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~person:"Al-Yahyaee, Khamis Hamed"
~person:"Yang, Sheng-Yung"
~subject:"multivariate GARCH model"
~subject:"time-varying risk premiums"
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multivariate GARCH model
time-varying risk premiums
ARCH model
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ARCH-Modell
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Al-Yahyaee, Khamis Hamed
Yang, Sheng-Yung
Tsay, Ruey S.
3
Wang, Yongning
3
Choi, Hankyeung
2
Leatham, David J.
2
Saidi, Youssef
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Sukcharoen, Kunlapath
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Review of Quantitative Finance and Accounting
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The North American journal of economics and finance : a journal of financial economics studies
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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
2
International Asset Excess Returns and Multivariate Conditional Volatilities
Chiang, Thomas
;
Yang, Sheng-Yung
- In:
Review of Quantitative Finance and Accounting
24
(
2005
)
3
,
pp. 295-312
. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a
multivariate
GARCH
model shows that …
Persistent link: https://www.econbiz.de/10005542131
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