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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"CREATES research paper"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"Korrelation"
~subject:"Schätztheorie"
~subject:"Share price"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Korrelation
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Teräsvirta, Timo
7
Silvennoinen, Annastiina
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Engle, Robert F.
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Rahbek, Anders
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Amado, Cristina
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Cavaliere, Giuseppe
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Chen, Yi-ting
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Francq, Christian
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Horváth, Lajos
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Ur Rehman, Mobeen
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Finance research letters
75
Journal of econometrics
65
Applied economics
62
Research in international business and finance
61
International review of economics & finance : IREF
60
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Economics letters
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Econometric theory
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Journal of banking & finance
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Applied economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International journal of forecasting
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International Journal of Energy Economics and Policy : IJEEP
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Journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of economics and financial issues : IJEFI
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The European journal of finance
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Journal of financial econometrics
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Econometric reviews
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of risk
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Cogent economics & finance
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Review of quantitative finance and accounting
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The empirical economics letters : a monthly international journal of economics
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Global business review
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The econometrics journal
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
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3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
5
Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets
Mensi, Walid
;
Ur Rehman, Mobeen
;
Maitra, Debasish
; …
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 139-157
Persistent link: https://www.econbiz.de/10014461547
Saved in:
6
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
9
Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2018
Persistent link: https://www.econbiz.de/10011864902
Saved in:
10
Financial contagion in the futures markets amidst global geo-economic events
Zainudin, Ahmad Danial
;
Azhar Mohamad
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 288-308
Persistent link: https://www.econbiz.de/10012656295
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