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A multivariate GARCH-jump mixt...
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An infinite hidden Markov model with stochastic volatility
Li, Chenxing
;
Maheu, John M.
;
Yang, Qiao
- In:
Journal of forecasting
43
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2024
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6
,
pp. 2187-2211
Persistent link: https://www.econbiz.de/10015110400
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An authenticated and secure accounting system for international emissions trading
Li, Chenxing
;
Yu, Yang
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Yao, Andrew Chi-Chih
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Zhang, Da
; …
- In:
Climate policy
22
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Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing
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Zhang, Zehua
;
Zhao, Ran
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Finance research letters
67
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2024
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2
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pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
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An infinite hidden Markov model with GARCH for short-term interest rates
Li, Chenxing
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Yang, Qiao
- In:
Finance research letters
80
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2025
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pp. 1-18
Persistent link: https://www.econbiz.de/10015422517
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Identifying bull and bear markets in stock returns
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
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1
,
pp. 100-112
Persistent link: https://www.econbiz.de/10001441612
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Volatility dynamics under duration-dependent mixing
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of empirical finance
7
(
2000
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3/4
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pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Conditional jump dynamics in stock market returns
Chan, Wing Hong
;
Maheu, John M.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
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pp. 377-389
Persistent link: https://www.econbiz.de/10001695284
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Nonlinear features of realized FX volatility
Maheu, John M.
(
contributor
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McCurdy, Thomas H.
(
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)
-
2001
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[Elektronische Ressource]
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Nonlinear features of realized FX volatility
Maheu, John M.
;
McCurdy, Thomas H.
- In:
The review of economics and statistics
84
(
2002
)
4
,
pp. 668-681
Persistent link: https://www.econbiz.de/10001711218
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News arrival, jump dynamics, and volatility components for individual stock returns
Maheu, John M.
;
McCurdy, Thomas H.
- In:
The journal of finance : the journal of the American …
59
(
2004
)
2
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pp. 755-793
Persistent link: https://www.econbiz.de/10002013824
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