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~person:"Koopman, Siem Jan"
~person:"Liang, Chao"
~subject:"Börsenkurs"
~subject:"Multivariate analysis"
~subject:"Realized volatility"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
Multivariate analysis
Realized volatility
ARCH model
48
ARCH-Modell
48
Volatility
41
Volatilität
41
Forecasting model
28
Prognoseverfahren
28
Capital income
17
Kapitaleinkommen
17
Time series analysis
17
Zeitreihenanalyse
17
Theorie
16
Theory
16
Estimation
15
Schätzung
15
Share price
15
Aktienmarkt
12
Stock market
12
Welt
11
World
11
Volatility forecasting
9
Correlation
8
Korrelation
8
Oil price
8
Ölpreis
8
Estimation theory
7
Multivariate Analyse
7
Schätztheorie
7
Aktienindex
5
Forecast
5
Prognose
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Stock index
5
ARMA model
4
ARMA-Modell
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Erdöl
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Forecasting
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English
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Koopman, Siem Jan
Liang, Chao
McAleer, Michael
39
Gupta, Rangan
34
Ma, Feng
32
Hafner, Christian M.
25
Herwartz, Helmut
18
Bouri, Elie
17
Bauwens, Luc
15
Caporin, Massimiliano
15
Zhang, Yaojie
15
Molnár, Peter
14
Allen, David E.
12
Chiang, Thomas C.
12
Engle, Robert F.
12
Silvennoinen, Annastiina
12
Tiwari, Aviral Kumar
12
Asai, Manabu
11
Rombouts, Jeroen V. K.
11
Teräsvirta, Timo
11
Kang, Sang Hoon
10
Li, Yan
10
Mittnik, Stefan
10
Paolella, Marc S.
10
Wang, Jiqian
10
Weber, Enzo
10
Brooks, Robert
9
Degiannakis, Stavros
9
Demirer, Rıza
9
Floros, Christos
9
Haas, Markus
9
Nonejad, Nima
9
Powell, Robert
9
Yoon, Seong-min
9
Corbet, Shaen
8
Filis, George
8
Hammoudeh, Shawkat
8
Hansen, Peter Reinhard
8
Huang, Zhuo
8
Lu, Xinjie
8
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Discussion paper / Tinbergen Institute
8
International review of financial analysis
2
Journal of international financial markets, institutions & money
2
Applied economics
1
China finance review international
1
Finance research letters
1
International journal of finance & economics : IJFE
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic behavior & organization
1
Journal of empirical finance
1
Journal of financial econometrics
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Journal of forecasting
1
Quantitative finance
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Tinbergen Institute Discussion Paper 10-032/2
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ECONIS (ZBW)
24
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1
More attention and better volatility forecast accuracy : how does war attention affect stock volatility predictability?
Liang, Chao
;
Wang, Lu
;
Duy Duong
- In:
Journal of economic behavior & organization
218
(
2024
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014552793
Saved in:
2
The role of model bias in predicting volatility : evidence from the US equity markets
Li, Yan
;
Luo, Lian
;
Liang, Chao
;
Ma, Feng
- In:
China finance review international
13
(
2023
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10014312248
Saved in:
3
Global financial stress index and long-term volatility forecast for international stock markets
Liang, Chao
;
Luo, Qin
;
Li, Yan
;
Luu Duc Toan Huynh
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014482967
Saved in:
4
Market momentum amplifies market volatility risk : evidence from China's equity market
Liang, Chao
;
Luu Duc Toan Huynh
;
Li, Yan
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014483186
Saved in:
5
Forecasting the volatility of the German stock market : new evidence
Liang, Chao
;
Zhang, Yi
;
Zhang, Yaojie
- In:
Applied economics
54
(
2022
)
9
,
pp. 1055-1070
Persistent link: https://www.econbiz.de/10012875034
Saved in:
6
Global equity market volatility forecasting : new evidence
Liang, Chao
;
Wei, Yu
;
Lei, Likun
;
Ma, Feng
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 594-609
Persistent link: https://www.econbiz.de/10012814844
Saved in:
7
Forecasting international equity market volatility : a new approach
Liang, Chao
;
Li, Yan
;
Ma, Feng
;
Zhang, Yaojie
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1433-1457
Persistent link: https://www.econbiz.de/10013465704
Saved in:
8
Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information
Liang, Chao
;
Li, Yan
;
Ma, Feng
;
Wei, Yu
- In:
International review of financial analysis
75
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012804153
Saved in:
9
Jumps and oil futures volatility forecasting : a new insight
Ma, Feng
;
Liang, Chao
;
Zeng, Qing
;
Li, Haibo
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 853-863
Persistent link: https://www.econbiz.de/10012500197
Saved in:
10
The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
Li, Yan
;
Liang, Chao
;
Ma, Feng
;
Wang, Jiqian
- In:
Finance research letters
36
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012484308
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