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~person:"Francq, Christian"
~person:"Li, Yan"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Oil price
Schätztheorie
ARCH model
53
ARCH-Modell
53
Estimation theory
27
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20
Volatilität
20
Theorie
19
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19
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13
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38
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Francq, Christian
Li, Yan
Ma, Feng
58
McAleer, Michael
38
Gupta, Rangan
34
Zhang, Yaojie
30
Chang, Chia-Lin
27
Bouri, Elie
26
Engle, Robert F.
25
Kumar, Dilip
24
Zakoïan, Jean-Michel
23
Wang, Yudong
21
Liang, Chao
19
Teräsvirta, Timo
19
Kang, Sang Hoon
18
Wei, Yu
18
Hammoudeh, Shawkat
17
Hafner, Christian M.
16
Nguyen, Duc Khuong
16
Rahbek, Anders
16
Yoon, Seong-min
16
Ji, Qiang
15
Mensi, Walid
15
Sheppard, Kevin
15
Ardia, David
14
Chiang, Thomas C.
14
McMillan, David G.
14
Brooks, Robert
13
Filis, George
13
Salisu, Afees A.
13
Xuan Vinh Vo
13
Audrino, Francesco
12
Bauwens, Luc
12
Caporale, Guglielmo Maria
12
Guesmi, Khaled
12
Manera, Matteo
12
Serletis, Apostolos
12
Linton, Oliver
11
Lu, Xinjie
11
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11
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Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
International review of financial analysis
4
Econometric theory
2
Finance research letters
2
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2
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2
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1
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1
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ECONIS (ZBW)
38
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Long-term adjusted volatility : powerful capability in forecasting stock market returns
Qiu, Rui
;
Liu, Jing
;
Li, Yan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248427
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
The role of model bias in predicting volatility : evidence from the US equity markets
Li, Yan
;
Luo, Lian
;
Liang, Chao
;
Ma, Feng
- In:
China finance review international
13
(
2023
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10014312248
Saved in:
5
Global financial stress index and long-term volatility forecast for international stock markets
Liang, Chao
;
Luo, Qin
;
Li, Yan
;
Luu Duc Toan Huynh
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014482967
Saved in:
6
Market momentum amplifies market volatility risk : evidence from China's equity market
Liang, Chao
;
Luu Duc Toan Huynh
;
Li, Yan
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014483186
Saved in:
7
The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures
Li, Yan
;
Luu Duc Toan Huynh
;
Xu, Yongan
;
Liang, Hao
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014490332
Saved in:
8
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
9
The volatility of daily tug-of-war intensity and stock market returns
Bai, Fan
;
Zhang, Yaqi
;
Chen, Zhonglu
;
Li, Yan
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473224
Saved in:
10
A volatility model based on adaptive expectations : an improvement on the rational expectations model
Yao, Yuan
;
Zhao, Yang
;
Li, Yan
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013431245
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