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Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis. (2015). Kumar, Dilip.
In: Economic Modelling.
RePEc:eee:ecmode:v:49:y:2015:i:c:p:354-371.

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Cited: 12

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Cites: 45

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  1. Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
  2. Islamic and conventional equity markets: Two sides of the same coin, or not?. (2019). , Walid.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:72:y:2019:i:c:p:191-205.

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  3. Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

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  4. The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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  5. The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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  6. Can investors gain from investing in certain sectors?. (2017). Narayan, Seema ; Ahmed, Huson Ali .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:160-177.

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  7. Efficient modelling and forecasting with range based volatility models and its application. (2017). NG, KOK HAUR ; Chan, Jennifer ; Allen, David ; Peiris, Shelton.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:448-460.

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  8. Asset price bubbles and economic welfare. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:44:y:2016:i:c:p:139-148.

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  9. How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R.
    In: Energy Policy.
    RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628.

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  10. Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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  11. Structural breaks and monetary dynamics: A time series analysis. (2016). El-Shazly, Alaa .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:133-143.

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  12. Do order imbalances predict Chinese stock returns? New evidence from intraday data. (2015). Narayan, Seema ; Westerlund, Joakim.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:136-151.

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