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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of economics and financial issues : IJEFI"
~isPartOf:"The journal of risk model validation"
~subject:"ARCH-Modell"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
54
Schätztheorie
54
Estimation
28
Schätzung
28
ARCH model
18
Volatilität
14
Risikomaß
12
Risk measure
12
Time series analysis
12
Zeitreihenanalyse
12
Cointegration
10
Kointegration
10
Exchange rate
9
Wechselkurs
9
Börsenkurs
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Share price
8
Regression analysis
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Regressionsanalyse
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Capital income
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Credit risk
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Forecasting model
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Kapitaleinkommen
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Kreditrisiko
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Prognoseverfahren
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value-at-risk (VaR)
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Aktienindex
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Aktienmarkt
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Stock index
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Stock market
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Autocorrelation
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Autokorrelation
3
Causality analysis
3
Correlation
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Exchange Rate
3
Geldpolitik
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Inflation
3
Kausalanalyse
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3
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Article
21
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Article in journal
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21
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English
21
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Chlebus, Marcin
2
Westgaard, Sjur
2
Abdurehman, Abderezak Ali
1
Arhus, Gisle Hoel
1
Belasri, Yassine
1
Buczy´nski, Mateusz
1
Buczyński, Mateusz
1
Curcic, Nikola
1
Daei-Karimzadeh, Saeed
1
Daryanto, Arief
1
Ellaia, Rachid
1
Fauzel, Sheereen
1
Fałdziński, Marcin
1
Frydenberg, Marina
1
Frydenberg, Stein
1
Hacilar, Samet
1
Hamzaoui, Nessrine
1
Hersugondo
1
Hosseinzadeh, Maryam
1
Hsu, Yuan-Teng
1
Kalai, Lamia
1
Laksana, Rio Dhani
1
Lange, Petter Eilif de
1
Law, Keith K. F.
1
Li, Wai Keung
1
Li, Xingye
1
Liu, Hung-Chun
1
Miletic, Vuk
1
Milojkovic, Dragana
1
Murphy, David
1
Osińska, Magdalena
1
Peiro, Amado
1
Radivojevic, Nikola
1
Regaieg, Boutheina
1
Risstad, Morten
1
Rudy, R.
1
Saddique, Shamila
1
Sahara, Sahara
1
Sinaga, Antonya Rumondang
1
Sofia, Diani Aliya
1
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International journal of economics and financial issues : IJEFI
The journal of risk model validation
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Econometric reviews
32
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
21
Economic modelling
19
Finance research letters
18
International journal of forecasting
18
Journal of banking & finance
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
16
Econometrics : open access journal
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Computational economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of mathematical finance
11
Journal of time series econometrics
11
Applied economics letters
10
The European journal of finance
9
Finance and stochastics
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Applied financial economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of financial engineering
6
Annals of financial economics
5
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
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ECONIS (ZBW)
21
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1
Time varying dependence in the cryptocurrency market and COVID 19 panic index : an empirical investigation
Kalai, Lamia
- In:
International journal of economics and financial issues …
12
(
2022
)
2
,
pp. 37-51
Persistent link: https://www.econbiz.de/10013257285
Saved in:
2
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
3
Climate change and milk price volatility in Indonesia
Daryanto, Arief
;
Sofia, Diani Aliya
;
Sahara, Sahara
; …
- In:
International journal of economics and financial issues …
10
(
2020
)
2
,
pp. 282-288
Persistent link: https://www.econbiz.de/10012215193
Saved in:
4
Estimating value-at-risk using quantile regression and implied volatilities
Lange, Petter Eilif de
;
Risstad, Morten
;
Westgaard, Sjur
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
Saved in:
5
The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
Saved in:
6
Study about the minimum value at risk of stock index futures hedging applying exponentially weighted moving average : generalized autoregressive conditional heteroskedasticity mode...
Xu, Rong
;
Li, Xingye
- In:
International journal of economics and financial issues …
7
(
2017
)
6
,
pp. 104-110
Persistent link: https://www.econbiz.de/10011948261
Saved in:
7
Estimation of volatility and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets
Belasri, Yassine
;
Ellaia, Rachid
- In:
International journal of economics and financial issues …
7
(
2017
)
2
,
pp. 384-396
Persistent link: https://www.econbiz.de/10011789279
Saved in:
8
Effect of economic announcements on FX fluctuations : testing a unified approach for prediction
Tianqiong, Wang
;
Yang, Shu
;
Saddique, Shamila
- In:
International journal of economics and financial issues …
7
(
2017
)
2
,
pp. 631-640
Persistent link: https://www.econbiz.de/10011789394
Saved in:
9
Investigate the effect of exchange rate volatility on the demand for life insurance in Iran
Hosseinzadeh, Maryam
;
Daei-Karimzadeh, Saeed
- In:
International journal of economics and financial issues …
7
(
2017
)
2
,
pp. 166-174
Persistent link: https://www.econbiz.de/10011786561
Saved in:
10
Macroeconomic fundamental and stock price index in Southeast Asia countries a comparative study
Wahyudi, Sugeng
;
Hersugondo
;
Laksana, Rio Dhani
;
Rudy, R.
- In:
International journal of economics and financial issues …
7
(
2017
)
2
,
pp. 182-187
Persistent link: https://www.econbiz.de/10011786565
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