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A multivariate GARCH-jump mixt...
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ECONIS (ZBW)
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An infinite hidden Markov model with stochastic volatility
Li, Chenxing
;
Maheu, John M.
;
Yang, Qiao
- In:
Journal of forecasting
43
(
2024
)
6
,
pp. 2187-2211
Persistent link: https://www.econbiz.de/10015110400
Saved in:
2
An authenticated and secure accounting system for international emissions trading
Li, Chenxing
;
Yu, Yang
;
Yao, Andrew Chi-Chih
;
Zhang, Da
; …
- In:
Climate policy
22
(
2022
)
9/10
,
pp. 1333-1342
Persistent link: https://www.econbiz.de/10013486218
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3
Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing
;
Zhang, Zehua
;
Zhao, Ran
- In:
Finance research letters
67
(
2024
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
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4
An infinite hidden Markov model with GARCH for short-term interest rates
Li, Chenxing
;
Yang, Qiao
- In:
Finance research letters
80
(
2025
),
pp. 1-18
Persistent link: https://www.econbiz.de/10015422517
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5
Identifying bull and bear markets in stock returns
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 100-112
Persistent link: https://www.econbiz.de/10001441612
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6
Volatility dynamics under duration-dependent mixing
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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7
Conditional jump dynamics in stock market returns
Chan, Wing Hong
;
Maheu, John M.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 377-389
Persistent link: https://www.econbiz.de/10001695284
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8
Nonlinear features of realized FX volatility
Maheu, John M.
(
contributor
);
McCurdy, Thomas H.
(
contributor
)
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001699562
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9
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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10
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
,
pp. 755-793
Persistent link: https://www.econbiz.de/10002013824
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