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~person:"Balcilar, Mehmet"
~person:"Chang, Kuang-Liang"
~person:"Ma, Feng"
~subject:"ARCH model"
~subject:"Theory"
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Search: subject_exact:"Markov process"
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ARCH model
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Markov chain
30
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Balcilar, Mehmet
Chang, Kuang-Liang
Ma, Feng
Waggoner, Daniel F.
29
Elliott, Robert J.
26
Billio, Monica
22
Casarin, Roberto
21
Tsionas, Efthymios G.
21
Lütkepohl, Helmut
20
Zha, Tao
20
Bauwens, Luc
19
Siu, Tak Kuen
18
Dufays, Arnaud
17
Chib, Siddhartha
16
Guidolin, Massimo
16
Kohn, Robert
15
Koop, Gary
15
Paap, Richard
15
Lux, Thomas
14
Farmer, Roger E. A.
13
Meitz, Mika
13
Saikkonen, Pentti
13
Cavicchioli, Maddalena
12
Dijk, Herman K. van
12
Feinberg, Eugene A.
12
Josephson, Jens
12
Kaufmann, Sylvia
12
Serletis, Apostolos
12
Stachurski, John
12
Cavazos-Cadena, Rolando
11
Ciccarelli, Matteo
11
D'Amico, Guglielmo
11
Geweke, John
11
Guo, Xianping
11
Hansen, Lars Peter
11
Sethi, Suresh
11
Sola, Martin
11
Zha, Tao A.
11
Dijk, Dick van
10
Guérin, Pierre
10
Kamihigashi, Takashi
10
Kim, Chang-jin
10
Koopman, Siem Jan
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Applied economics letters
3
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3
International review of economics & finance : IREF
3
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1
Economic modelling
1
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
Journal of forecasting
1
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1
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ECONIS (ZBW)
19
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1
Stock market volatility predictability in a data-rich world : a new insight
Ma, Feng
;
Wang, Jiqian
;
Wahab, M. I. M.
;
Ma, Yuanhui
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1804-1819
Persistent link: https://www.econbiz.de/10014465355
Saved in:
2
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
3
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
4
Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian
;
Ma, Feng
;
Liang, Chao
;
Chen, Zhonglu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
Saved in:
5
Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Liu, Jing
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
Saved in:
6
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
7
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
8
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
9
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
10
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
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