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~person:"Degiannakis, Stavros"
~person:"Lucas, André"
~person:"Tiwari, Aviral Kumar"
~subject:"ARCH-Modell"
~subject:"Aktienmarkt"
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ARCH-Modell
Aktienmarkt
Correlation
47
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46
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29
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29
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23
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22
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21
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21
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20
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dynamic dependence
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Degiannakis, Stavros
Lucas, André
Tiwari, Aviral Kumar
Engle, Robert F.
19
Bauwens, Luc
14
Christiansen, Charlotte
12
Gupta, Rangan
12
Hammoudeh, Shawkat
12
Hamori, Shigeyuki
11
Asgharian, Hossein
10
Hou, Ai Jun
10
Ledoit, Olivier
10
Liow, Kim Hiang
10
McAleer, Michael
10
Silvennoinen, Annastiina
10
Wolf, Michael
10
Bouri, Elie
9
Demirer, Rıza
9
Lyócsa, Štefan
9
Manera, Matteo
9
Mensi, Walid
9
Teräsvirta, Timo
9
Conrad, Christian
8
Guesmi, Khaled
8
Koopman, Siem Jan
8
McMillan, David G.
8
Otranto, Edoardo
8
Zhang, Bing
8
Ferreira, Paulo
7
Heinlein, Reinhold
7
Karanasos, Menelaos
7
Kim, Jong-Min
7
Mahadeo, Scott M. R.
7
Savva, Christos S.
7
Sheppard, Kevin
7
Ur Rehman, Mobeen
7
Xuan Vinh Vo
7
Yoon, Seong-min
7
Zhu, Huiming
7
Aslanidis, Nektarios
6
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International review of financial analysis
3
Research in international business and finance
3
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Applied economics
1
Applied economics letters
1
ERF working papers series
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance research letters
1
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1
Indian economic review : biannual journal of the Delhi School of Economics, University of Delhi
1
International review of economics & finance : IREF
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)
28
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28
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date (oldest first)
1
An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Technological forecasting & social change : an …
186PA
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014250438
Saved in:
2
Tail risk
dependence
, co-movement and predictability between green bond and green stocks
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Applied economics
55
(
2023
)
2
,
pp. 201-222
Persistent link: https://www.econbiz.de/10013494416
Saved in:
3
Short- and long-run tail
dependence
switching in MENA stock markets : the roles of oil, bitcoin, gold and VIX
Mensi, Walid
;
Hammoudeh, Shawkat
;
Tiwari, Aviral Kumar
; …
-
2019
Persistent link: https://www.econbiz.de/10012144916
Saved in:
4
Dependence
structure between the BRICS foreign exchange and stock markets using the
dependence
-switching copula approach
Kumar, Satish
;
Tiwari, Aviral Kumar
;
Chauhan, Yogesh
; …
- In:
International review of financial analysis
63
(
2019
),
pp. 273-284
Persistent link: https://www.econbiz.de/10012207463
Saved in:
5
Long memory dynamics for multivariate
dependence
under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
6
Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model
Shi, Yongjing
;
Tiwari, Aviral Kumar
;
Gozgor, Giray
;
Lu, Zhou
- In:
Research in international business and finance
53
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012549821
Saved in:
7
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2010
representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on
dependence
structures …
Persistent link: https://www.econbiz.de/10011380135
Saved in:
8
An analysis of
dependence
between Central and Eastern European stock markets
Reboredo, Juan Carlos
;
Tiwari, Aviral Kumar
;
Albulescu, …
- In:
Economic systems
39
(
2015
)
3
,
pp. 474-490
Persistent link: https://www.econbiz.de/10011532315
Saved in:
9
Analysing dynamic
dependence
between gold and stock returns : evidence using stochastic and full-range tail
dependence
copula models
Boako, Gideon
;
Tiwari, Aviral Kumar
;
Ibrahim, Muazu
; …
- In:
Finance research letters
31
(
2019
),
pp. 391-397
Persistent link: https://www.econbiz.de/10012421744
Saved in:
10
Long memory dynamics for multivariate
dependence
under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
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