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~person:"Nguyen, Duc Khuong"
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Search: subject:"GARCH"
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ARCH model
22
ARCH-Modell
22
Volatility
14
Volatilität
14
Aktienmarkt
9
Oil price
9
Stock market
9
Ölpreis
9
GARCH models
8
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7
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7
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DCC-GARCH
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1
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27
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Nguyen, Duc Khuong
McAleer, Michael
276
Chang, Chia-Lin
112
Caporale, Guglielmo Maria
106
Gupta, Rangan
90
Teräsvirta, Timo
85
Hafner, Christian M.
80
Conrad, Christian
77
Bauwens, Luc
76
Engle, Robert F.
73
Karanasos, Menelaos
68
Spagnolo, Nicola
67
Caporin, Massimiliano
64
Mittnik, Stefan
63
Ma, Feng
62
Francq, Christian
61
Herwartz, Helmut
59
Paolella, Marc S.
59
Ardia, David
52
Bouri, Elie
52
Guesmi, Khaled
51
Spagnolo, Fabio
50
Serletis, Apostolos
48
Laurent, Sébastien
45
Zakoïan, Jean-Michel
45
Haas, Markus
43
Manera, Matteo
43
Silvennoinen, Annastiina
41
Rombouts, Jeroen V. K.
40
Asai, Manabu
39
Fountas, Stilianos
39
Allen, David E.
38
Bollerslev, Tim
38
Chevallier, Julien
38
Linton, Oliver
37
Lütkepohl, Helmut
36
McMillan, David G.
36
Hammoudeh, Shawkat
35
Rahbek, Anders
35
Saikkonen, Pentti
35
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Institut de Préparation à l'Administration et à la Gestion (IPAG)
9
Development and Policies Research Center (Depocen)
2
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
HAL
1
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Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG)
9
Energy economics
5
Energy Economics
4
Journal of international financial markets, institutions & money
3
Economic Modelling
2
Economic modelling
2
Working Papers / Development and Policies Research Center (Depocen)
2
Applied economics
1
EconomiX Working Papers
1
Economics Bulletin
1
European Journal of Comparative Economics
1
European business review : EBR ; the official journal of the International Management Centres, Europe
1
Finance research letters
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Journal of Banking & Finance
1
Journal of International Money and Finance
1
Journal of international money and finance
1
Journal of quantitative economics : official journal of the Indian Econometric Society
1
Journal of the Operational Research Society : OR
1
Managerial finance
1
Quantitative finance
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Review of accounting & finance
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The journal of applied business research
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ECONIS (ZBW)
23
RePEc
23
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46
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1
Modeling and forecasting commodity market volatility with long-term economic and financial variables
Nguyen, Duc Khuong
;
Walther, Thomas
-
2018
Persistent link: https://www.econbiz.de/10011946687
Saved in:
2
Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Malek, Jiri
;
Nguyen, Duc Khuong
;
Sensoy, Ahmet
;
Quang …
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10014472966
Saved in:
3
Dynamic volatility spillover effects between oil and agricultural products
Pick Schen Yip
;
Brooks, Robert
;
Do, Hung Xuan
;
Nguyen, …
- In:
International review of financial analysis
69
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012316894
Saved in:
4
On the robustness of week-day effect to error distributional assumption : international evidence
Boubaker, Sabri
;
Essaddam, Naceur
;
Nguyen, Duc Khuong
; …
- In:
Journal of international financial markets, …
47
(
2017
),
pp. 114-130
Persistent link: https://www.econbiz.de/10011892258
Saved in:
5
The shifting dependence dynamics between the G7 stock markets
BenSaïda, Ahmed
;
Boubaker, Sabri
;
Nguyen, Duc Khuong
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 801-812
Persistent link: https://www.econbiz.de/10011907944
Saved in:
6
Cross-market dynamics and optimal portfolio strategies in Latin American equity markets
Arouri, Mohamed
;
Lahiani, Amine
;
Nguyen, Duc Khuong
- In:
European business review : EBR ; the official journal …
27
(
2015
)
2
,
pp. 161-181
Persistent link: https://www.econbiz.de/10011299632
Saved in:
7
World gold prices and stock returns in China : insights for hedging and diversification strategies
Arouri, Mohamed
;
Lahiani, Amine
;
Nguyen, Duc Khuong
- In:
Economic modelling
44
(
2015
),
pp. 273-282
Persistent link: https://www.econbiz.de/10011326226
Saved in:
8
Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania
;
Nguyen, Duc Khuong
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
11
,
pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
Saved in:
9
Dynamic spillovers among major energy and cereal commodity prices
Mensi, Walid
;
Hammoudeh, Shawkat
;
Nguyen, Duc Khuong
; …
- In:
Energy economics
43
(
2014
),
pp. 225-243
Persistent link: https://www.econbiz.de/10010504821
Saved in:
10
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Chkili, Walid
;
Hammoudeh, Shawkat
;
Nguyen, Duc Khuong
- In:
Energy economics
41
(
2014
),
pp. 1-18
Persistent link: https://www.econbiz.de/10010374635
Saved in:
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