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~language:"eng"
~person:"Andersen, Torben"
~person:"McMillan, David G."
~subject:"ARCH-Modell"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
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ARCH-Modell
Volatilität
Volatility
88
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84
Kapitaleinkommen
84
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65
Prognoseverfahren
65
Börsenkurs
63
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63
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Andersen, Torben
McMillan, David G.
Gupta, Rangan
162
Bouri, Elie
94
Ma, Feng
92
McAleer, Michael
92
Bahmani-Oskooee, Mohsen
74
Hammoudeh, Shawkat
69
Tiwari, Aviral Kumar
68
Kang, Sang Hoon
58
Mensi, Walid
54
Bollerslev, Tim
53
Xuan Vinh Vo
51
Wohar, Mark E.
50
Wang, Yudong
48
Caporale, Guglielmo Maria
45
Corbet, Shaen
44
Kumar, Dilip
44
Pierdzioch, Christian
43
Zhang, Yaojie
43
Demirer, Rıza
42
Lucey, Brian M.
42
Balcilar, Mehmet
40
Wei, Yu
40
Yoon, Seong-min
40
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39
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38
Hamori, Shigeyuki
38
Salisu, Afees A.
38
Asai, Manabu
37
Chevallier, Julien
37
Liang, Chao
37
Degiannakis, Stavros
36
Guesmi, Khaled
36
Chiang, Thomas C.
35
Fabozzi, Frank J.
35
Hegerty, Scott W.
35
Nguyen, Duc Khuong
35
Ji, Qiang
34
Roubaud, David
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Journal of econometrics
11
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9
The journal of finance : the journal of the American Finance Association
6
Journal of international financial markets, institutions & money
4
The European journal of finance
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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Journal of emerging market finance
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Journal of empirical finance
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ECONIS (ZBW)
94
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94
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1
Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
Korkusuz, Burak
;
McMillan, David G.
;
Kambouroudis, Dimos
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
4
,
pp. 1517-1537
Persistent link: https://www.econbiz.de/10014253685
Saved in:
2
Do artificial neural networks provide improved volatility forecasts : evidence from Asian markets
Sahiner, Mehmet
;
McMillan, David G.
;
Kambouroudis, Dimos
- In:
Journal of economics and finance : JEF
47
(
2023
)
3
,
pp. 723-762
Persistent link: https://www.econbiz.de/10014380680
Saved in:
3
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
4
Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher
;
McMillan, David G.
;
Kambouroudis, Dimos
- In:
The European journal of finance
29
(
2023
)
14
,
pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954
Saved in:
5
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
6
Oil price shocks and stock-bond correlation
Ziadat, Salem Adel
;
Al Rababa'a, Abdel Razzaq
;
Ur …
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014486268
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
8
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
9
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
10
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
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