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isPartOf:"The econometrics journal"
~isPartOf:"Annals of financial economics"
~isPartOf:"Applied economics"
~isPartOf:"Journal of risk"
~subject:"Schätztheorie"
~subject:"Statistischer Test"
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Search: subject_exact:"ARCH-Modell"
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Schätztheorie
Statistischer Test
ARCH model
266
ARCH-Modell
266
Volatility
149
Volatilität
149
Estimation
85
Schätzung
85
Theorie
74
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Kim, Jong-Min
3
Blazsek, Szabolcs
2
Hafner, Christian M.
2
Jung, Hojin
2
Licht, Adrian
2
Čížek, Pavel
2
Abad, Pilar
1
Abadir, Karim Maher
1
Allen, David E.
1
Ardia, David
1
Arvanitis, Stelios
1
Ayala, Astrid Loretta
1
Bampinas, Georgios
1
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1
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1
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1
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1
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1
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1
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1
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1
Dufour, Jean-Marie
1
Dēmos, Antōnēs A.
1
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1
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1
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1
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1
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1
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The econometrics journal
Annals of financial economics
Applied economics
Journal of risk
Journal of econometrics
53
Econometric theory
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Economics letters
25
Econometric reviews
20
Discussion paper / Tinbergen Institute
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
19
International journal of forecasting
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
CREATES research paper
14
Journal of banking & finance
13
Journal of empirical finance
13
Economic modelling
12
Finance research letters
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics
11
Journal of forecasting
11
Journal of time series econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
CORE discussion papers : DP
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Applied economics letters
7
Econometrics : open access journal
7
Journal of mathematical finance
7
The European journal of finance
7
The journal of risk model validation
7
Computational economics
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
International Journal of Energy Economics and Policy : IJEEP
6
Journal of economic dynamics & control
6
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
5
Econometric Institute research papers
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Energy economics
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Theoretical economics letters
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ECONIS (ZBW)
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
4
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
5
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
6
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
7
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
8
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
9
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
10
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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