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subject:"ARCH-Modell"
~person:"Hou, Yang"
~person:"Maniyar, Dharmesh M."
~subject:"Share price"
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Search: subject_exact:"Index-Futures"
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ARCH-Modell
Share price
Index futures
11
Index-Futures
11
ARCH model
9
Volatility
7
Volatilität
7
Börsenkurs
6
China
6
Aktienmarkt
5
Stock market
5
Estimation
3
India
3
Indien
3
Schätzung
3
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2
Chinese stock index futures
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Hedging
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Information transmission
2
Kapitaleinkommen
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Spillover effect
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2000-2006
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AR-GJR-GARCH-M model
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Aktienoption
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Asymmetric DCC GARCH
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Behavioural finance
1
Bivariate GARCH
1
CCC BGARCH
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CSI 300 index futures
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CSI 300 stock index futures
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Calendar effect
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Chinese and U.S. stock markets
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Chinese fuel oil futures
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11
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Hou, Yang
Maniyar, Dharmesh M.
Li, Steven
7
Ryu, Doojin
7
Mittnik, Stefan
6
Wang, Janchung
6
Bollerslev, Tim
5
Delatte, Anne-Laure
5
Fouquau, Julien
5
Martikainen, Teppo
5
Portes, Richard
5
Puttonen, Vesa
5
Röder, Klaus
5
Shaikh, Imlak
5
Todorov, Viktor
5
Tse, Yiuman
5
Whaley, Robert E.
5
Bologna, Pierluigi
4
Choudhry, Taufiq
4
Claessen, Holger
4
Frino, Alex
4
Goetzmann, William N.
4
Kempf, Alexander
4
Korn, Olaf
4
Lau, Chi Keung
4
Lee, Eun Jung
4
Loc Dong Truong
4
Ma, Feng
4
Massa, Massimo
4
Salvador, Enrique
4
Theissen, Erik
4
Wang, George H. K.
4
Yarovaya, Larisa
4
Ackert, Lucy F.
3
Aragó, Vicent
3
Bamberg, Günter
3
Bhatt, Rajesh
3
Bohl, Martin T.
3
Booth, G. Geoffrey
3
Brzeszczyński, Janusz
3
Chan, Kalok
3
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International review of economics & finance : IREF
3
Finance India : the quarterly journal of Indian Institute of Finance
2
Asia-Pacific financial markets
1
Australian journal of management
1
Economic modelling
1
Energy economics
1
Pacific-Basin finance journal
1
Studies in economics and finance
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ECONIS (ZBW)
11
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1
Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures
Hou, Yang
;
Holmes, Mark J.
- In:
Australian journal of management
45
(
2020
)
2
,
pp. 240-265
Persistent link: https://www.econbiz.de/10012216958
Saved in:
2
Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
66
(
2020
),
pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
Saved in:
3
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang
;
Li, Steven
;
Wen, Fenghua
- In:
Energy economics
83
(
2019
),
pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
Saved in:
4
Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang
;
Li, Steven
- In:
Economic modelling
52
(
2016
),
pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
Saved in:
5
Volatility behaviour of stock index futures in China : a bivariate GARCH approach
Hou, Yang
;
Li, Steven
- In:
Studies in economics and finance
32
(
2015
)
1
,
pp. 128-154
Persistent link: https://www.econbiz.de/10011380764
Saved in:
6
The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
33
(
2014
),
pp. 319-337
Persistent link: https://www.econbiz.de/10010532719
Saved in:
7
Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Hou, Yang
;
Li, Steven
- In:
Pacific-Basin finance journal
24
(
2013
),
pp. 109-131
Persistent link: https://www.econbiz.de/10010346788
Saved in:
8
Price discovery in Chinese stock index futures market : new evidence based on intraday data
Hou, Yang
;
Li, Steven
- In:
Asia-Pacific financial markets
20
(
2013
)
1
,
pp. 49-70
Persistent link: https://www.econbiz.de/10009718886
Saved in:
9
Expiration hour effect of futures and options markets on stock market : a case study on NSE
Bhatt, Rajesh
;
Maniar, Hiren M.
;
Maniyar, Dharmesh M.
- In:
Finance India : the quarterly journal of Indian …
25
(
2011
)
3
,
pp. 863-882
Persistent link: https://www.econbiz.de/10009502638
Saved in:
10
Price discovery and arbitrage between futures and cash markets : a case study on National Stock Exchange of India ( NSE)
Maniar, Hiren M.
;
Bhatt, Rajesh
;
Maniyar, Dharmesh M.
- In:
Finance India : the quarterly journal of Indian …
24
(
2010
)
3
,
pp. 929-944
Persistent link: https://www.econbiz.de/10008841905
Saved in:
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