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~person:"Allen, David E."
~person:"Herwartz, Helmut"
~person:"Spagnolo, Nicola"
~subject:"ARCH-Modell"
~subject:"Capital income"
~subject:"Spillover-Effekt"
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ARCH-Modell
Capital income
Spillover-Effekt
Volatilität
196
Volatility
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64
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63
Estimation
60
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128
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Allen, David E.
Herwartz, Helmut
Spagnolo, Nicola
McAleer, Michael
194
Gupta, Rangan
136
Caporale, Guglielmo Maria
101
Chang, Chia-Lin
96
Bollerslev, Tim
84
Bouri, Elie
72
Ma, Feng
72
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65
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48
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46
Kang, Sang Hoon
46
Hammoudeh, Shawkat
43
Bekaert, Geert
41
Caporin, Massimiliano
40
Asai, Manabu
37
Engle, Robert F.
37
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37
Mensi, Walid
37
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35
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35
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34
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34
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34
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33
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32
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31
Xuan Vinh Vo
31
Lux, Thomas
30
Pierdzioch, Christian
30
Teräsvirta, Timo
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Wei, Yu
30
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29
Hansen, Peter Reinhard
28
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27
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27
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27
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ECONIS (ZBW)
120
EconStor
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41
Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
-
2016
post-September 2008 period. There are also
volatility
spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011479824
Saved in:
42
Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
-
2016
Persistent link: https://www.econbiz.de/10011536693
Saved in:
43
Volatility
spillover and multivariate
volatility
impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
44
Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and
volatility
spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011444455
Saved in:
45
Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
Persistent link: https://www.econbiz.de/10011448291
Saved in:
46
Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
Persistent link: https://www.econbiz.de/10011448305
Saved in:
47
Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models
Fengler, Matthias R.
-
2016
We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers, locally in time and conditionally on time-t information. Key to our approach is the vector moving average representation of the half-vectorized 'squared' multivariate GARCH process...
Persistent link: https://www.econbiz.de/10012988156
Saved in:
48
Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and
volatility
spillovers and for the …
Persistent link: https://www.econbiz.de/10011421883
Saved in:
49
Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and
volatility
spillovers and for the …
Persistent link: https://www.econbiz.de/10011422554
Saved in:
50
Macro news and stock returns in the Euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
- In:
International review of financial analysis
45
(
2016
),
pp. 180-188
Persistent link: https://www.econbiz.de/10011581967
Saved in:
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