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~person:"Spagnolo, Nicola"
~subject:"Volatility"
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Search: subject:"GARCH"
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Volatility
Volatilität
37
ARCH model
23
ARCH-Modell
23
Ankündigungseffekt
20
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20
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Spagnolo, Nicola
McAleer, Michael
133
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66
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64
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61
Caporale, Guglielmo Maria
53
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42
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32
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32
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31
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29
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20
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Diebold, Francis X.
18
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18
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1
US municipal green bonds and financial integration
Caporale, Guglielmo Maria
;
Spagnolo, Nicola
-
2023
respectively. Specifically, four-variate VAR-
GARCH
-BEKK models are estimated which include suitably defined dummies corresponding …
Persistent link: https://www.econbiz.de/10014234020
Saved in:
2
Equity fund flows and stock market returns in the USA before and after the global financial crisis : a VAR-
GARCH
-in-mean analysis
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
2
,
pp. 539-555
Persistent link: https://www.econbiz.de/10012490280
Saved in:
3
Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
-
2015
This paper estimates a bivariate VAR-
GARCH
(1,1) model to examine linkages between food and energy prices. The adopted …
Persistent link: https://www.econbiz.de/10010498617
Saved in:
4
Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
-
2015
This paper estimates a bivariate VAR-
GARCH
(1,1) model to examine linkages between food and energy prices. The adopted …
Persistent link: https://www.econbiz.de/10010501248
Saved in:
5
Spillovers between food and energy prices and structural breaks /Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Al-Maadid, Alanoud
;
Caporale, Guglielmo Maria
; …
-
2015
Persistent link: https://www.econbiz.de/10010527213
Saved in:
6
Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
This paper uses a VAR-
GARCH
(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011441480
Saved in:
7
Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
This paper uses a VAR-
GARCH
(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011444455
Saved in:
8
Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
Persistent link: https://www.econbiz.de/10011448291
Saved in:
9
Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
Persistent link: https://www.econbiz.de/10011448305
Saved in:
10
Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria
;
Spagnolo, Fabio
;
Spagnolo, Nicola
-
2016
03/1/2000- 12/5/2013. The estimated VAR-
GARCH
(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011421883
Saved in:
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