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Search: subject:"Volatility persistence"
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Forecasting model
volatility persistence
66
Volatilität
65
Volatility
63
ARCH-Modell
52
ARCH model
51
Volatility persistence
44
Schätzung
36
Estimation
34
Kapitaleinkommen
33
Capital income
32
Zeitreihenanalyse
24
Time series analysis
23
Aktienmarkt
20
Börsenkurs
20
GARCH
20
Share price
20
Stock market
19
Theorie
13
Theory
12
Wechselkurs
11
long memory
11
Exchange rate
10
Volatility Persistence
10
Long memory
9
Prognoseverfahren
9
Strukturbruch
9
EGARCH
8
Structural break
8
Trading volume
8
structural breaks
8
Estimation theory
7
Handelsvolumen der Börse
7
High frequency data
7
Schätztheorie
7
trading volume
7
India
6
Indien
6
Spillover effect
6
Spillover-Effekt
6
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Undetermined
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1
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English
9
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Gatheral, Jim
2
Jaisson, Thibault
2
Kumar, Dilip
2
Maheswaran, S.
2
Rosenbaum, Mathieu
2
Ghulam, Younis Ahmed
1
Han, Yang
1
Joo, Bashir Ahmad
1
Kiani, Khurshid M.
1
Ma, Chaoqun
1
Nikitopoulos, Christina Sklibosios
1
Su, Fei
1
Thomas, Alice Carole
1
Wang, Jian-xin
1
Wang, Lei
1
Wu, Xinyu
1
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American journal of finance and accounting
1
Decision
1
Economic modelling
1
Emerging markets, finance and trade : EMFT
1
Journal of commodity markets
1
Journal of risk
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Paradigm : the journal of Institute of Management Technology
1
Quantitative finance
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ECONIS (ZBW)
9
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1
The economic impact of daily
volatility
persistence
on energy markets
Nikitopoulos, Christina Sklibosios
;
Thomas, Alice Carole
; …
- In:
Journal of commodity markets
30
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014426848
Saved in:
2
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
3
The predictability,
volatility
persistence
, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad
;
Ghulam, Younis Ahmed
- In:
American journal of finance and accounting
7
(
2023
)
3/4
,
pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
Saved in:
4
Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
Wu, Xinyu
;
Han, Yang
;
Ma, Chaoqun
- In:
Journal of risk
23
(
2021
)
6
,
pp. 1-35
Persistent link: https://www.econbiz.de/10013473133
Saved in:
5
Conditional
volatility
persistence
and realized volatility asymmetry : evidence from the Chinese stock markets
Su, Fei
;
Wang, Lei
- In:
Emerging markets, finance and trade : EMFT
56
(
2020
)
14
,
pp. 3252-3269
Persistent link: https://www.econbiz.de/10012312730
Saved in:
6
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
7
Can signal extraction help predict risk premia in foreign exchange rates
Kiani, Khurshid M.
- In:
Economic modelling
33
(
2013
),
pp. 926-939
Persistent link: https://www.econbiz.de/10010195543
Saved in:
8
Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market
Kumar, Dilip
;
Maheswaran, S.
- In:
Decision
40
(
2013
)
1/2
,
pp. 117-134
Persistent link: https://www.econbiz.de/10010381136
Saved in:
9
Volatility
persistence
in the presence of structural breaks in the Indian banking sector
Kumar, Dilip
;
Maheswaran, S.
- In:
Paradigm : the journal of Institute of Management Technology
15
(
2011
)
1/2
,
pp. 8-17
Persistent link: https://www.econbiz.de/10011758435
Saved in:
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