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Volatility
Autokorrelation
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848
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4
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Ravazzolo, Francesco
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3
Barbaglia, Luca
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Qu, Hui
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Carnero, M. Angeles
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Gu, Anthony Yanxiang
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Energy economics
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Finance research letters
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ECONIS (ZBW)
209
RePEc
5
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1
A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju
;
Shin, Dong-wan
- In:
Economics letters
121
(
2013
)
3
,
pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
Saved in:
2
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
3
Trade timing, price volatility and serial correlation
Wang, Ming-chang
;
Zu, Lon-ping
- In:
European financial management : the journal of the …
19
(
2013
)
5
,
pp. 911-934
Persistent link: https://www.econbiz.de/10010237351
Saved in:
4
Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.
;
Su, Yuli
;
Huang, Ying
- In:
Journal of empirical finance
15
(
2008
)
4
,
pp. 789-798
Persistent link: https://www.econbiz.de/10003759773
Saved in:
5
Bootstrapping autoregression under non-stationary volatility
Xu, Ke-li
- In:
The econometrics journal
11
(
2008
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10003648596
Saved in:
6
Modeling long memory in REITs
Cotter, John
;
Stevenson, Simon
- In:
Real estate economics : journal of the American Real …
36
(
2008
)
3
,
pp. 533-554
Persistent link: https://www.econbiz.de/10003764888
Saved in:
7
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
8
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003788886
Saved in:
9
Response asymmetries in Asian stock markets
Doong, Shuh-Chyi
;
Yang, Sheng-Yung
;
Chiang, Thomas C.
- In:
Review of Pacific Basin financial markets and policies
8
(
2005
)
4
,
pp. 637-657
Persistent link: https://www.econbiz.de/10003280288
Saved in:
10
Modeling the asymmetry of stock movements using price ranges
Chou, Ray Yeutien
-
2006
Persistent link: https://www.econbiz.de/10003331381
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