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~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of time series econometrics"
~subject:"ARCH model"
~subject:"Gaussian fractionally integrated processes"
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ARCH model
Gaussian fractionally integrated processes
Time series analysis
12
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12
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8
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8
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8
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6
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1
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Asai, Manabu
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1
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1
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1
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1
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International review of economics & finance : IREF
Journal of time series econometrics
Research in international business and finance
10
Discussion paper / Tinbergen Institute
9
Economic modelling
8
Finance research letters
8
The North American journal of economics and finance : a journal of financial economics studies
8
Energy economics
7
Applied economics
4
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
4
Finance a úvěr
3
International journal of economics and financial issues : IJEFI
3
International journal of forecasting
3
Journal of empirical finance
3
Journal of international financial markets, institutions & money
3
Journal of risk
3
Journal of risk and financial management : JRFM
3
Afro-Asian Journal of Finance and Accounting : AAJFA
2
Applied economics letters
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East Asian economic review
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Economics and finance working paper series
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Emerging markets review
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Eurasian economic review : a journal in applied macroeconomics and finance
2
International journal of monetary economics and finance
2
International review of financial analysis
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Journal of East Asian economic integration
2
Journal of banking & finance
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Maritime economics & logistics : a quarterly scientific journal committed to the advancement of maritime economics as a distinct and well defined branch of both applied economics and international business
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Pacific accounting review
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Theoretical economics letters
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Asia-Pacific journal of financial studies
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1
Volatility persistence in cryptocurrency markets under structural breaks
Abakah, Emmanuel Joel Aikins
;
Gil-Alaña, Luis A.
; …
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 680-691
Persistent link: https://www.econbiz.de/10012487193
Saved in:
2
Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
Bardet, Jean-Marc
;
Dola, Béchir
- In:
Journal of time series econometrics
8
(
2016
)
2
,
pp. 115-153
Persistent link: https://www.econbiz.de/10011582764
Saved in:
3
Realized range volatility forecasting : dynamic features and predictive variables
Caporin, Massimiliano
;
Velo, Gabriel G.
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 98-112
Persistent link: https://www.econbiz.de/10011573562
Saved in:
4
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
5
Stock and currency market linkages : new evidence from realized spillovers in higher moments
Do, Hung Xuan
;
Brooks, Robert
;
Sirimon Treepongkaruna
; …
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 167-185
Persistent link: https://www.econbiz.de/10011625106
Saved in:
6
Forecasting the volatility of the Dow Jones Islamic Stock Market Index :
long
memory
vs. regime switching
Nasr, Adnen Ben
;
Lux, Thomas
;
Ajmi, Ahdi Noomen
;
Gupta, …
- In:
International review of economics & finance : IREF
45
(
2016
),
pp. 559-571
Persistent link: https://www.econbiz.de/10011626589
Saved in:
7
Long
memory
and asymmetry for matrix-exponential dynamic correlation processes
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10010510043
Saved in:
8
Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos
- In:
Journal of time series econometrics
7
(
2015
)
2
,
pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
Saved in:
9
Structural breaks and
long
memory
in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcemen...
Mensi, Walid
;
Hammoudeh, Shawkat
;
Yoon, Seong-min
- In:
International review of economics & finance : IREF
30
(
2014
),
pp. 101-119
Persistent link: https://www.econbiz.de/10010490494
Saved in:
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