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~subject:"ARCH model"
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Search: subject:"S&P 500"
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ARCH model
S&P 500
171
Volatility
96
Börsenkurs
93
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92
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91
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73
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72
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67
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Bardgett, Chris
2
Caiado, Jorge
2
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2
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2
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2
Šopov, Boril
2
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1
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1
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1
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1
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1
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1
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3
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
28
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1
Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks
Barson, Zynobia
;
Owusu Junior, Peterson
- In:
Research in globalization
8
(
2024
),
pp. 1-23
100 and
S&P
500
) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We …
Persistent link: https://www.econbiz.de/10015050054
Saved in:
2
Modeling
S&P
500
returns with GARCH models
Alfaro, Rodrigo
;
Inzunza, Alejandra
-
2022
Persistent link: https://www.econbiz.de/10013281378
Saved in:
3
The hybrid forecast of
S&P
500
volatility ensembled from VIX, GARCH and LSTM models
Roszyk, Natalia
;
Ślepaczuk, Robert
-
2024
Persistent link: https://www.econbiz.de/10014634883
Saved in:
4
Joint modelling of
S&P
500
and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model
Önalan, Ömer
- In:
Romanian journal of economic forecasting
25
(
2022
)
1
,
pp. 68-84
Persistent link: https://www.econbiz.de/10013411688
Saved in:
5
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
6
Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic
Caiado, Jorge
;
Lúcio, Francisco
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014485321
Saved in:
7
Impact of the COVID-19 pandemic on volatility spillover across sectors in the US markets
Ahzam, Tariq Syed
- In:
Advances in Management Research : Emerging Challenges …
,
(pp. 229-236)
.
2022
Persistent link: https://www.econbiz.de/10014434885
Saved in:
8
Stochastic volatility and GARCH : do squared end-of-day returns provide similar information?
Allen, David E.
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
9/202
,
pp. 1-26
years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the
S&P
500
, DOW JONES and …
Persistent link: https://www.econbiz.de/10012384599
Saved in:
9
Contagion testing in frontier markets under alternative stressful
S&P
500
market scenarios
Mahadeo, Scott M. R.
;
Heinlein, Reinhold
;
Legrenzi, …
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013449099
Saved in:
10
Volatility information and derivatives trading : directional or volatility trades?
Wang, Yaw-Huei
;
Yen, Kuang-Chieh
- In:
Journal of financial studies : JFS : the official …
30
(
2022
)
4
,
pp. 35-64
Persistent link: https://www.econbiz.de/10013533141
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