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isPartOf:"Advances in quantitative analysis of finance and accounting : a research annual"
subject:"Börsenkurs"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~language:"eng"
~subject:"1963-1986"
~subject:"ARCH model"
~subject:"Yield curve"
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Börsenkurs
1963-1986
ARCH model
Yield curve
Estimation theory
118
Schätztheorie
118
Estimation
41
Schätzung
40
Volatility
28
Volatilität
28
Portfolio selection
26
Portfolio-Management
26
Time series analysis
21
Zeitreihenanalyse
21
Forecasting model
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Prognoseverfahren
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Nichtparametrisches Verfahren
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Achab, Massil
1
Adams, Zeno
1
Alexander, Carol
1
Aslanidis, Nektarios
1
Bacry, E.
1
Berglund, Tom
1
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Capriotti, Luca
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Fung, William
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Füss, Roland
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Glück, Thorsten
1
Golosnoy, Vasyl
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1
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Hamid, Alain
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Hansen, Anne Lundgaard
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Advances in quantitative analysis of finance and accounting : a research annual
Journal of banking & finance
Quantitative finance
Journal of econometrics
88
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Econometric theory
36
Economics letters
29
Journal of empirical finance
27
Discussion paper / Tinbergen Institute
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Finance research letters
20
Econometric reviews
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of forecasting
17
CREATES research paper
15
Economic modelling
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International journal of forecasting
15
International journal of economics and financial issues : IJEFI
14
Journal of financial econometrics
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The North American journal of economics and finance : a journal of financial economics studies
14
The econometrics journal
14
Applied economics
13
Journal of financial and quantitative analysis : JFQA
12
Journal of mathematical finance
12
Journal of risk
12
Applied economics letters
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
11
Econometrics : open access journal
11
Journal of risk and financial management : JRFM
11
NBER Working Paper
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
The review of financial studies
11
Working paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
11
CORE discussion papers : DP
10
Cambridge working papers in economics
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Journal of financial economics
10
Journal of time series econometrics
10
SFB 649 discussion paper
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Applied financial economics
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International review of financial analysis
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ECONIS (ZBW)
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1
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
4
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
5
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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6
Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying
;
Qiao, Kenan
;
Wang, Shouyang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 865-879
Persistent link: https://www.econbiz.de/10012500201
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7
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
8
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
9
Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Hüttner, Amelie
;
Scherer, Matthias
;
Gräler, Benedikt
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521061
Saved in:
10
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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