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type:"article"
type_genre:"Article in journal"
~isPartOf:"Finance research letters"
~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
87
Schätztheorie
87
Estimation
25
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25
ARCH-Modell
19
Capital income
19
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19
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Ardia, David
2
Irungu, Irene W.
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Waititu, Antony G.
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1
Arnerić, Josip
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Finance research letters
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
14
The econometrics journal
14
International journal of forecasting
13
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International journal of economics and financial issues : IJEFI
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Journal of financial econometrics
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Applied economics letters
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Econometrics : open access journal
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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
5
The journal of risk model validation
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CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
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The European journal of finance
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Theoretical economics letters
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Central European journal of economic modelling and econometrics
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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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ECONIS (ZBW)
19
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19
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1
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
2
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
3
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
4
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
5
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
6
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
7
Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model
Orlando, Giuseppe
;
Bufalo, Michele
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10013455602
Saved in:
8
A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu
;
Xie, Haibin
- In:
Finance research letters
38
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
Saved in:
9
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:
10
Comparison of range-based volatility estimators against integrated volatility in European emerging markets
Arnerić, Josip
;
Matković, Mario
;
Sorić, Petar
- In:
Finance research letters
28
(
2019
),
pp. 118-124
Persistent link: https://www.econbiz.de/10012388033
Saved in:
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