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subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~subject:"Portfolio selection"
~subject:"Schätzung"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Kapitaleinkommen
Portfolio selection
Schätzung
ARCH model
147
ARCH-Modell
147
Volatility
66
Volatilität
66
Theorie
56
Theory
56
Estimation theory
51
Schätztheorie
51
Time series analysis
42
Zeitreihenanalyse
42
Estimation
32
Stochastic process
27
Stochastischer Prozess
27
Börsenkurs
24
Share price
24
Capital income
22
Forecasting model
20
Prognoseverfahren
20
GARCH
15
Statistical distribution
15
Statistische Verteilung
15
Bootstrap approach
14
Bootstrap-Verfahren
14
Heteroscedasticity
14
Heteroskedastizität
14
Multivariate Analyse
14
Multivariate analysis
14
Correlation
11
Korrelation
11
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Risikomaß
11
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11
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9
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46
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English
46
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Zakoïan, Jean-Michel
5
Francq, Christian
4
Bollerslev, Tim
3
Kim, Donggyu
3
Linton, Oliver
2
Paolella, Marc S.
2
Polak, Pawel
2
Rombouts, Jeroen V. K.
2
Wang, Yazhen
2
Wu, Jianbin
2
Xiu, Dacheng
2
Andersen, Torben
1
Andreou, Elena
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bekaert, Geert
1
Blasques, F.
1
Calzolari, Giorgio
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Cerovecki, Clément
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chen, Qiang
1
Chen, Rong
1
Chu, Amanda M. Y.
1
Connor, Gregory
1
Davis, Richard A.
1
Delaigle, Aurore
1
Dhaene, Geert
1
Ding, Yashuang
1
Dobrev, Dobrislav
1
Drees, Holger
1
Dufays, Arnaud
1
Duong, Diep
1
Engstrom, Eric
1
Ergemen, Yunus Emre
1
Ermolov, Andrey
1
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Journal of econometrics
Energy economics
101
Finance research letters
98
Applied economics
84
International review of financial analysis
77
Economic modelling
75
Journal of empirical finance
75
The North American journal of economics and finance : a journal of financial economics studies
71
International review of economics & finance : IREF
70
Research in international business and finance
59
Journal of international financial markets, institutions & money
58
Journal of banking & finance
52
Journal of risk and financial management : JRFM
48
International journal of forecasting
47
Applied financial economics
45
Applied economics letters
44
The European journal of finance
37
Journal of forecasting
33
Working paper
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Discussion paper / Tinbergen Institute
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
31
International journal of finance & economics : IJFE
31
International journal of economics and financial issues : IJEFI
30
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
29
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
27
International journal of economics and finance
27
Review of quantitative finance and accounting
27
Economics letters
26
International Journal of Energy Economics and Policy : IJEEP
26
The journal of futures markets
26
Journal of risk
24
Pacific-Basin finance journal
23
Journal of financial econometrics
22
Econometric Institute research papers
21
Cogent economics & finance
20
Quantitative finance
19
Working papers
19
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ECONIS (ZBW)
46
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1
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
2
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
3
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
4
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
5
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
6
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
7
A coupled component DCS-EGARCH model for intraday and overnight volatility
Linton, Oliver
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
10
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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