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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Korrelation"
~subject:"Schätzung"
~subject:"Share price"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Korrelation
Schätzung
Share price
ARCH model
65
ARCH-Modell
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40
Volatilität
40
Theorie
28
Theory
28
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23
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Engle, Robert F.
3
Chen, Yi-ting
2
Ghysels, Eric
2
Olmo, Jose
2
Trojani, Fabio
2
Aguilar, Mike
1
Ahoniemi, Katja
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Audrino, Francesco
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Badescu, Alexandru
1
Barunik, Jozef
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Francq, Christian
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Garcia, René
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Geweke, John
1
Goeij, Peter de
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Haas, Markus
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Hao, Jinji
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Horváth, Lajos
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Kasch-Haroutounian, Maria
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1
Paolella, Marc S.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
103
Energy economics
102
Applied economics
96
International review of economics & finance : IREF
85
International review of financial analysis
79
Economic modelling
77
Research in international business and finance
72
Journal of empirical finance
68
The North American journal of economics and finance : a journal of financial economics studies
68
Journal of international financial markets, institutions & money
61
Journal of risk and financial management : JRFM
50
Applied economics letters
48
Journal of econometrics
48
Journal of banking & finance
45
Economics letters
39
Discussion paper / Tinbergen Institute
38
International journal of forecasting
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
International Journal of Energy Economics and Policy : IJEEP
33
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
The journal of futures markets
32
Applied financial economics
31
International journal of economics and financial issues : IJEFI
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
International journal of finance & economics : IJFE
28
Journal of forecasting
27
The European journal of finance
27
Working paper
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International journal of economics and finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
24
Review of quantitative finance and accounting
24
The empirical economics letters : a monthly international journal of economics
23
Econometric Institute research papers
22
Cogent economics & finance
21
Journal of financial econometrics
21
Pacific-Basin finance journal
21
Journal of international money and finance
20
Journal of risk
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ECONIS (ZBW)
32
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
5
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
6
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
Exceedance correlation tests for financial returns
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
Saved in:
9
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
10
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
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