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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of forecasting"
~subject:"ARCH-Modell"
~type:"article"
~type_genre:"Bibliografie enthalten"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
152
Schätztheorie
152
Forecasting model
116
Prognoseverfahren
116
Time series analysis
63
Zeitreihenanalyse
63
Estimation
21
Regression analysis
21
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18
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Clements, Adam
2
Lucas, André
2
Bagnato, Luca
1
Bauwens, Luc
1
Becker, Ralf
1
Bianchi, Michele Leonardo
1
Blasques, Francisco
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1
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1
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1
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1
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1
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Li, Dan
1
Meng, Xiaochun
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Sucarrat, Genaro
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Trapero, Juan R.
1
Tsionas, Efthymios G.
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1
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International journal of forecasting
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
30
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
Journal of banking & finance
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
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Econometrics : open access journal
13
International journal of economics and financial issues : IJEFI
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International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
12
Computational economics
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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
The journal of risk model validation
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
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International journal of financial engineering
6
Research in international business and finance
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Annals of financial economics
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Asia-Pacific financial markets
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ECONIS (ZBW)
18
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
3
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
4
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
5
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
6
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
7
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
8
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
9
Bias corrections for exponentially transformed forecasts : are they worth the effort?
Demetrescu, Matei
;
Golosnoy, Vasyl
;
Titova, Anna
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 761-780
Persistent link: https://www.econbiz.de/10012496846
Saved in:
10
Ordinal-response GARCH models for transaction data : a forecasting exercise
Dimitrakopoulos, Stefanos
;
Tsionas, Efthymios G.
- In:
International journal of forecasting
35
(
2019
)
4
,
pp. 1273-1287
Persistent link: https://www.econbiz.de/10012305278
Saved in:
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