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~person:"Hafner, Christian M."
~person:"Yoon, Seong-min"
~subject:"Ankündigungseffekt"
~subject:"Theorie"
~subject:"Volatilität"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Ankündigungseffekt
Theorie
Volatilität
Welt
ARCH model
46
ARCH-Modell
46
Volatility
29
Estimation
14
Schätzung
14
Aktienmarkt
12
Börsenkurs
12
Share price
12
Stock market
12
Theory
11
Spillover effect
9
Spillover-Effekt
9
Time series analysis
9
Zeitreihenanalyse
9
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8
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8
Multivariate Analyse
7
Multivariate analysis
7
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Estimation theory
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Oil price
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Schätztheorie
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South Korea
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Südkorea
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6
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5
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5
Wechselkurs
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4
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34
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2
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2
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English
36
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Hafner, Christian M.
Yoon, Seong-min
Ma, Feng
65
Gupta, Rangan
41
McAleer, Michael
41
Bouri, Elie
34
Zhang, Yaojie
33
Kumar, Dilip
31
Wang, Yudong
24
Liang, Chao
23
Serletis, Apostolos
23
Kang, Sang Hoon
22
McMillan, David G.
22
Wei, Yu
21
Tiwari, Aviral Kumar
20
Wu, Xinyu
20
Degiannakis, Stavros
19
Hammoudeh, Shawkat
19
Hamori, Shigeyuki
19
Teräsvirta, Timo
19
Floros, Christos
17
Malik, Farooq
17
Caporin, Massimiliano
16
Chevallier, Julien
16
Engle, Robert F.
16
Herwartz, Helmut
16
Lucey, Brian M.
16
Chen, Cathy W. S.
15
Laurent, Sébastien
15
Mensi, Walid
15
Nguyen, Duc Khuong
15
Chang, Chia-Lin
14
Jawadi, Fredj
14
Molnár, Peter
14
Wang, Lu
14
Xuan Vinh Vo
14
Bauwens, Luc
13
Brooks, Robert
13
Chiang, Thomas C.
13
Ruiz, Esther
13
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Energy economics
7
Economics letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Korea and the world economy
2
The Korean economic review
2
Annales d'économie et de statistique
1
Applied economics
1
Australian economic papers
1
Dae oe gyeong je yeon gu
1
Econometric analysis of financial and economic time series ; part a
1
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
International money and finance
1
International review of economics & finance : IREF
1
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1
Journal of econometrics
1
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1
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ECONIS (ZBW)
36
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1
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
2
Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets
Mensi, Walid
;
Jiang, Zhuhua
;
Xuan Vinh Vo
;
Yoon, Seong-min
- In:
Australian economic papers
62
(
2023
)
4
,
pp. 597-615
Persistent link: https://www.econbiz.de/10014443716
Saved in:
3
Dynamic score-driven independent component analysis
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 298-308
Persistent link: https://www.econbiz.de/10014448140
Saved in:
4
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
Saved in:
5
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
6
Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model
Tian, Maoxi
;
Alshater, Muneer Maher
;
Yoon, Seong-min
- In:
Energy economics
115
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013541787
Saved in:
7
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
8
Exogenous shocks, dynamic correlations, and portfolio risk management for the Asian emerging and other global developed and emerging stock markets
Dong, Xiyong
;
Li, Changhong
;
Yoon, Seong-min
- In:
Applied economics
52
(
2020
)
43
,
pp. 4745-4764
Persistent link: https://www.econbiz.de/10012298738
Saved in:
9
Impact of oil price risk on sectoral equity markets : implications on portfolio management
Tiwari, Aviral Kumar
;
Jena, Sangram Keshari
;
Mitra, Amarnath
- In:
Energy economics
72
(
2018
),
pp. 120-134
Persistent link: https://www.econbiz.de/10011972290
Saved in:
10
OPEC news and predictability of oil futures returns and volatility : evidence from a nonparametric causality-in-quantiles approach
Gupta, Rangan
;
Yoon, Seong-min
- In:
The North American journal of economics and finance : a …
45
(
2018
),
pp. 206-214
Persistent link: https://www.econbiz.de/10012117774
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