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person:"Rombouts, Jeroen V. K."
~person:"Francq, Christian"
~person:"Kang, Sang Hoon"
~person:"Serletis, Apostolos"
~subject:"Capital income"
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Search: subject_exact:"GARCH model"
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Capital income
ARCH model
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Volatility
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Theorie
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Schätztheorie
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Rombouts, Jeroen V. K.
Francq, Christian
Kang, Sang Hoon
Serletis, Apostolos
Gupta, Rangan
27
Engle, Robert F.
19
Kumar, Dilip
18
McAleer, Michael
18
Ma, Feng
17
Bouri, Elie
14
Chang, Chia-Lin
14
Chiang, Thomas C.
14
Paolella, Marc S.
13
Bauwens, Luc
12
Elyasiani, Elyas
11
Floros, Christos
11
Teräsvirta, Timo
11
Brooks, Robert
10
Haas, Markus
10
Zhang, Yaojie
10
Huang, Zhuo
9
Koopman, Siem Jan
9
Ledoit, Olivier
9
Mansur, Iqbal
9
Tiwari, Aviral Kumar
9
Wolf, Michael
9
Ardia, David
8
Bohl, Martin T.
8
Bollerslev, Tim
8
Hansen, Peter Reinhard
8
Li, Yan
8
Mittnik, Stefan
8
Prokopczuk, Marcel
8
Rodriguez, Gabriel
8
Wang, Yudong
8
Zhu, Jie
8
Hoogerheide, Lennart F.
7
Jondeau, Eric
7
Liang, Chao
7
Lucas, André
7
McMillan, David G.
7
Molnár, Peter
7
Nguyen, Duc Binh Benno
7
Nonejad, Nima
7
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The North American journal of economics and finance : a journal of financial economics studies
3
Korea and the world economy
2
Global finance journal
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of economic studies
1
Journal of financial econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
12
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1
Volatility and dependence in cryptocurrency and financial markets : a copula approach
Liu, Jinan
;
Serletis, Apostolos
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 119-149
Persistent link: https://www.econbiz.de/10014506890
Saved in:
2
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
The complex relationship between inflation and equity returns
Liu, Jinan
;
Serletis, Apostolos
- In:
Journal of economic studies
49
(
2022
)
1
,
pp. 159-184
Persistent link: https://www.econbiz.de/10012798614
Saved in:
5
Asymmetric volatility connectedness among US stock sectors
Mensi, Walid
;
Nekhili, Ramzi
;
Xuan Vinh Vo
;
Suleman, Tahir
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012822000
Saved in:
6
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:
7
Asymmetric volatility connectedness between Islamic stock and commodity markets
Suleman, Muhammad Tahir
;
McIver, Ron
;
Kang, Sang Hoon
- In:
Global finance journal
49
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012887176
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
10
High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets
Mensi, Walid
;
Sensoy, Ahmet
;
Aslan, Aylin
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012203700
Saved in:
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