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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:"Wang, Tianyi"
~subject:"Capital income"
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Search: subject_exact:"ARCH model"
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Capital income
ARCH model
15
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15
Volatility
9
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9
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7
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7
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Lahiani, Amine
Wang, Tianyi
Karanasos, Menelaos
3
Nam, Kiseok
3
Chan, Jennifer So Kuen
2
Christensen, Bent Jesper
2
Gupta, Rangan
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Huang, Zhuo
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Kok Haur Ng
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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
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative Finanzwirtschaft : Schriftenreihe zu Statistik und Ökonometrie
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
6
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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
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:
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 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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