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~language:"eng"
~person:"Chen, Cathy W. S."
~person:"Hammoudeh, Shawkat"
~person:"McAleer, Michael"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Spillover effect"
~type_genre:"Article in journal"
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ARCH model
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Volatility
152
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95
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94
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Chen, Cathy W. S.
Hammoudeh, Shawkat
McAleer, Michael
Zakoïan, Jean-Michel
Kang, Sang Hoon
75
Gupta, Rangan
73
Ma, Feng
65
Bouri, Elie
61
Mensi, Walid
55
Tiwari, Aviral Kumar
54
Xuan Vinh Vo
53
Yoon, Seong-min
46
Hamori, Shigeyuki
39
Audretsch, David B.
36
Kumar, Dilip
35
McMillan, David G.
34
Lucey, Brian M.
33
Zhang, Yaojie
32
Serletis, Apostolos
30
Balli, Faruk
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Guesmi, Khaled
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Umar, Zaghum
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27
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24
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23
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23
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23
Antonakakis, Nikolaos
21
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21
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21
Floros, Christos
21
Hafner, Christian M.
21
Uddin, Mohammed Gazi Salah
21
Yarovaya, Larisa
21
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20
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Energy economics
16
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12
The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
7
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6
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ECONIS (ZBW)
130
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1
The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets : evidence from the pre- and post-COVID-19 periods
Tarchella, Salma
;
Khalfaoui, Rabeh
;
Hammoudeh, Shawkat
- In:
Research in international business and finance
67
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451553
Saved in:
2
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
3
Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets : a pre- and post-financial crisis analysis
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
3
,
pp. 1027-1103
Persistent link: https://www.econbiz.de/10014330173
Saved in:
4
Return-volatility relationships in cryptocurrency markets : evidence from asymmetric quantiles and non-linear ARDL approach
Karim, Muhammad Mahmudul
;
Ali, Md Hakim
;
Yarovaya, Larisa
; …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014470582
Saved in:
5
Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty : evidence from the quantile vector autoregression network
Khalfaoui, Rabeh
;
Hammoudeh, Shawkat
;
Rehman, Mohd Ziaur
- In:
Emerging markets review
54
(
2023
),
pp. 1-41
Persistent link: https://www.econbiz.de/10014337165
Saved in:
6
Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.
;
Hsu, Hsiao-Yun
;
Watanabe, Toshiaki
- In:
Finance research letters
51
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
Saved in:
7
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
8
What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Global finance journal
55
(
2023
),
pp. 1-35
Persistent link: https://www.econbiz.de/10014248585
Saved in:
9
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
10
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
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