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~person:"Tsui, Albert K."
~person:"Zhu, Ke"
~subject:"ARCH model"
~subject:"Conditional heteroskedasticity"
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Conditional heteroskedasticity
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Tsui, Albert K.
Zhu, Ke
Lütkepohl, Helmut
15
Meitz, Mika
11
Saikkonen, Pentti
11
Gonçalves, Sílvia
8
Kilian, Lutz
8
Herwartz, Helmut
6
Andrews, Donald W. K.
5
Carnero, M. Angeles
5
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5
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5
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4
He, Changli
4
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4
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4
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4
Sentana, Enrique
4
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3
Arvanitis, Stelios
3
Brooks, Chris
3
Cavaliere, Giuseppe
3
Christiansen, Charlotte
3
Guggenberger, Patrik
3
Lee, Ji Hyung
3
Li, Wai Keung
3
Ling, Shiqing
3
Machina, Mark J.
3
Milunovich, George
3
Netšunajev, Aleksei
3
Paolella, Marc S.
3
Ruiz, Esther
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3
Zakoïan, Jean-Michel
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2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Economic modelling
1
Journal of applied econometrics
1
Journal of econometrics
1
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ECONIS (ZBW)
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1
The ZD-GARCH model : a new way to study heteroscedasticity
Li, Dong
;
Zhang, Xingfa
;
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011974547
Saved in:
2
Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates
Zhu, Ke
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
4
,
pp. 528-542
Persistent link: https://www.econbiz.de/10011893733
Saved in:
3
A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke
;
Li, Wai Keung
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
Saved in:
4
Conditional heteroscedasticity with leverage effect in stock returns : evidence from the Chinese stock market
Long, Ling
;
Tsui, Albert K.
;
Zhang, Zhaoyong
- In:
Economic modelling
37
(
2014
),
pp. 89-102
Persistent link: https://www.econbiz.de/10010416824
Saved in:
5
Conditional heteroscedasticity of exchange rates : further results based on the fractionally integrated approach
Tsui, Albert K.
;
Ho, Kin-Yip
- In:
Journal of applied econometrics
19
(
2004
)
5
,
pp. 637-642
Persistent link: https://www.econbiz.de/10002342812
Saved in:
6
A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen
;
Tsui, Albert K.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
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