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~isPartOf:"Journal of empirical finance"
~isPartOf:"Pacific-Basin finance journal"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Aragó Manzana, Vicent"
~person:"Beljid, Makram"
~person:"Belkhouja, Mustapha"
~person:"Bianchi, Michele Leonardo"
~person:"Conrad, Christian"
~person:"Gallo, Giampiero M."
~person:"Gupta, Rangan"
~person:"Nam, Kiseok"
~subject:"Electricity price"
~subject:"Markov chain"
~subject:"Share price"
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Search: subject_exact:"ARCH model"
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Electricity price
Markov chain
Share price
ARCH model
10
ARCH-Modell
10
Capital income
7
Kapitaleinkommen
7
Volatility
6
Volatilität
6
Aktienmarkt
4
Estimation
4
Markov-Kette
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4
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Stochastischer Prozess
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Time series analysis
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Zeitreihenanalyse
2
Asymmetric power ARCH
1
Australia
1
Australien
1
DCC-MIDAS
1
EU countries
1
EU-Staaten
1
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Aragó Manzana, Vicent
Beljid, Makram
Belkhouja, Mustapha
Bianchi, Michele Leonardo
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Bu, Ruijun
2
Haas, Markus
2
Karanasos, Menelaos
2
Teräsvirta, Timo
2
Wang, Yudong
2
Wu, Chongfeng
2
Yin, Libo
2
Ali, Faek Menla
1
Amado, Cristina
1
An, Yunbi
1
Bauwens, Luc
1
BenSaïda, Ahmed
1
Bernardi, Mauro
1
Blazsek, Szabolcs
1
Brownlees, Christian
1
Bunn, Derek W.
1
Byun, Suk Joon
1
Chan, Jennifer So Kuen
1
Chang, Hui-Wen
1
Chang, Li-Han
1
Chen Zhou
1
Cheng, Hang
1
Cheng, Hung-Wen
1
Cheng, Jie
1
Choe, Kwang-il
1
Choi, Pilsun
1
Chou, Robin K.
1
Chourdakis, Kyriakos
1
Chow, William W.
1
Coakley, Jerry
1
Constantinou, Nick
1
Davidson, James E. H.
1
Degiannakis, Stavros
1
Dong, Yingjie
1
Dotsis, George
1
Díaz-Hernández, Adán
1
Ericsson, Jan
1
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Journal of empirical finance
Pacific-Basin finance journal
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Department of Economics working paper series
8
Economic modelling
2
Economics letters
2
International journal of forecasting
2
International review of financial analysis
2
Research in international business and finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Applied economics
1
Australian economic papers
1
Defence and peace economics
1
Discussion paper series / University of Heidelberg, Department of Economics
1
Economics and Business Letters : EBL
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Emerging markets review
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Emerging markets, finance and trade : EMFT
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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Journal of economics and finance
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Journal of risk and financial management : JRFM
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Quantitative finance
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Review of quantitative finance and accounting
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The European journal of finance
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The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
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ECONIS (ZBW)
7
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1
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:
2
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
3
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:
4
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique
;
Floros, Christos
;
Aragó Manzana, Vicent
- In:
Journal of empirical finance
28
(
2014
),
pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
Saved in:
5
Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il
;
Choi, Pilsun
;
Nam, Kiseok
;
Vahid, Farshid
- In:
Pacific-Basin finance journal
20
(
2012
)
2
,
pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
Saved in:
6
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:
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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