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~person:"Choudhry, Taufiq"
~person:"Li, Steven"
~subject:"ARCH-Modell"
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Search: subject_exact:"SMI-Futures"
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ARCH-Modell
Index futures
11
Index-Futures
11
ARCH model
9
Volatility
7
Volatilität
7
Börsenkurs
6
China
6
Share price
6
Aktienmarkt
4
Hedging
4
Stock market
4
Estimation
3
Schätzung
3
Aktienindex
2
Capital income
2
Chinese stock index futures
2
GARCH model
2
Information transmission
2
Kapitaleinkommen
2
Spillover effect
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1990-1994
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1990-1999
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AR-GJR-GARCH-M model
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Asia-Pacific region
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Asiatisch-pazifischer Raum
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Asymmetric DCC GARCH
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Australia
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Australien
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Autocorrelation
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Autokorrelation
1
Behavioural finance
1
Bivariate GARCH
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CCC BGARCH
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CSI 300 index futures
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CSI 300 stock index futures
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Choudhry, Taufiq
Li, Steven
Hou, Yang
7
Mittnik, Stefan
5
Bologna, Pierluigi
4
Claessen, Holger
3
Lau, Chi Keung
3
McMillan, David G.
3
Speight, Alan E. H.
3
Wang, Janchung
3
Yarovaya, Larisa
3
Antoniou, Antonios
2
Aragó, Vicent
2
Bhatt, Rajesh
2
Brzeszczyński, Janusz
2
Caporin, Massimiliano
2
Cavallo, Laura
2
Corsi, Fulvio
2
Fantazzini, Dean
2
Gannon, Gerard L.
2
Hasan, Mohammad S.
2
Jian, Zhihong
2
Koutmos, Gregory
2
Lee, Hsiang-Tai
2
Lehnert, Thorsten
2
Liu, Hung-Chun
2
Loc Dong Truong
2
López Herrera, Francisco
2
Ma, Feng
2
Maniar, Hiren M.
2
Maniyar, Dharmesh M.
2
Maré, E.
2
Nguyen Thi Kim Anh
2
Pigorsch, Christian
2
Qiao, Gaoxiu
2
Rossi, Eduardo
2
Salvador, Enrique
2
Santillán Salgado, Roberto Joaquín
2
Shaikh, Imlak
2
Srinivasan, P.
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International review of economics & finance : IREF
3
Economic modelling
1
Energy economics
1
International journal of banking, accounting and finance : IJBAAF
1
Journal of multinational financial management
1
Pacific-Basin finance journal
1
Studies in economics and finance
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ECONIS (ZBW)
9
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1
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:
2
Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
66
(
2020
),
pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
Saved in:
3
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang
;
Li, Steven
;
Wen, Fenghua
- In:
Energy economics
83
(
2019
),
pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
Saved in:
4
Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang
;
Li, Steven
- In:
Economic modelling
52
(
2016
),
pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
Saved in:
5
Volatility behaviour of stock index futures in China : a bivariate GARCH approach
Hou, Yang
;
Li, Steven
- In:
Studies in economics and finance
32
(
2015
)
1
,
pp. 128-154
Persistent link: https://www.econbiz.de/10011380764
Saved in:
6
The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
33
(
2014
),
pp. 319-337
Persistent link: https://www.econbiz.de/10010532719
Saved in:
7
Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Hou, Yang
;
Li, Steven
- In:
Pacific-Basin finance journal
24
(
2013
),
pp. 109-131
Persistent link: https://www.econbiz.de/10010346788
Saved in:
8
The hedging effectiveness of constant and time-varying hedge ratios using three pacific basin stock futures
Choudhry, Taufiq
- In:
International review of economics & finance : IREF
13
(
2004
)
4
,
pp. 371-385
Persistent link: https://www.econbiz.de/10002222885
Saved in:
9
Short-run deviations and optimal hedge ratio : evidence from stock futures
Choudhry, Taufiq
- In:
Journal of multinational financial management
13
(
2003
)
2
,
pp. 171-192
Persistent link: https://www.econbiz.de/10001756471
Saved in:
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