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type:"article"
type_genre:"Article in journal"
~isPartOf:"Central European journal of economic modelling and econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of mathematical finance"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
113
Schätztheorie
113
Time series analysis
38
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38
Estimation
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34
Volatility
30
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Huptas, Roman
2
Irungu, Irene W.
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Mwita, Peter N.
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Waititu, Antony G.
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Adewuyi, Adejumo Wahab
1
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1
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Central European journal of economic modelling and econometrics
Journal of empirical finance
Journal of mathematical finance
Journal of econometrics
50
Econometric theory
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
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The econometrics journal
14
International journal of forecasting
13
Finance research letters
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Journal of risk
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International journal of economics and financial issues : IJEFI
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Applied economics letters
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International Journal of Energy Economics and Policy : IJEEP
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Annals of financial 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
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The European journal of finance
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CBN journal of applied statistics
4
International journal of economics and finance
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Journal of economic dynamics & control
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Theoretical economics letters
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Financial innovation : FIN
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Insurance / Mathematics & economics
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International journal of financial research
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International journal of monetary economics and finance
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International review of economics & finance : IREF
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ECONIS (ZBW)
23
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Settar, Abdeljalil
;
Fatmi, Nadia Idrissi
;
Badaoui, Mohammed
- In:
Central European journal of economic modelling and …
13
(
2021
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10012439109
Saved in:
3
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
4
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
5
Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
Saved in:
6
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
7
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
8
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
9
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
10
Testing against changing correlation
Harvey, Andrew C.
;
Thiele, Stephen
- In:
Journal of empirical finance
38
(
2016
),
pp. 575-589
Persistent link: https://www.econbiz.de/10011663373
Saved in:
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