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~accessRights:"restricted"
~person:"McAleer, Michael"
~person:"Zhou, Guofu"
~subject:"Capital market returns"
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Search: subject_exact:"Abnormal return"
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Capital market returns
Kapitalmarktrendite
13
Volatility
8
Volatilität
8
ARCH model
4
ARCH-Modell
4
Börsenkurs
4
Capital income
4
Estimation
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Kapitaleinkommen
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Prognoseverfahren
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Share price
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Time series analysis
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Asymmetry
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Stochastic process
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2
Großbritannien
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Stochastic volatility
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Theorie
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asymmetry
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existence
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leverage
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1959-2013
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McAleer, Michael
Zhou, Guofu
Zaremba, Adam
20
Long, Huaigang
11
Cakici, Nusret
8
Zhang, Yaojie
8
Bali, Turan G.
7
Chiah, Mardy
7
Demirer, Rıza
7
Lettau, Martin
7
Linnainmaa, Juhani
7
Wang, Yudong
7
Da, Zhi
6
Ghysels, Eric
6
Kaniel, Ron
6
Koijen, Ralph S. J.
6
Nagel, Stefan
6
Thesmar, David
6
Whitelaw, Robert F.
6
Yin, Libo
6
Zhong, Angel
6
Binsbergen, Jules H. van
5
Guo, Hui
5
Han, Bing
5
Jiang, Yuexiang
5
Ludvigson, Sydney C.
5
Massa, Massimo
5
Narayan, Paresh Kumar
5
Schrimpf, Andreas
5
Sraer, David
5
Stambaugh, Robert F.
5
Subrahmanyam, Avanidhar
5
Wagner, Alexander F.
5
Almeida, Caio
4
Ardison, Kym
4
Atilgan, Yigit
4
Bianchi, Francesco
4
Blau, Benjamin
4
Bouchaud, Jean-Philippe
4
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Journal of econometrics
3
Journal of financial and quantitative analysis : JFQA
2
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1
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1
Econometric reviews
1
Econometrics : open access journal
1
Journal of economic dynamics & control
1
Journal of travel research : a quarterly publication of the Travel and Tourism Research Association
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The journal of finance : the journal of the American Finance Association
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1
Are bond returns predictable with real-time macro data?
Huang, Dashan
;
Jiang, Fuwei
;
Li, Kunpeng
;
Tong, Guoshi
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014471827
Saved in:
2
Employee sentiment and stock returns
Chen, Jian
;
Tang, Guohao
;
Yao, Jiaquan
;
Zhou, Guofu
- In:
Journal of economic dynamics & control
149
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014285101
Saved in:
3
Anomalies and the expected market return
Xi, Dong
;
Li, Yan
;
Rapach, David E.
;
Zhou, Guofu
- In:
The journal of finance : the journal of the American …
77
(
2022
)
1
,
pp. 639-681
Persistent link: https://www.econbiz.de/10012796524
Saved in:
4
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
5
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
6
Stock return asymmetry : beyond skewness
Jiang, Lei
;
Wu, Ke
;
Zhou, Guofu
;
Zhu, Yifeng
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
2
,
pp. 357-386
Persistent link: https://www.econbiz.de/10012195585
Saved in:
7
Tourism stocks in times of crisis : an econometric investigation of unexpected nonmacroeconomic factors
Zopiatis, Anastasios
;
Savva, Christos S.
;
Lambertides, …
- In:
Journal of travel research : a quarterly publication of …
58
(
2019
)
3
,
pp. 459-479
Persistent link: https://www.econbiz.de/10011983320
Saved in:
8
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
9
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Applied economics
49
(
2017
)
31/33
,
pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
Saved in:
10
Upper bounds on return predictability
Huang, Dashan
;
Zhou, Guofu
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
2
,
pp. 401-425
Persistent link: https://www.econbiz.de/10011742049
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