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subject:"ARCH model"
~person:"Haas, Markus"
~type:"article"
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ARCH model
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Haas, Markus
Gupta, Rangan
20
Kumar, Dilip
18
Ma, Feng
17
Bouri, Elie
14
Chiang, Thomas C.
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Xuan Vinh Vo
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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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
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2
Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus
;
Krause, Jochen
;
Paolella, Marc S.
; …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
Saved in:
3
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 211-250
Persistent link: https://www.econbiz.de/10002214262
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