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ARCH model
101
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McMillan, David G.
3
Speight, Alan E. H.
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Degiannakis, Stavros
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Dijk, Dick van
2
Hamori, Shigeyuki
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Applied financial economics
Energy economics
268
Finance research letters
207
Applied economics
164
Economic modelling
155
Journal of econometrics
147
International review of financial analysis
145
Journal of empirical finance
135
Research in international business and finance
131
International review of economics & finance : IREF
126
The North American journal of economics and finance : a journal of financial economics studies
124
Journal of banking & finance
114
Economics letters
109
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107
Discussion paper / Tinbergen Institute
99
International journal of forecasting
96
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87
Applied economics letters
80
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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65
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64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
55
International journal of finance & economics : IJFE
54
International journal of economics and financial issues : IJEFI
50
Econometric reviews
47
Journal of international money and finance
47
International journal of economics and finance
46
Review of quantitative finance and accounting
45
CREATES research paper
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Computational economics
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Journal of risk
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
101
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1
Estimating stock market volatility using asymmetric GARCH models
Alberg, Dima
;
Shalit, Haim
;
Yosef, Rami
- In:
Applied financial economics
18
(
2008
)
13/15
,
pp. 1201-1208
Persistent link: https://www.econbiz.de/10003760244
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2
Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets
Li, Xiaoming
;
Xu, Qing
- In:
Applied financial economics
18
(
2008
)
1/3
,
pp. 213-227
Persistent link: https://www.econbiz.de/10003739043
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3
Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
Sriananthakumar, Sivagowry
;
Silvapulle, Paramsothy
- In:
Applied financial economics
18
(
2008
)
4/6
,
pp. 267-273
Persistent link: https://www.econbiz.de/10003739092
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4
The mean volatility asymmetry in Asian stock markets
Liau, Yung-Shi
;
Yang, Jack J. W.
- In:
Applied financial economics
18
(
2008
)
4/6
,
pp. 411-419
Persistent link: https://www.econbiz.de/10003739136
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5
Foreign investment, regulation, volatility spillovers between the futures and spot markets : evidence from Taiwan
Kuo, Wen-Hsiu
;
Hsu, Hsinan
;
Chiang, Min-Hsien
- In:
Applied financial economics
18
(
2008
)
4/6
,
pp. 421-430
Persistent link: https://www.econbiz.de/10003739137
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6
Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models
Akgül, Işıl
;
Sayyan, Hülya
- In:
Applied financial economics
18
(
2008
)
4/6
,
pp. 463-482
Persistent link: https://www.econbiz.de/10003739179
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7
A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances
Sjölander, Pär
- In:
Applied financial economics
18
(
2008
)
7/9
,
pp. 527-558
Persistent link: https://www.econbiz.de/10003739218
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8
Do common volatility models capture cyclical behaviour in volatility?
Clements, Adam
;
Collet, Jérôme
- In:
Applied financial economics
18
(
2008
)
7/9
,
pp. 599-604
Persistent link: https://www.econbiz.de/10003739247
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9
Classification of GARCH time series : an empirical investigation
Kalantzis, T.
;
Papanastassiou, D.
- In:
Applied financial economics
18
(
2008
)
7/9
,
pp. 759-764
Persistent link: https://www.econbiz.de/10003739381
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10
Testing for structural breaks in GARCH models
Smith, Daniel R.
- In:
Applied financial economics
18
(
2008
)
10/12
,
pp. 845-862
Persistent link: https://www.econbiz.de/10003739446
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