenSaïda, Ahmed
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1
Caglayan, Mustafa O.
1
Cavaliere, Giuseppe
1
Chang, Kuang-Liang
1
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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
Queen's Economics Department working paper
2
Advanced Studies in Theoretical and Applied Econometrics
1
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1
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CORE discussion papers : DP
1
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1
Discussion paper / Tinbergen Institute
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative Finanzwirtschaft : Schriftenreihe zu Statistik und Ökonometrie
1
Research paper series / Swiss Finance Institute
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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)
11
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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
Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis
Kim, Hyun Seok
;
Min, Hong-ghi
;
McDonald, Judith Ann
- In:
Economic modelling
59
(
2016
),
pp. 9-22
Persistent link: https://www.econbiz.de/10011647590
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
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
- In:
Economic modelling
49
(
2015
),
pp. 407-418
Persistent link: https://www.econbiz.de/10011439598
Saved in:
7
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:
8
Determinants of stock market comovements among US and emerging economies during the US financial crisis
Hwang, Eugene
;
Min, Hong-ghi
;
Kim, Bonghan
;
Kim, Hyeongwoo
- In:
Economic modelling
35
(
2013
),
pp. 338-348
Persistent link: https://www.econbiz.de/10010259814
Saved in:
9
Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 460-470
Persistent link: https://www.econbiz.de/10009267288
Saved in:
10
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:
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