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~person:"Arouri, Mohamed El Hedi"
~person:"Guesmi, Khaled"
~subject:"Multivariate Fractional Cointegration"
~type_genre:"Aufsatz in Zeitschrift"
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Multivariate Fractional Cointegration
Aktienmarkt
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Stock market
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Börsenkurs
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Oil price
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Share price
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Ölpreis
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Estimation
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Schätzung
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Volatility
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Volatilität
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ARCH model
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ARCH-Modell
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Stock Markets
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Cointegration
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Correlation
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Financial market
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Finanzmarkt
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Kointegration
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Spillover effect
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Spillover-Effekt
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Stock markets
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Aktienindex
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Ansteckungseffekt
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COVID-19
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Coronavirus
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Oil prices
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Stock index
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Welt
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World
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Capital income
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Commodity market
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Conditional correlations
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Contagion
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Corrected Dynamic Conditional Correlation Fractionally Integrated Asymmetric Power Autoregressive Conditional Heteroskedasticity (c-DCC-FIAPARCH)
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Cross-wavelet coherence
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DCC-GARCH model
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Aufsatz in Zeitschrift
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Arouri, Mohamed El Hedi
Guesmi, Khaled
Boubaker, Heni
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Lai, Van Son
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Journal of economic integration
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From oil to
stock
markets
Guesmi, Khaled
;
Boubaker, Heni
;
Lai, Van Son
- In:
Journal of economic integration
31
(
2016
)
1
,
pp. 103-133
Persistent link: https://www.econbiz.de/10011451684
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