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~isPartOf:"Applied financial economics"
~isPartOf:"Economic modelling"
~isPartOf:"The journal of futures markets"
~subject:"Spillover effect"
~subject:"Theory"
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Spillover effect
Theory
ARCH model
326
ARCH-Modell
326
Volatility
206
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206
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99
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99
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Ahmed, Abdullahi Dahir
2
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Huo, Rui
2
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1
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Applied financial economics
Economic modelling
The journal of futures markets
Energy economics
68
Journal of econometrics
57
International review of financial analysis
56
Finance research letters
55
Journal of empirical finance
55
Applied economics
49
The North American journal of economics and finance : a journal of financial economics studies
47
International journal of forecasting
46
Discussion paper / Tinbergen Institute
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Research in international business and finance
42
International review of economics & finance : IREF
39
Economics letters
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Journal of banking & finance
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Journal of forecasting
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Econometric theory
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of applied econometrics
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Applied economics letters
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The econometrics journal
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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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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
International Journal of Energy Economics and Policy : IJEEP
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Journal of international money and finance
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Quantitative finance
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International journal of finance & economics : IJFE
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Journal of financial econometrics
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CORE discussion paper : DP
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Computational economics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
82
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1
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
2
The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants
Pan, Beier
- In:
Economic modelling
124
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463273
Saved in:
3
Dynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets : a hedging perspective
Coskun, Merve
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1727-1749
Persistent link: https://www.econbiz.de/10014433002
Saved in:
4
Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
Saved in:
5
Trading around the clock : revisit volatility spillover between crude oil and equity markets in different trading sessions
Hao, Jing
;
He, Feng
;
Ma, Feng
;
Fu, Tong
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 771-791
Persistent link: https://www.econbiz.de/10014293226
Saved in:
6
Extreme risk spillovers across financial markets under different crises
Cao, Yufei
- In:
Economic modelling
116
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014512465
Saved in:
7
A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Lee, Hsiang-Tai
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10012817925
Saved in:
8
Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
Saved in:
9
Exploring the dynamics of the equity-commodity nexus : a study of base metal futures
Saishree, Ipsita
;
Padhi, Puja
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1573-1596
Persistent link: https://www.econbiz.de/10013288006
Saved in:
10
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
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