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Aktienmarkt
Multivariate GARCH
348
ARCH-Modell
321
ARCH model
304
multivariate GARCH
276
Volatility
245
Volatilität
232
Schätzung
128
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126
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96
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Multivariate GARCH models
38
CAPM
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volatility spillovers
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Guesmi, Khaled
5
De Nard, Gianluca
4
Engle, Robert F.
4
Ledoit, Olivier
4
Teulon, Frédéric
4
Wolf, Michael
4
Ahmed, Abdullahi Dahir
3
Jain, Payal
3
Sehgal, Sanjay
3
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2
Arouri, Mohamed
2
Caporale, Guglielmo Maria
2
Giles, David E. A.
2
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2
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2
Huo, Rui
2
Lanza, Alessandro
2
Li, Yanan
2
Manera, Matteo
2
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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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3
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2
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Financial history review
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Frontiers of business research in China : selected publications from Chinese universities
1
Global business review
1
Global finance journal
1
Global review of business and economic research
1
Industrial marketing management : the international journal for industrial and high-tech firms
1
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
1
International journal of computational economics and econometrics : IJCEE
1
International journal of economics and business research
1
International journal of emerging markets
1
International journal of finance & economics : IJFE
1
International journal of financial research
1
International journal of managerial finance : IJMF
1
International review of economics & finance : IREF
1
International transactions in operational research : a journal of the International Federation of Operational Research Societies
1
Investigación económica : revista de la Faculdad de Economía de la Universidad Nacional Autónoma de México
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Islamic economic studies
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ECONIS (ZBW)
69
EconStor
4
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1
Investigating volatility transmission across international equity markets using multivariate fractional models
Saâdaoui, Foued
;
Ghadhab, Imen
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2139-2157
Persistent link: https://www.econbiz.de/10014259113
Saved in:
2
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
3
Stock markets integration between Western Europe and Central and South-Eastern Europe : latest trends
Minović, Jelena
;
Janković, Irena
;
Kovačević, Vlado
- In:
Economic analysis : EA
55
(
2022
)
1
,
pp. 63-75
Persistent link: https://www.econbiz.de/10013366032
Saved in:
4
Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu
;
Dufour, Alfonso
- In:
The quarterly review of economics and finance
94
(
2024
),
pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
Saved in:
5
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
6
Market integration and volatility spillover across major East Asian stock and Bitcoin markets : an empirical assessment
Zeng, Hongjun
;
Ahmed, Abdullahi Dahir
- In:
International journal of managerial finance : IJMF
19
(
2023
)
4
,
pp. 772-802
Persistent link: https://www.econbiz.de/10014326092
Saved in:
7
Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models
Fakhfekh, Mohamed
;
Jeribi, Ahmed
;
Ghorbel, Ahmed
; …
- In:
International journal of emerging markets
18
(
2023
)
4
,
pp. 978-1006
Persistent link: https://www.econbiz.de/10014333595
Saved in:
8
Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict : evidence from the ASEAN+6
Surachai Chancharat
;
Parichat Sinlapates
- In:
Finance research letters
57
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014526667
Saved in:
9
Does the choice of the
multivariate
GARCH
model on volatility spillovers matter? : evidence from oil prices and stock markets in G7 countries
Kartsonakis-Mademlis, Dimitrios
;
Dritsakis, Nikolaos
- In:
International Journal of Energy Economics and Policy : IJEEP
10
(
2020
)
5
,
pp. 164-182
Persistent link: https://www.econbiz.de/10012505769
Saved in:
10
Spillover effects between stock prices and exchange rates for the Central and Eastern European countries
Ngo Thai Hung
- In:
Global business review
23
(
2022
)
2
,
pp. 259-286
Persistent link: https://www.econbiz.de/10013256834
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