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~isPartOf:"Emerging markets, finance and trade : EMFT"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Beljid, Makram"
~person:"Belkhouja, Mustapha"
~person:"Chang, Li-Han"
~person:"Conrad, Christian"
~person:"Gallo, Giampiero M."
~person:"Gupta, Rangan"
~person:"Nam, Kiseok"
~subject:"Markov chain"
~subject:"Share price"
~subject:"Theory"
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Markov chain
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ARCH model
9
ARCH-Modell
9
Volatility
7
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7
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6
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6
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5
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Beljid, Makram
Belkhouja, Mustapha
Chang, Li-Han
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Haas, Markus
3
Aknouche, Abdelhakim
2
Bu, Ruijun
2
Dimitrakopoulos, Stefanos
2
Fabozzi, Frank J.
2
Fałdziński, Marcin
2
Fiszeder, Piotr
2
Herwartz, Helmut
2
Karanasos, Menelaos
2
Kiliç, Rehim
2
Kim, Young Shin
2
Maheu, John M.
2
Molnár, Peter
2
Payá, Ivan
2
Račev, Svetlozar T.
2
Teräsvirta, Timo
2
Wang, Yudong
2
Wu, Chongfeng
2
Yin, Libo
2
Ahmad, Yamin S.
1
Ali, Faek Menla
1
Almohaimeed, Bader S.
1
Amado, Cristina
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Aragó Manzana, Vicent
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1
Bernardi, Mauro
1
Bianchi, Michele Leonardo
1
Billio, Monica
1
Blazsek, Szabolcs
1
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1
Bouras, Christos
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Emerging markets, finance and trade : EMFT
Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Department of Economics working paper series
11
International journal of forecasting
3
Discussion paper series / University of Heidelberg, Department of Economics
2
Economic modelling
2
Economics letters
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International review of financial analysis
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1
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1
Journal of econometrics
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Journal of economics and finance
1
Journal of multinational financial management
1
Journal of risk
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Journal of risk and financial management : JRFM
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KOF working papers
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Oxford bulletin of economics and statistics
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Pacific-Basin finance journal
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Review of quantitative finance and accounting
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Socio-economic planning sciences : the international journal of public sector decision-making
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The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
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The journal of real estate finance and economics
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University of Heidelberg Department of Economics Discussion Paper
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ECONIS (ZBW)
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1
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
2
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
3
Geopolitical risks, returns, and volatility in emerging stock markets : evidence from a panel GARCH model
Bouras, Christos
;
Christou, Christina
;
Gupta, Rangan
; …
- In:
Emerging markets, finance and trade : EMFT
55
(
2019
)
8
,
pp. 1841-1856
Persistent link: https://www.econbiz.de/10012210912
Saved in:
4
On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian
;
Stürmer, Karin
;
Rittler, Daniel
- In:
Journal of empirical finance
29
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
Saved in:
5
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian
;
Karanasos, Menelaos
;
Zeng, Ning
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
Saved in:
6
Asymmetric and leptokurtic distribution for heteroscedastic asset returns : the S[U]-normal distribution
Choi, Pilsun
;
Nam, Kiseok
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 41-63
Persistent link: https://www.econbiz.de/10003692974
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:
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