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~person:"Gupta, Rangan"
~person:"Hammoudeh, Shawkat"
~subject:"ARCH model"
~subject:"Volatilität"
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Search: subject_exact:"Markov process"
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ARCH model
Volatilität
Markov chain
35
Markov-Kette
35
Estimation
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21
Volatility
16
Forecasting model
15
Prognoseverfahren
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Gupta, Rangan
Hammoudeh, Shawkat
Bauwens, Luc
16
Chiarella, Carl
13
Meitz, Mika
13
Saikkonen, Pentti
13
Lux, Thomas
11
Lütkepohl, Helmut
11
Dufays, Arnaud
10
Elliott, Robert J.
10
Siu, Tak Kuen
10
Nguyen, Duy
9
Otranto, Edoardo
9
Billio, Monica
8
Casarin, Roberto
8
Lee, Hsiang-Tai
8
Ma, Feng
8
Chang, Kuang-Liang
7
Chen, Cathy W. S.
7
Cui, Zhenyu
7
Forbes, Catherine Scipione
7
Kang, Boda
7
Martin, Gael M.
7
Omori, Yasuhiro
7
Rodriguez, Gabriel
7
Rombouts, Jeroen V. K.
7
Serletis, Apostolos
7
Xu, Libo
7
Asai, Manabu
6
Augustyniak, Maciej
6
Balcilar, Mehmet
6
Chevallier, Julien
6
Gallo, Giampiero M.
6
Haas, Markus
6
Maheu, John M.
6
Maneesoonthorn, Worapree
6
So, Mike Ka-pui
6
Velinov, Anton
6
Amisano, Gianni
5
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5
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Department of Economics working paper series
3
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3
The North American journal of economics and finance : a journal of financial economics studies
2
Applied economics
1
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1
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1
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1
International journal of forecasting
1
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1
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ECONIS (ZBW)
18
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1
Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng
;
Segnon, Mawuli
;
Cepni, Oguzhan
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014448138
Saved in:
2
Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10012800652
Saved in:
3
Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli
;
Gupta, Rangan
;
Wilfling, Bernd
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10014450235
Saved in:
4
Conventional and unconventional monetary policy rate uncertainty and stock market volatility : a forecasting perspective
Liu, Ruipeng
;
Gupta, Rangan
-
2021
Persistent link: https://www.econbiz.de/10012665261
Saved in:
5
Forecasting oil and gold volatilities with sentiment indicators under structural breaks
Luo, Jiawen
;
Demirer, Rıza
;
Gupta, Rangan
;
Ji, Qiang
- In:
Energy economics
105
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013201953
Saved in:
6
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
7
Gold-oil dependence dynamics and the role of geopolitical risks : evidence from a Markov-switching time-varying copula model
Tiwari, Aviral Kumar
;
Aye, Goodness C.
;
Gupta, Rangan
; …
- In:
Energy economics
88
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012516211
Saved in:
8
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
9
What are the categories of geopolitical risks that could drive oil prices higher? : acts or threats?
Bouoiyour, Jamal
;
Selmi, Refk
;
Hammoudeh, Shawkat
; …
- In:
Energy economics
84
(
2019
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012183421
Saved in:
10
Do house prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autogressive model
Peretti, Vittorio
;
Gupta, Rangan
;
Inglesi-Lotz, Roula
- In:
Economics, management and financial markets
7
(
2012
)
4
,
pp. 101-120
Persistent link: https://www.econbiz.de/10009740972
Saved in:
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