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~person:"Balcilar, Mehmet"
~person:"Christensen, Kim"
~person:"Li, Degui"
~subject:"Volatility"
~type:"article"
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Volatility
Nichtparametrisches Verfahren
38
Nonparametric statistics
38
Estimation
17
Schätzung
17
Volatilität
17
Causality analysis
15
Kausalanalyse
15
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14
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Balcilar, Mehmet
Christensen, Kim
Li, Degui
Gupta, Rangan
18
Todorov, Viktor
8
Wohar, Mark E.
7
Renò, Roberto
6
Bollerslev, Tim
5
Li, Jia
5
Linton, Oliver
5
Zu, Yang
5
Boswijk, Herman Peter
4
Bouri, Elie
4
Maheu, John M.
4
Tauchen, George Eugene
4
Aït-Sahalia, Yacine
3
Demirer, Rıza
3
Gao, Jiti
3
Kristensen, Dennis
3
Li, Yingying
3
Liu, Zhi
3
Phillips, Peter C. B.
3
Pierdzioch, Christian
3
Podolskij, Mark
3
Sanfelici, Simona
3
Shahbaz, Muhammad
3
Suleman, Tahir
3
Andersen, Torben
2
Ausín, M. Concepción
2
Bandi, Federico M.
2
Barunik, Jozef
2
Cai, Zongwu
2
Chen, Ren-Raw
2
Christensen, Kimberly
2
Clements, Adam
2
D'Addona, Stefano
2
Dalderop, Jeroen
2
Diebold, Francis X.
2
Dimitrakopoulos, Stefanos
2
Fan, Jianqing
2
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2
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Journal of econometrics
2
Applied economics
1
Economic modelling
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance research letters
1
International economics and economic policy : IEEP
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economics and finance
1
Journal of international financial markets, institutions & money
1
Journal of multinational financial management
1
Open economies review
1
Research in international business and finance
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
17
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1
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
2
High-frequency predictability of housing market movements of the United States : the role of economic sentiment
Balcilar, Mehmet
;
Bouri, Elie
;
Gupta, Rangan
;
Kyei, …
- In:
The journal of behavioral finance : a publication of …
22
(
2021
)
4
,
pp. 490-498
Persistent link: https://www.econbiz.de/10012649950
Saved in:
3
Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS : evidence from a nonparametric causality-in-quantiles approach
Balcilar, Mehmet
;
Bathia, Deven
;
Demirer, Rıza
;
Gupta, …
- In:
The quarterly review of economics and finance : journal …
79
(
2021
),
pp. 290-302
Persistent link: https://www.econbiz.de/10012655054
Saved in:
4
Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Balcilar, Mehmet
;
Gupta, Rangan
;
Pierdzioch, Christian
; …
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 333-346
Persistent link: https://www.econbiz.de/10012244323
Saved in:
5
The role of economic and financial uncertainties in predicting commodity futures returns and volatility : evidence from a nonparametric causality-in-quantiles test
Bahloul, Walid
;
Balcilar, Mehmet
;
Cuñado Eizaguirre, Juncal
- In:
Journal of multinational financial management
45
(
2018
),
pp. 52-71
Persistent link: https://www.econbiz.de/10012055774
Saved in:
6
Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain
;
Mensi, Walid
;
Hammoudeh, …
- In:
Journal of international financial markets, …
52
(
2018
),
pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
Saved in:
7
Differences of opinion and stock market volatility : evidence from a nonparametric causality-in-quantiles approach
Balcilar, Mehmet
;
Demirer, Rıza
;
Gupta, Rangan
;
Wohar, …
- In:
Journal of economics and finance
42
(
2018
)
2
,
pp. 339-351
Persistent link: https://www.econbiz.de/10012031009
Saved in:
8
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
9
Does inflation cause gold market price changes? : evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance
Balcilar, Mehmet
;
Ozdemir, Zeynel Abidin
;
Shahbaz, Muhammad
- In:
Applied economics
50
(
2018
)
17
,
pp. 1891-1909
Persistent link: https://www.econbiz.de/10011849618
Saved in:
10
Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
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