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~person:"Huang, Zhuo"
~person:"Malik, Farooq"
~subject:"Capital income"
~subject:"Exchange rate"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Capital income
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ARCH model
32
ARCH-Modell
32
Volatility
26
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26
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21
Schätzung
21
GARCH
11
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11
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Aufsatz in Zeitschrift
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13
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Huang, Zhuo
Malik, Farooq
Gupta, Rangan
20
Kumar, Dilip
18
Ma, Feng
18
Chiang, Thomas C.
14
Bouri, Elie
12
McAleer, Michael
11
McMillan, David G.
11
Bahmani-Oskooee, Mohsen
10
Han, Young Wook
10
Wu, Xinyu
10
Zhang, Yaojie
10
Brooks, Robert
9
Floros, Christos
9
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9
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9
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8
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8
Tsui, Albert K.
8
Wang, Yudong
8
Chevallier, Julien
7
Elyasiani, Elyas
7
Hamori, Shigeyuki
7
Liang, Chao
7
Lyócsa, Štefan
7
Mansur, Iqbal
7
Mensi, Walid
7
Molnár, Peter
7
Nonejad, Nima
7
Speight, Alan E. H.
7
Wei, Yu
7
Xuan Vinh Vo
7
Asai, Manabu
6
Chang, Chia-Lin
6
Chen, Cathy W. S.
6
Choudhry, Taufiq
6
Degiannakis, Stavros
6
Demirer, Rıza
6
Kang, Sang Hoon
6
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Economic modelling
2
Review of quantitative finance and accounting
2
China economic journal : the official journal of the China Center for Economic Research (CCER) at National School of Development (NSD), Peking University
1
Finance research letters
1
International review of economics & finance : IREF
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of multinational financial management
1
The North American journal of economics and finance : a journal of financial economics studies
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)
13
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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
Volatility spillover among sector equity returns under structural breaks
Malik, Farooq
- In:
Review of quantitative finance and accounting
58
(
2022
)
3
,
pp. 1063-1080
Persistent link: https://www.econbiz.de/10013191782
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
Volatility spillover between exchange rate and stock returns under volatility shifts
Malik, Farooq
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 605-613
Persistent link: https://www.econbiz.de/10012655581
Saved in:
6
Forecasting risk in the US Dollar exchange rate under volatility shifts
Anjum, Hassan
;
Malik, Farooq
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012664814
Saved in:
7
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:
8
Estimating downside risk in stock returns under structural breaks
Hood, Matthew
;
Malik, Farooq
- In:
International review of economics & finance : IREF
58
(
2018
),
pp. 102-112
Persistent link: https://www.econbiz.de/10012034196
Saved in:
9
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:
10
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:
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