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Moments of the ARMA-EGARCH model

Karanasos, Menelaos; Kim, Jinki - In: The econometrics journal 6 (2003) 1, pp. 146-166

Persistent link: https://www.econbiz.de/10001781052

Inflation convergence in the EMU

Karanasos, Menelaos; Koutroumpis, P.; Karavias, Y.; … - In: Journal of empirical finance 39 (2016), pp. 241-253

Persistent link: https://www.econbiz.de/10011664324

Dynamic portfolio allocation with time-varying jump risk

Zhou, Chunyang; Wu, Chongfeng; Wang, Yudong - In: Journal of empirical finance 50 (2019), pp. 113-124

Persistent link: https://www.econbiz.de/10012169946

Momentum of return predictability

Wang, Yudong; Liu, Li; Ma, Feng; Diao, Xundi - In: Journal of empirical finance 45 (2018), pp. 141-156

Persistent link: https://www.econbiz.de/10012102447

Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159

Persistent link: https://www.econbiz.de/10009301149

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

Persistent link: https://www.econbiz.de/10011422185