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ARCH model
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McAleer, Michael
154
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72
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70
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65
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44
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38
Caporale, Guglielmo Maria
37
Caporin, Massimiliano
37
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36
Bauwens, Luc
35
Zhang, Yaojie
33
Kumar, Dilip
32
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29
Herwartz, Helmut
28
Paolella, Marc S.
28
Teräsvirta, Timo
28
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26
Asai, Manabu
25
Hansen, Peter Reinhard
25
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24
Conrad, Christian
23
Hammoudeh, Shawkat
23
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Serletis, Apostolos
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Spagnolo, Nicola
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Tiwari, Aviral Kumar
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Yoon, Seong-min
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Bollerslev, Tim
22
Degiannakis, Stavros
22
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22
Wei, Yu
22
Allen, David E.
21
Hamori, Shigeyuki
21
Wu, Xinyu
21
Floros, Christos
20
Huang, Zhuo
20
Koopman, Siem Jan
20
Molnár, Peter
20
Nguyen, Duc Khuong
20
Silvennoinen, Annastiina
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International Center for Financial Asset Management and Engineering
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International Workshop on Statistics and Finance <1999, Hongkong>
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
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School of Finance and Business Economics <Perth, Western Australia>
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Shakai-Keizai-Kenkyūsho <Osaka>
1
Springer Fachmedien Wiesbaden
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Energy economics
228
Finance research letters
173
Applied economics
132
International review of financial analysis
126
Economic modelling
123
International review of economics & finance : IREF
114
Journal of empirical finance
112
The North American journal of economics and finance : a journal of financial economics studies
112
Research in international business and finance
109
Journal of international financial markets, institutions & money
91
International journal of forecasting
90
Applied financial economics
80
Journal of forecasting
80
Journal of econometrics
78
Journal of risk and financial management : JRFM
76
Journal of banking & finance
75
Applied economics letters
69
Discussion paper / Tinbergen Institute
64
Economics letters
62
International Journal of Energy Economics and Policy : IJEEP
57
The European journal of finance
56
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
54
Econometric Institute research papers
53
Working paper
53
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
50
The journal of futures markets
49
International journal of finance & economics : IJFE
48
Journal of financial econometrics : official journal of the Society for Financial Econometrics
48
International journal of economics and financial issues : IJEFI
41
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
39
International journal of economics and finance
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
Pacific-Basin finance journal
35
Computational economics
34
Review of quantitative finance and accounting
34
Cogent economics & finance
33
Journal of international money and finance
33
Journal of financial econometrics
32
Risks : open access journal
31
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ECONIS (ZBW)
7,719
RePEc
4
ArchiDok
2
Showing
1
-
10
of
7,725
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date (newest first)
date (oldest first)
1
Multivariate
volatility
forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
2
Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina
;
Kyriakou, Ioannis
;
Tamvakis, Michael
; …
- In:
Energy economics
88
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
Saved in:
3
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
4
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
Saved in:
5
Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien
- In:
The European journal of finance
17
(
2011
)
1/2
,
pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
Saved in:
6
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
but also of dynamic correlations, is the concept of a regularized return, obtained from a
volatility
proxy in conjunction …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
7
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2021
-
This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a
volatility
proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
Saved in:
8
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2020
covariances, is the concept of a regularized return, obtained from a
volatility
proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
Saved in:
9
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos
;
Yfanti, Stavroula
;
Karoglou, Michail
- In:
International review of financial analysis
45
(
2016
),
pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
Saved in:
10
Estimation of
volatility
and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets
Belasri, Yassine
;
Ellaia, Rachid
- In:
International journal of economics and financial issues …
7
(
2017
)
2
,
pp. 384-396
Persistent link: https://www.econbiz.de/10011789279
Saved in:
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