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isPartOf:"The econometrics journal"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"GARCH"
~subject:"Nonparametric statistics"
~subject:"Schätztheorie"
~subject:"Statistischer Test"
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Search: subject_exact:"ARCH-Modell"
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GARCH
Nonparametric statistics
Schätztheorie
Statistischer Test
ARCH model
163
ARCH-Modell
163
Volatility
114
Volatilität
114
Estimation
49
Schätzung
49
Capital income
48
Kapitaleinkommen
48
Börsenkurs
41
Share price
41
Forecasting model
40
Prognoseverfahren
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Theorie
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Theory
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Aktienmarkt
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Time series analysis
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Zeitreihenanalyse
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32
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32
Risikomaß
27
Risk measure
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Estimation theory
23
Welt
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Portfolio selection
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Hafner, Christian M.
2
Huang, Hung-Hsi
2
Lin, Shin-Hung
2
Čížek, Pavel
2
Abadir, Karim Maher
1
Alañón Pardo, Ángel
1
Anjum, Hassan
1
Arvanitis, Stelios
1
Auer, Benjamin R.
1
Beckmann, Joscha
1
Brown, Bryan W.
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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
Di, Jianing
1
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1
Du, Zaichao
1
Dufour, Jean-Marie
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Herwartz, Helmut
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
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
67
Econometric theory
40
Economics letters
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
33
Finance research letters
31
Applied economics
30
Discussion paper / Tinbergen Institute
30
Journal of risk and financial management : JRFM
30
Energy economics
29
Journal of banking & finance
25
Journal of empirical finance
25
International journal of forecasting
24
Econometric reviews
23
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
International review of economics & finance : IREF
17
Applied economics letters
16
Research in international business and finance
16
Working papers
15
CREATES research paper
14
International journal of economics and financial issues : IJEFI
14
Journal of forecasting
14
Computational economics
13
Econometrics : open access journal
13
Journal of financial econometrics
13
International Journal of Energy Economics and Policy : IJEEP
12
International review of financial analysis
12
Journal of risk
12
The European journal of finance
12
Theoretical economics letters
12
Cogent economics & finance
11
Journal of international financial markets, institutions & money
11
Journal of time series econometrics
11
Risks : open access journal
11
International journal of economics and finance
10
Review of quantitative finance and accounting
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
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1
Testing for parameter change epochs in GARCH time series
Richter, Stefan
;
Wang, Weining
;
Wu, Wei Biao
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 467-491
Persistent link: https://www.econbiz.de/10014391712
Saved in:
2
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:
3
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:
4
How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach
Chang, Hao Wen
;
Chang, Tsangyao
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014247010
Saved in:
5
Forecasting risk measures using intraday and overnight information
Santos, Douglas Gomes dos
;
Candido, Osvaldo
;
Tófoli, …
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013449240
Saved in:
6
The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
Zhang, Yi
;
Zhou, Long
;
Chen, Yajiao
;
Liu, Fang
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013449345
Saved in:
7
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
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8
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:
9
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:
10
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
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