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subject:"Risk measure"
~isPartOf:"Journal of financial econometrics"
~subject:"Schätzung"
~subject:"Volatility"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
Schätzung
Volatility
ARCH model
34
ARCH-Modell
34
Volatilität
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Capital income
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Hansen, Peter Reinhard
2
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1
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1
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1
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Catania, Leopoldo
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Journal of financial econometrics
Energy economics
229
Finance research letters
158
Applied economics
128
Economic modelling
126
International review of financial analysis
123
The North American journal of economics and finance : a journal of financial economics studies
115
Journal of empirical finance
112
International review of economics & finance : IREF
106
Research in international business and finance
103
Journal of international financial markets, institutions & money
84
International journal of forecasting
79
Journal of risk and financial management : JRFM
79
Journal of econometrics
78
Journal of banking & finance
75
Applied financial economics
72
Journal of forecasting
65
Applied economics letters
64
Discussion paper / Tinbergen Institute
63
Economics letters
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
International Journal of Energy Economics and Policy : IJEEP
52
The journal of futures markets
52
The European journal of finance
51
Journal of financial econometrics : official journal of the Society for Financial Econometrics
50
International journal of finance & economics : IJFE
46
Econometric Institute research papers
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Working paper
44
International journal of economics and financial issues : IJEFI
43
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
39
Journal of risk
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
38
Review of quantitative finance and accounting
38
International journal of economics and finance
37
Pacific-Basin finance journal
35
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
34
Cogent economics & finance
32
The empirical economics letters : a monthly international journal of economics
32
Computational economics
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1
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Cucuringu, Mihai
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
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 machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1680-1727
Persistent link: https://www.econbiz.de/10014444717
Saved in:
8
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:
9
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:
10
Volatility bursts : a discrete-time option model with multiple volatility components
Lilla, Francesca
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 678-713
Persistent link: https://www.econbiz.de/10014314782
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