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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~person:"Bauwens, Luc"
~person:"Christensen, Bent Jesper"
~person:"Gallo, Giampiero M."
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Financial crises"
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ARCH model
Aktienmarkt
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ARCH-Modell
6
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4
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4
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3
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3
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Bauwens, Luc
Christensen, Bent Jesper
Gallo, Giampiero M.
Huang, Zhuo
4
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4
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4
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4
Wang, Yudong
4
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4
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4
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ECONIS (ZBW)
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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
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:
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
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:
5
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:
6
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
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