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~language:"ara"
~language:"eng"
~person:"Caporale, Guglielmo Maria"
~person:"Nguyen, Duc Khuong"
~subject:"ARCH model"
~type_genre:"Article in journal"
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ARCH model
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110
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77
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71
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71
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70
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Caporale, Guglielmo Maria
Nguyen, Duc Khuong
Ma, Feng
63
McAleer, Michael
49
Gupta, Rangan
42
Bouri, Elie
34
Zhang, Yaojie
32
Kumar, Dilip
31
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28
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23
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23
Hafner, Christian M.
21
Wu, Xinyu
20
Zakoïan, Jean-Michel
20
Floros, Christos
19
Teräsvirta, Timo
19
Caporin, Massimiliano
18
Chiang, Thomas C.
18
Guesmi, Khaled
18
Mensi, Walid
18
Xuan Vinh Vo
18
Brooks, Robert
17
Chevallier, Julien
17
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17
Karanasos, Menelaos
17
Lucey, Brian M.
17
Malik, Farooq
17
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16
Huang, Zhuo
16
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16
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Energy economics
5
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4
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3
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2
Finance research letters
2
Research in international business and finance
2
Applied economics
1
Economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
European business review : EBR ; the official journal of the International Management Centres, Europe
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International journal of monetary economics and finance
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ECONIS (ZBW)
34
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34
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1
Dynamic volatility spillover effects between oil and agricultural products
Pick Schen Yip
;
Brooks, Robert
;
Do, Hung Xuan
;
Nguyen, …
- In:
International review of financial analysis
69
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012316894
Saved in:
2
Volatility persistence in the Russian stock market
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Finance research letters
32
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012430826
Saved in:
3
Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Caporale, Guglielmo Maria
;
Zekokh, Timur
- In:
Research in international business and finance
48
(
2019
),
pp. 143-155
Persistent link: https://www.econbiz.de/10012135859
Saved in:
4
Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
- In:
Research in international business and finance
46
(
2018
),
pp. 516-527
Persistent link: https://www.econbiz.de/10011983723
Saved in:
5
The shifting dependence dynamics between the G7 stock markets
BenSaïda, Ahmed
;
Boubaker, Sabri
;
Nguyen, Duc Khuong
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 801-812
Persistent link: https://www.econbiz.de/10011907944
Saved in:
6
Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania
;
Nguyen, Duc Khuong
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
11
,
pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
Saved in:
7
International portfolio flows and exchange rate volatility in emerging Asian markets
Caporale, Guglielmo Maria
;
Ali, Faek Menla
;
Spagnolo, Fabio
- In:
Journal of international money and finance
76
(
2017
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011788040
Saved in:
8
Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
- In:
Finance research letters
21
(
2017
),
pp. 140-143
Persistent link: https://www.econbiz.de/10011807527
Saved in:
9
On the robustness of week-day effect to error distributional assumption : international evidence
Boubaker, Sabri
;
Essaddam, Naceur
;
Nguyen, Duc Khuong
; …
- In:
Journal of international financial markets, …
47
(
2017
),
pp. 114-130
Persistent link: https://www.econbiz.de/10011892258
Saved in:
10
Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
- In:
International economics : a journal published by CEPII …
150
(
2017
),
pp. 1-18
Persistent link: https://www.econbiz.de/10011793787
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