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isPartOf:"The econometrics journal"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Optionspreistheorie"
~subject:"Schätztheorie"
~subject:"Statistischer Test"
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Search: subject_exact:"ARCH-Modell"
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Optionspreistheorie
Schätztheorie
Statistischer Test
ARCH model
190
ARCH-Modell
190
Volatility
126
Volatilität
126
Theorie
56
Theory
56
Capital income
54
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54
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Hafner, Christian M.
2
Huang, Hung-Hsi
2
Lin, Shin-Hung
2
Lütkepohl, Helmut
2
Wang, Xingchun
2
Čížek, Pavel
2
Abadir, Karim Maher
1
Alañón Pardo, Ángel
1
Arvanitis, Stelios
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Auer, Benjamin R.
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1
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1
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1
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1
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Dēmos, Antōnēs A.
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1
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The econometrics journal
Journal of economic dynamics & control
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
60
Econometric theory
38
Economics letters
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Journal of banking & finance
23
CREATES research paper
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Econometric reviews
20
International journal of forecasting
20
Journal of empirical finance
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Discussion paper / Tinbergen Institute
19
Finance research letters
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14
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Journal of financial econometrics
13
The journal of futures markets
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12
International journal of economics and financial issues : IJEFI
11
Journal of forecasting
11
Journal of risk and financial management : JRFM
11
CORE discussion papers : DP
10
Computational economics
10
Journal of time series econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Applied economics letters
8
Econometrics : open access journal
8
Quantitative finance
8
Journal of international financial markets, institutions & money
7
Journal of mathematical finance
7
Review of quantitative finance and accounting
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Annals of financial economics
6
CORE discussion paper : DP
6
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Energy economics
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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
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun
;
Zhang, Han
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
Saved in:
4
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
5
A novel estimation of time-varying quantile correlation for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
Saved in:
6
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
7
Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Liu, Zhibin
;
Huang, Shang-Ho
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012667720
Saved in:
8
Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
Saved in:
9
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
10
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
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