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~person:"Cavicchioli, Maddalena"
~person:"Chang, Kuang-Liang"
~person:"Ma, Feng"
~subject:"ARCH model"
~subject:"Estimation theory"
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Search: subject_exact:"Markov process"
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ARCH model
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Markov chain
33
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33
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17
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17
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16
Time series analysis
16
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16
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Cavicchioli, Maddalena
Chang, Kuang-Liang
Ma, Feng
Bauwens, Luc
16
Meitz, Mika
13
Saikkonen, Pentti
13
Dufays, Arnaud
10
Lütkepohl, Helmut
9
Lee, Hsiang-Tai
8
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8
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7
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7
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6
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6
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6
Dijk, Herman K. van
6
Gupta, Rangan
6
Otranto, Edoardo
6
Shi, Yanlin
6
Srisuma, Sorawoot
6
Ardia, David
5
Augustyniak, Maciej
5
Bohl, Martin T.
5
Geweke, John
5
Haas, Markus
5
Hoogerheide, Lennart
5
León-González, Roberto
5
Lux, Thomas
5
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5
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5
Tsionas, Efthymios G.
5
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5
Asai, Manabu
4
Balcilar, Mehmet
4
Bertail, Patrice
4
Bognanni, Mark
4
Caporale, Guglielmo Maria
4
Clémençon, Stéphan
4
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4
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Applied economics letters
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2
International review of economics & finance : IREF
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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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
Impulse response function analysis for Markov switching VAR models
Cavicchioli, Maddalena
- In:
Economics letters
232
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014464479
Saved in:
4
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:
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
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
Saved in:
7
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
8
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:
9
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:
10
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:
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