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~person:"Ma, Feng"
~person:"Rombouts, Jeroen V. K."
~subject:"ARCH model"
~subject:"Forecasting evaluation"
~subject:"Volatilität"
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Search: subject_exact:"Markov process"
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ARCH model
Forecasting evaluation
Volatilität
Markov chain
15
Markov-Kette
15
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14
Forecasting model
8
Prognoseverfahren
8
Volatility
8
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7
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7
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6
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6
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realized range-based volatility
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Ma, Feng
Rombouts, Jeroen V. K.
Bauwens, Luc
16
Chiarella, Carl
13
Meitz, Mika
13
Saikkonen, Pentti
13
Gupta, Rangan
12
Lux, Thomas
11
Lütkepohl, Helmut
11
Dufays, Arnaud
10
Elliott, Robert J.
10
Siu, Tak Kuen
10
Nguyen, Duy
9
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9
Billio, Monica
8
Casarin, Roberto
8
Lee, Hsiang-Tai
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
Serletis, Apostolos
7
Xu, Libo
7
Asai, Manabu
6
Augustyniak, Maciej
6
Balcilar, Mehmet
6
Chevallier, Julien
6
Gallo, Giampiero M.
6
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6
Hammoudeh, Shawkat
6
Maheu, John M.
6
Maneesoonthorn, Worapree
6
So, Mike Ka-pui
6
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6
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5
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5
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2
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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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ECONIS (ZBW)
15
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1
Stock market volatility predictability in a data-rich world : a new insight
Ma, Feng
;
Wang, Jiqian
;
Wahab, M. I. M.
;
Ma, Yuanhui
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1804-1819
Persistent link: https://www.econbiz.de/10014465355
Saved in:
2
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
3
Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Liu, Jing
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
Saved in:
4
Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian
;
Ma, Feng
;
Liang, Chao
;
Chen, Zhonglu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
Saved in:
5
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
6
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
7
Forecasting the realized volatility of the oil futures market : a regime switching approach
Ma, Feng
;
Wahab, M. I. M.
;
Huang, Dengshi
;
Xu, Weiju
- In:
Energy economics
67
(
2017
),
pp. 136-145
Persistent link: https://www.econbiz.de/10011897885
Saved in:
8
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009382620
Saved in:
9
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009504878
Saved in:
10
Forecasting realized range volatility : a regime-switching approach
Ma, Feng
;
Liu, Li
;
Liu, Zhichao
;
Wei, Yu
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1361-1365
Persistent link: https://www.econbiz.de/10011380188
Saved in:
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