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~person:"Haas, Markus"
~person:"Huang, Zhuo"
~subject:"Capital income"
~subject:"Exchange rate"
~subject:"Forecasting model"
~type:"article"
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Search: subject:"ARCH model"
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24
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Haas, Markus
Huang, Zhuo
Ma, Feng
62
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35
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33
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23
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23
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20
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19
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19
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18
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16
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13
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12
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12
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12
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12
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11
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11
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11
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11
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10
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10
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10
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10
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9
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9
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9
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9
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9
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8
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8
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8
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1
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11
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1
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
2
Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao
;
Huang, Zhuo
;
Liang, Fang
- In:
Finance research letters
54
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
Saved in:
3
The effects of economic uncertainty on financial volatility : a comprehensive investigation
Tong, Chen
;
Huang, Zhuo
;
Wang, Tianyi
;
Zhang, Cong
- In:
Journal of empirical finance
73
(
2023
),
pp. 369-389
Persistent link: https://www.econbiz.de/10014477040
Saved in:
4
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
5
Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing
;
Liang, Fang
;
Wang, Tianyi
;
Huang, Zhuo
- In:
Economic modelling
87
(
2020
),
pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
Saved in:
6
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
7
Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect
Liu, Hao
;
Shen, Shihan
;
Wang, Tianyi
;
Huang, Zhuo
- In:
China economic journal : the official journal of the …
9
(
2016
)
2
,
pp. 140-153
Persistent link: https://www.econbiz.de/10011585334
Saved in:
8
Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 269-287
Persistent link: https://www.econbiz.de/10011691332
Saved in:
9
Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus
;
Krause, Jochen
;
Paolella, Marc S.
; …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
Saved in:
10
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Shek, Howard Howan
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
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