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~isPartOf:"Economic modelling"
~isPartOf:"International Journal of Energy Economics and Policy : IJEEP"
~isPartOf:"Journal of empirical finance"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"ARCH model"
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Zeitreihenanalyse
ARCH model
354
ARCH-Modell
354
Volatility
251
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251
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110
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110
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92
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92
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Russel, Edwin
4
Ambya, Ambya
3
Kesumah, Fajrin Satria Dwi
3
Mustofa Usman
3
Azhar, Rialdi
2
Dark, Jonathan
2
Dritsaki, Chaido
2
Hendrawaty, Ernie
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Ho, Kin-Yip
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Economic modelling
International Journal of Energy Economics and Policy : IJEEP
Journal of empirical finance
Discussion paper / Tinbergen Institute
43
Journal of econometrics
42
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
30
Finance research letters
30
International journal of forecasting
30
Applied economics
27
Economics letters
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23
The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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13
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13
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12
International journal of economics and financial issues : IJEFI
12
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12
Journal of international financial markets, institutions & money
11
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11
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10
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
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8
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ECONIS (ZBW)
81
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana
;
Russel, Edwin
;
Alam, Iskandar Ali
;
Widiarti
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
Saved in:
3
Dynamic modeling and analysis of some energy companies of Indonesia over the year 2018 to 2022 by using VAR(p)-CCC GARCH(r,s) model
Mustofa Usman
;
Komarudin, M.
;
Nurhanurawati
;
Russel, Edwin
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
4
,
pp. 542-554
Persistent link: https://www.econbiz.de/10014373695
Saved in:
4
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:
5
Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Zhao, Xiaojun
;
Xu, Chao
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014578531
Saved in:
6
Modelling and forecasting crude oil prices during COVID-19 Pandemic
Hendrawaty, Ernie
;
Azhar, Rialdi
;
Kesumah, Fajrin Satria Dwi
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
2
,
pp. 149-154
Persistent link: https://www.econbiz.de/10012608864
Saved in:
7
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
Saved in:
8
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
9
Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Liu, Wei
;
Garrett, Ian
- In:
Economic modelling
128
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
Saved in:
10
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima
- In:
Journal of empirical finance
70
(
2023
),
pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
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