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~accessRights:"restricted"
~isPartOf:"Applied economics"
~subject:"Kapitaleinkommen"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Kapitaleinkommen
ARCH model
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Volatility
77
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77
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40
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Bouri, Elie
2
Hwang, Sun Young
2
Kim, Jong-Min
2
Roubaud, David
2
Zhu, Huiming
2
Allen, David E.
1
Bagirov, Miramir
1
Chatzikonstanti, Vasiliki
1
Cheng, Jen-chi
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1
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1
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Kanjilal, Kakali
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1
Kimata, James D.
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Luo, H. Arthur
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Applied economics
Finance research letters
52
The North American journal of economics and finance : a journal of financial economics studies
38
International review of economics & finance : IREF
32
Energy economics
30
International review of financial analysis
30
Research in international business and finance
28
International journal of forecasting
26
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Journal of empirical finance
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of international financial markets, institutions & money
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Journal of banking & finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Applied economics letters
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Pacific-Basin finance journal
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10
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9
Review of quantitative finance and accounting
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8
Economics letters
8
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
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8
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8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Global business review
7
International journal of economics and finance
7
Journal of risk
7
Studies in economics and finance
7
The European journal of finance
7
Annals of financial economics
6
Emerging markets, finance and trade : EMFT
6
International journal of emerging markets
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Financial markets and portfolio management
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ECONIS (ZBW)
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1
Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Rewat Khanthaporn
;
Wichitaksorn, Nuttanan
- In:
Applied economics
55
(
2023
)
51
,
pp. 6042-6061
Persistent link: https://www.econbiz.de/10014335891
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2
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
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3
Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX
Wu, Xinyu
;
Xia, Michelle
;
Li, Xindan
- In:
Applied economics
55
(
2023
)
20
,
pp. 2273-2291
Persistent link: https://www.econbiz.de/10014294916
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4
Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun
;
Hwang, Sun Young
;
Kim, Jong-Min
;
Kim, Sahm
- In:
Applied economics
55
(
2023
)
3
,
pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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5
Forecasting the volatility of the German stock market : new evidence
Liang, Chao
;
Zhang, Yi
;
Zhang, Yaojie
- In:
Applied economics
54
(
2022
)
9
,
pp. 1055-1070
Persistent link: https://www.econbiz.de/10012875034
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6
Petroleum prices and equity sector returns in petroleum exporting and importing countries : an analysis of volatility transmissions and hedging
Bagirov, Miramir
;
Mateus, Cesario
- In:
Applied economics
54
(
2022
)
23
,
pp. 2610-2626
Persistent link: https://www.econbiz.de/10013171109
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7
Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh
;
Chowdhury, Biplob
- In:
Applied economics
53
(
2021
)
55
,
pp. 6376-6397
Persistent link: https://www.econbiz.de/10012697913
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8
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
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9
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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10
Rare earth and allied sectors in stock markets : extreme dependence of return and volatility
Bouri, Elie
;
Kanjilal, Kakali
;
Ghosh, Sajal
;
Roubaud, David
- In:
Applied economics
53
(
2021
)
49
,
pp. 5710-5730
Persistent link: https://www.econbiz.de/10012626945
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