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~subject:"Volatilität"
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Search: subject:"GJR-GARCH model"
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Volatilität
GJR-GARCH model
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1
Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models
Ampountolas, Apostolos
- In:
International Journal of Financial Studies : open …
10
(
2022
)
3
,
pp. 1-22
demonstrate that the univariate
GJR-GARCH
model
(1,1) shows a superior predictive accuracy at all horizons, followed closely by …
Persistent link: https://www.econbiz.de/10013368338
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2
A study on the asymmetric effect to housing market price volatility
Choi, Chasoon
- In:
International journal of business and economics …
8
(
2019
)
6
,
pp. 406-413
Persistent link: https://www.econbiz.de/10012236947
Saved in:
3
Financial crises and the dynamics of the spillovers between the US and BRICS stock markets
McIver, Ron
;
Kang, Sang Hoon
- In:
Research in international business and finance
54
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012581346
Saved in:
4
Return, volatility and risk spillover from oil prices and the US dollar exchange rate to the Indian industrial sectors
Kumar, Dilip
;
Maheswaran, S.
- In:
Margin: the journal of applied economic research
7
(
2013
)
1
,
pp. 61-91
Persistent link: https://www.econbiz.de/10009738171
Saved in:
5
Return and volatility transmission between oil prices and oil-exporting and oil-importing countries
Guesmi, Khaled
;
Fattoum, Salma
- In:
Economic modelling
38
(
2014
),
pp. 305-310
Persistent link: https://www.econbiz.de/10010419073
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