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~language:"eng"
~person:"Chevallier, Julien"
~person:"Kerstan, Friedhelm"
~person:"Lien, Da-hsiang Donald"
~person:"Wen, Fenghua"
~subject:"ARCH-Modell"
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Search: Erdölpreis OR Nahrungsmittelpreise OR Rohstoff OR Rohstoffpreis
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ARCH-Modell
Hedging
94
Theorie
64
Theory
64
Commodity derivative
48
Rohstoffderivat
48
Volatility
46
Volatilität
46
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43
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41
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Chevallier, Julien
Kerstan, Friedhelm
Lien, Da-hsiang Donald
Wen, Fenghua
McAleer, Michael
42
Ma, Feng
36
Chang, Chia-Lin
34
Hammoudeh, Shawkat
17
Nguyen, Duc Khuong
15
Bouri, Elie
14
Wei, Yu
14
Gupta, Rangan
13
Ji, Qiang
13
Manera, Matteo
13
Serletis, Apostolos
13
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13
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12
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11
Mensi, Walid
11
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11
Kang, Sang Hoon
10
Tansuchat, Roengchai
10
Guesmi, Khaled
9
Nicolini, Marcella
9
Roengchai Tansuchat
9
Degiannakis, Stavros
8
Liu, Jing
8
Salisu, Afees A.
8
Yoon, Seong-min
8
Elder, John
7
Kočenda, Evžen
7
Lahiani, Amine
7
Lai, Yu-Sheng
7
Lee, Hsiang-Tai
7
Liang, Chao
7
Lu, Xinjie
7
Nonejad, Nima
7
Sadorsky, Perry A.
7
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6
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6
Dark, Jonathan
6
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Energy economics
7
Applied economics
3
The journal of futures markets
2
Applied economics letters
1
Applied financial economics
1
Emerging markets, finance and trade : EMFT
1
Finance research letters
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of forecasting
1
Research in international business and finance
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
24
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1
A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng
;
Wahab, M. I. M.
;
Chevallier, Julien
;
Li, Ziyang
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 60-75
Persistent link: https://www.econbiz.de/10013465762
Saved in:
2
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
3
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang
;
Li, Steven
;
Wen, Fenghua
- In:
Energy economics
83
(
2019
),
pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
Saved in:
4
Forecasting realized volatility of crude oil futures with equity market uncertainty
Wen, Fenghua
;
Zhao, Yupei
;
Zhang, Minzhi
;
Hu, Chunyang
- In:
Applied economics
51
(
2019
)
59
,
pp. 6411-6427
Persistent link: https://www.econbiz.de/10012197349
Saved in:
5
Volatility spillovers in commodity markets
Chevallier, Julien
;
Ielpo, Florian
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1211-1227
Persistent link: https://www.econbiz.de/10010198563
Saved in:
6
Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Dhaoui, Abderrazak
;
Chevallier, Julien
;
Ma, Feng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012507450
Saved in:
7
On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model
Bedoui, Rihab
;
Braiek, Sana
;
Guesmi, Khaled
; …
- In:
Energy economics
80
(
2019
),
pp. 876-889
Persistent link: https://www.econbiz.de/10012173742
Saved in:
8
Oil prices and chinese stock market : nonlinear causality and volatility persistence
Wen, Fenghua
;
Xiao, Jihong
;
Xia, Xiaohua
;
Chen, Bin
; …
- In:
Emerging markets, finance and trade : EMFT
55
(
2019
)
6
,
pp. 1247-1263
Persistent link: https://www.econbiz.de/10012210710
Saved in:
9
Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions : evidence from oil volatility index
Xiao, Jihong
;
Zhou, Min
;
Wen, Fengming
;
Wen, Fenghua
- In:
Energy economics
74
(
2018
),
pp. 777-786
Persistent link: https://www.econbiz.de/10011972968
Saved in:
10
Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility
Wen, Fenghua
;
Xiao, Jihong
;
Huang, Chuangxia
;
Xia, Xiaohua
- In:
Applied economics
50
(
2018
)
3
,
pp. 319-334
Persistent link: https://www.econbiz.de/10011846847
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