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~person:"Chevallier, Julien"
~person:"Choudhry, Taufiq"
~person:"Kerstan, Friedhelm"
~person:"Lien, Da-hsiang Donald"
~subject:"ARCH-Modell"
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Search: Erdölpreis OR Nahrungsmittelpreise OR Rohstoff OR Rohstoffpreis
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ARCH-Modell
Hedging
100
Theorie
63
Theory
63
Commodity derivative
48
Rohstoffderivat
48
Derivat
43
Derivative
43
Volatility
33
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33
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22
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22
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22
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21
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21
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19
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19
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16
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16
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English
22
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Chevallier, Julien
Choudhry, Taufiq
Kerstan, Friedhelm
Lien, Da-hsiang Donald
McAleer, Michael
42
Ma, Feng
36
Chang, Chia-Lin
34
Hammoudeh, Shawkat
17
Nguyen, Duc Khuong
15
Bouri, Elie
14
Wei, Yu
14
Gupta, Rangan
13
Ji, Qiang
13
Manera, Matteo
13
Serletis, Apostolos
13
Wang, Yudong
13
Zhang, Yaojie
12
Filis, George
11
Mensi, Walid
11
Zagaglia, Paolo
11
Kang, Sang Hoon
10
Tansuchat, Roengchai
10
Guesmi, Khaled
9
Nicolini, Marcella
9
Roengchai Tansuchat
9
Degiannakis, Stavros
8
Liu, Jing
8
Salisu, Afees A.
8
Wen, Fenghua
8
Yoon, Seong-min
8
Elder, John
7
Kočenda, Evžen
7
Lahiani, Amine
7
Lai, Yu-Sheng
7
Lee, Hsiang-Tai
7
Liang, Chao
7
Lu, Xinjie
7
Nonejad, Nima
7
Sadorsky, Perry A.
7
Chen, Chi-chung
6
Dark, Jonathan
6
Floros, Christos
6
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Energy economics
4
International review of economics & finance : IREF
2
The journal of futures markets
2
Applied economics
1
Applied economics letters
1
Applied financial economics
1
International journal of banking, accounting and finance
1
International journal of banking, accounting and finance : IJBAAF
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of forecasting
1
Journal of multinational financial management
1
Research in international business and finance
1
SpringerLink / Bücher
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
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ECONIS (ZBW)
22
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1
A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng
;
Wahab, M. I. M.
;
Chevallier, Julien
;
Li, Ziyang
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 60-75
Persistent link: https://www.econbiz.de/10013465762
Saved in:
2
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
3
Volatility spillovers in commodity markets
Chevallier, Julien
;
Ielpo, Florian
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1211-1227
Persistent link: https://www.econbiz.de/10010198563
Saved in:
4
Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Dhaoui, Abderrazak
;
Chevallier, Julien
;
Ma, Feng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012507450
Saved in:
5
On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model
Bedoui, Rihab
;
Braiek, Sana
;
Guesmi, Khaled
; …
- In:
Energy economics
80
(
2019
),
pp. 876-889
Persistent link: https://www.econbiz.de/10012173742
Saved in:
6
Time-varying correlations in oil, gas and CO2 prices : an application using BEKK, CCC and DCC-MGARCH models
Chevallier, Julien
- In:
Applied economics
44
(
2012
)
31/33
,
pp. 4257-4274
Persistent link: https://www.econbiz.de/10009713497
Saved in:
7
An econometric investigation of hedging performance of stock index futures in Korea : dynamic versus static hedging
Hasan, Mohammad S.
;
Choudhry, Taufiq
;
Zhang, Yuanyuan
- In:
International journal of banking, accounting and …
11
(
2020
)
2
,
pp. 227-253
Persistent link: https://www.econbiz.de/10012204571
Saved in:
8
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
9
Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Zhang, Yuanyuan
;
Choudhry, Taufiq
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 376-399
Persistent link: https://www.econbiz.de/10010528976
Saved in:
10
Volatility returns with vengeance : financial markets vs. commodities
Aboura, Sofiane
;
Chevallier, Julien
- In:
Research in international business and finance
33
(
2015
),
pp. 334-354
Persistent link: https://www.econbiz.de/10011325853
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