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subject:"Time series analysis"
subject:"United States"
~person:"Engle, Robert F."
~person:"Härdle, Wolfgang"
~subject:"Bankenaufsicht"
~subject:"Measurement"
~type_genre:"Aufsatz in Zeitschrift"
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Time series analysis
United States
Bankenaufsicht
Measurement
Estimation
35
Schätzung
35
Theorie
17
Theory
17
Börsenkurs
11
Share price
11
USA
11
Capital income
9
Kapitaleinkommen
9
Option pricing theory
9
Optionspreistheorie
9
Volatility
8
Volatilität
8
Forecasting model
7
Prognoseverfahren
7
Factor analysis
6
Faktorenanalyse
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Estimation theory
5
Schätztheorie
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Deutschland
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Index futures
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Regression analysis
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Aufsatz in Zeitschrift
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43
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Engle, Robert F.
Härdle, Wolfgang
Gil-Alaña, Luis A.
95
Gupta, Rangan
75
Caporale, Guglielmo Maria
51
Bahmani-Oskooee, Mohsen
44
Chang, Tsangyao
31
Tiwari, Aviral Kumar
31
Wohar, Mark E.
28
Moosa, Imad A.
26
Bollerslev, Tim
19
Balcilar, Mehmet
18
Koopman, Siem Jan
17
Miller, Stephen M.
16
Payne, James E.
16
McAleer, Michael
15
Salisu, Afees A.
15
Serletis, Apostolos
15
Apergēs, Nikolaos
14
Heckman, James J.
14
Hsing, Yu
14
Österholm, Pär
14
Koop, Gary
13
McMillan, David G.
13
Ramírez, Miguel D.
13
Ranjbar, Omid
13
Swanson, Norman R.
13
Tauchen, George Eugene
13
Cebula, Richard J.
12
Chan, Joshua
12
Hegerty, Scott W.
12
Marcellino, Massimiliano
12
Narayan, Paresh Kumar
12
Neumark, David
12
Sarno, Lucio
12
Todorov, Viktor
12
Bali, Turan G.
11
Cheung, Yin-Wong
11
Diebold, Francis X.
11
Ghysels, Eric
11
Hamermesh, Daniel S.
11
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Journal of monetary economics
2
Review of derivatives research
2
The journal of finance : the journal of the American Finance Association
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of applied econometrics
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of financial markets
1
Journal of forecasting
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The review of financial studies
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ECONIS (ZBW)
17
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17
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1
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
2
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang
;
Hautsch, Nikolaus
;
Mihoci, Andrija
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 529-550
Persistent link: https://www.econbiz.de/10011332871
Saved in:
4
Comment on: "Testing macroprudential stress tests : the risk of regulatory risk weights"
Lucas, Deborah J.
- In:
Journal of monetary economics
65
(
2014
),
pp. 54-56
Persistent link: https://www.econbiz.de/10010485269
Saved in:
5
Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.
;
Engle, Robert F.
;
Pierret, Diane
- In:
Journal of monetary economics
65
(
2014
),
pp. 36-53
Persistent link: https://www.econbiz.de/10010485270
Saved in:
6
Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen
;
Härdle, Wolfgang
;
Jeong, Kiho
- In:
Journal of forecasting
29
(
2010
)
4
,
pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
Saved in:
7
A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
Saved in:
8
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
9
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
Saved in:
10
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.
;
Patton, Andrew J.
- In:
Journal of financial markets
7
(
2004
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10001868857
Saved in:
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