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~person:"Degiannakis, Stavros"
~person:"Lucas, André"
~person:"Tiwari, Aviral Kumar"
~subject:"ARCH-Modell"
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ARCH-Modell
Correlation
43
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42
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28
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28
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23
Time series analysis
22
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20
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20
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Degiannakis, Stavros
Lucas, André
Tiwari, Aviral Kumar
Engle, Robert F.
19
Bauwens, Luc
14
Hamori, Shigeyuki
11
Ledoit, Olivier
10
Silvennoinen, Annastiina
10
Wolf, Michael
10
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9
Koopman, Siem Jan
8
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8
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7
Gupta, Rangan
7
Karanasos, Menelaos
7
McAleer, Michael
7
Sheppard, Kevin
7
Caporin, Massimiliano
6
Guesmi, Khaled
6
Lyócsa, Štefan
6
Manera, Matteo
6
Ur Rehman, Mobeen
6
Yoon, Seong-min
6
Baumöhl, Eduard
5
De Nard, Gianluca
5
Demirer, Rıza
5
Dijk, Dick van
5
Fermanian, Jean-David
5
Füss, Roland
5
Hafner, Christian M.
5
Hammoudeh, Shawkat
5
Janus, Paweł
5
Kim, Jong-Min
5
Liow, Kim Hiang
5
Mensi, Walid
5
Molnár, Peter
5
Stavroyiannis, Stavros
5
Tsui, Albert K.
5
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3
International review of financial analysis
2
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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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1
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ECONIS (ZBW)
20
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013
Antonakakis, Nikolaos
;
Gupta, Rangan
;
Tiwari, Aviral Kumar
- In:
Journal of economics and finance
42
(
2018
)
4
,
pp. 795-806
Persistent link: https://www.econbiz.de/10012031147
Saved in:
8
New HEAVY models for fat-tailed realized covariances and returns
Opschoor, Anne
;
Janus, Paweł
;
Lucas, André
;
Dijk, Dick van
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 643-657
Persistent link: https://www.econbiz.de/10012249228
Saved in:
9
Has the correlation of inflation and stock prices changed in the United States over the last two centuries?
Antonakakis, Nikolaos
;
Gupta, Rangan
;
Tiwari, Aviral Kumar
- In:
Research in international business and finance
42
(
2017
),
pp. 1-8
Persistent link: https://www.econbiz.de/10011747216
Saved in:
10
Hedge fund returns under crisis scenarios : a holistic approach
Stophoros, Chrysostomos
;
Degiannakis, Stavros
; …
- In:
Research in international business and finance
42
(
2017
),
pp. 1196-1207
Persistent link: https://www.econbiz.de/10011760944
Saved in:
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