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subject:"Risk measure"
~isPartOf:"Applied economics"
~isPartOf:"Journal of financial econometrics"
~subject:"Schätzung"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
Schätzung
ARCH model
197
ARCH-Modell
197
Volatility
130
Volatilität
130
Estimation
72
Börsenkurs
56
Share price
56
Theorie
55
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49
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88
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Blazsek, Szabolcs
3
Zhang, Yaojie
3
Hansen, Peter Reinhard
2
Kim, Jong-Min
2
Liang, Chao
2
Ma, Feng
2
Monteros, Luis Antonio
2
Wang, Yi-Hsien
2
Wei, Yu
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Wen, Fenghua
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Abuzayed, Bana
1
Al-Fayoumi, Nedal
1
Albulescu, Claudiu Tiberiu
1
Allen, David E.
1
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1
Arespa, Marta
1
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1
Bagirov, Miramir
1
Bampinas, Georgios
1
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1
Baur, Dirk G.
1
Bee, Marco
1
Benlagha, Noureddine
1
Bilson, John F.
1
Bird, Graham R.
1
Bodman, Philip M.
1
Bojnec, Štefan
1
Bollen, Bernard
1
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Casalin, Fabrizio
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Cenesizoglu, Tolga
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1
Chang, Matthew C.
1
Charfeddine, Lanouar
1
Chatzikonstanti, Vasiliki
1
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Applied economics
Journal of financial econometrics
Energy economics
87
Finance research letters
75
Economic modelling
67
Journal of empirical finance
61
The North American journal of economics and finance : a journal of financial economics studies
59
International review of economics & finance : IREF
57
International review of financial analysis
56
Journal of international financial markets, institutions & money
43
Journal of risk and financial management : JRFM
42
Journal of banking & finance
41
International journal of forecasting
40
Research in international business and finance
40
Applied economics letters
37
Journal of econometrics
35
Journal of risk
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Discussion paper / Tinbergen Institute
30
Applied financial economics
29
International journal of economics and financial issues : IJEFI
27
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
The journal of futures markets
24
Journal of forecasting
23
The European journal of finance
23
International journal of finance & economics : IJFE
22
Review of quantitative finance and accounting
22
Working paper
22
Econometric Institute research papers
21
International journal of economics and finance
21
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
The journal of risk model validation
20
Economics letters
19
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
18
Computational economics
17
International Journal of Energy Economics and Policy : IJEEP
17
Working papers
17
Pacific-Basin finance journal
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ECONIS (ZBW)
88
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1
Spillovers from stock markets to currency markets : evidence from Copula-CoVar with time-varying higher moments
Usman, Muhammad
;
Umar, Zaghum
;
Gubareva, Mariya
;
Dang …
- In:
Applied economics
55
(
2023
)
52
,
pp. 6091-6114
Persistent link: https://www.econbiz.de/10014381519
Saved in:
2
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
3
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
4
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
5
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
6
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
7
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
8
Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Shi, Yanlin
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1308-1345
Persistent link: https://www.econbiz.de/10014391461
Saved in:
9
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
10
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
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