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Investigation of Indian stock markets using topological data analysis and geometry-inspired network measures. (2024). Kumar, Sunil ; Vijayaraghavan, Sudharsan ; Kulkarni, Saumitra ; Pharasi, Hirdesh K ; Samal, Areejit ; Chakraborti, Anirban.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:643:y:2024:i:c:s0378437124002942.

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  1. Complex network analysis of cryptocurrency market during crashes. (2024). Nurujjaman, MD ; Luwang, SR ; Rai, Anish ; Mukhia, Kundan ; Hens, Chittaranjan ; Majhi, Sushovan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124006046.

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  4. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

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  5. Time reversal invariance in finance. (2007). Zumbach, Gilles.
    In: Papers.
    RePEc:arx:papers:0708.4022.

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  6. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel.
    In: Finance.
    RePEc:wpa:wuwpfi:0507015.

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  7. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
    In: Finance.
    RePEc:wpa:wuwpfi:0502013.

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  8. Regime Switches in Swedish Interest Rates. (2003). Erlandsson, Ulf.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_005.

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  9. GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_06.

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  10. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_03.

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  11. Volatility bias in the GARCH model: a simulation study. (2002). Pérez-Rodríguez, Jorge ; Rodriguez, Jorge Perez ; Gonzalez, Eduardo Acosta.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2002-02.

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  12. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

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  13. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

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  14. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

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  15. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_03.

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  16. The hidden dangers of historical simulation. (2001). Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-27.

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  17. GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA. (2001). Depken, Craig.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:313-327.

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  18. A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES. (2000). Storti, Giuseppe ; Amendola, Alessandra.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:97.

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  19. VALUE AT RISK INCORPORATING DYNAMIC PORTFOLIO MANAGEMENT. (2000). Lawrence, Stephen.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:147.

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  20. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

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  21. Pre-announcement effects, news, and volatility: monetary policy and the stock market. (2000). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-50.

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  22. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

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  23. Evaluating Asset Pricing Implications of DSGE Models. (2000). Schorfheide, Frank ; Reffett, Kevin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1630.

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  24. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

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  25. Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility. (2000). Pilgram, Berndt ; Mees, Alistair .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1162.

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  26. Higher-order dependence in the general Power ARCH process and a special case. (1999). Teräsvirta, Timo ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0315.

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  27. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

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  28. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

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  29. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). LECOURT, Christelle ; Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

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  30. Fiscal Policy and the Term Premium in Real Interest Rate Differentials. (1998). Flavin, Thomas ; Limosani, Michele G..
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n830498.

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  31. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Chidambaran, N. K. ; Trigueros, Joaguin R. ; Lee, Chi-Wen Jevons .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-086.

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  32. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

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  33. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-29.

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  34. Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches. (1997). Garcia, Philip ; Bera, Anil ; Roh, Jae-Sun .
    In: Finance.
    RePEc:wpa:wuwpfi:9712007.

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  35. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think. (1997). Schuermann, Til ; Inoue, Atsushi ; Diebold, Francis ; Hickman, Andrew.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-34.

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  36. Identifying the Common Component in International Economic Fluctuations. (1997). Prasad, Eswar ; Lumsdaine, Robin L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5984.

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  37. What determines the exchange rate: economic factors or market sentiment?. (1997). Hopper, Gregory P..
    In: Business Review.
    RePEc:fip:fedpbr:y:1997:i:sep:p:17-29.

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  38. Model error. (1997). Simons, Katerina.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:1997:i:nov:p:17-28.

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  39. A closed-form GARCH option pricing model. (1997). Heston, Steven L. ; Nandi, Saikat.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

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  40. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

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  41. A Multifractal Model of Asset Returns. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

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  42. Seasonal Adjustment and Volatility Dynamics. (1997). Siklos, Pierre ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-39.

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  43. Calculating Value-at-Risk. (1996). Fallon, William.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:96-49.

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  44. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki.
    In: Departmental Working Papers.
    RePEc:rut:rutres:199619.

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  45. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

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  46. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1996). Lebaron, Blake.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5505.

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  47. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Lumsdaine, Robin ; Jones, Charles M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5446.

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  48. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate. (1996). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:320.

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  49. Monetary Instability, the Predictability of Prices and the Allocation of Investment: An Empirical Investigation Using UK Panel Data. (1996). Schiantarelli, Fabio ; Caglayan, Mustafa ; Beaudry, Paul.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:312.

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  50. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

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  51. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

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  52. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

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