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JIANG Zhengjun
1
HU Yujia
1
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Journal article
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2017
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2016
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英语English
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ESCI
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Leverage effect
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Downside risk
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Financial returns
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GARCH-type models
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Laplace distribution
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Econometrics
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Journal of Time Series Econ...
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Volatility Modeling with Leverage Effect under Laplace Errors
Journal article
Journal of Time Series Econometrics,2017, volume: 10, issue: 1
Authors:
Jiang, Zhengjun
;
Xia, Weixuan
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View/Download:12/0
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Submit date:2022/02/15
Financial returns
GARCH-type models
Laplace distribution
Leverage effect
Volatility
Volatility forecasting: Downside risk, jumps and leverage effect
Journal article
Econometrics,2016, volume: 4, issue: 1
Authors:
Audrino, Francesco
;
Hu, Yujia
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View/Download:3/0
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Submit date:2022/06/14
Downside risk
High frequency data
Leverage effect
Realized volatility forecasting