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subject:"Zeitreihenanalyse"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Regression analysis"
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Journal of financial econometrics
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99
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Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
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2
The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Dahl, Christian M.
;
Iglesias, Emma M.
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 139-159
Persistent link: https://www.econbiz.de/10012878189
Saved in:
3
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
4
On the autocorrelation of the stock market
Martin, Ian
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 39-52
Persistent link: https://www.econbiz.de/10012504290
Saved in:
5
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
6
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
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