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subject:"Volatilität"
type_genre:"Article in journal"
~person:"Gil-Alaña, Luis A."
~subject:"ARCH model"
~subject:"Unit root test"
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Volatilität
ARCH model
Unit root test
Estimation
126
Schätzung
126
Time series analysis
80
Zeitreihenanalyse
80
Cointegration
48
Kointegration
48
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43
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Gil-Alaña, Luis A.
Gupta, Rangan
65
Bahmani-Oskooee, Mohsen
52
Chang, Tsangyao
51
Su, Chi-Wei
29
Tiwari, Aviral Kumar
28
Caporale, Guglielmo Maria
25
Ma, Feng
25
McAleer, Michael
24
Todorov, Viktor
24
Bouri, Elie
23
Bollerslev, Tim
22
Narayan, Paresh Kumar
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Pierdzioch, Christian
22
Balcilar, Mehmet
21
Lee, Chien-chiang
21
Wohar, Mark E.
21
Xuan Vinh Vo
21
Kumar, Dilip
20
Chiang, Thomas C.
17
Kang, Sang Hoon
17
Brooks, Robert
16
Mensi, Walid
16
Yoon, Seong-min
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Asai, Manabu
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15
Rashid, Abdul
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Li, Jia
14
Ranjbar, Omid
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Wei, Yu
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13
Apergēs, Nikolaos
13
McMillan, David G.
13
Tauchen, George Eugene
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Wang, Yudong
13
Zhu, Huiming
13
Baharumshah, Ahmad Zubaidi
12
Hamori, Shigeyuki
12
Hegerty, Scott W.
12
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Applied economics letters
2
Finance research letters
2
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
2
International journal of finance & economics : IJFE
2
Review of financial economics : RFE
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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African review of economics & finance : AREF : (a journal of the African Finance and Economics Consult)
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Journal of economics and finance : JEF
46
(
2022
)
4
,
pp. 678-703
Persistent link: https://www.econbiz.de/10013442222
Saved in:
2
Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
Saved in:
3
True or spurious long memory in the cryptocurrency markets : evidence from a multivariate test and other Whittle estimation methods
Assaf, Ata
;
Gil-Alaña, Luis A.
;
Mokni, Khaled
- In:
Empirical economics : a quarterly journal of the …
63
(
2022
)
3
,
pp. 1543-1570
Persistent link: https://www.econbiz.de/10013440392
Saved in:
4
Inflation-targeting and inflation volatility : international evidence from the cosine-squared cepstrum
Antonakakis, Nikolaos
;
Christou, Christina
;
Gil-Alaña, …
- In:
International economics : a journal published by CEPII …
167
(
2021
),
pp. 29-38
Persistent link: https://www.econbiz.de/10013269231
Saved in:
5
A fractional cointegration var analysis of exchange rate dynamics
Gil-Alaña, Luis A.
;
Carcel, Hector
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012658798
Saved in:
6
Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
;
Poza, Carlos
- In:
The quarterly review of economics and finance : journal …
77
(
2020
),
pp. 50-61
Persistent link: https://www.econbiz.de/10012430865
Saved in:
7
High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
;
Poza, Carlos
- In:
Research in international business and finance
52
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012543286
Saved in:
8
Volatility persistence in cryptocurrency markets under structural breaks
Abakah, Emmanuel Joel Aikins
;
Gil-Alaña, Luis A.
; …
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 680-691
Persistent link: https://www.econbiz.de/10012487193
Saved in:
9
An examination of trade-weighted real exchange rates based on fractional integration
Gil-Alaña, Luis A.
;
Trani, Tommaso
- In:
International economics : a journal published by CEPII …
158
(
2019
),
pp. 64-76
Persistent link: https://www.econbiz.de/10012318739
Saved in:
10
Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Finance research letters
27
(
2018
),
pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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