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type:"article"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~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
73
Schätztheorie
73
Estimation
26
Schätzung
26
Volatility
20
Volatilität
20
Time series analysis
19
Zeitreihenanalyse
19
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15
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Irungu, Irene W.
2
Mwita, Peter N.
2
Waititu, Antony G.
2
Adewuyi, Adejumo Wahab
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Cheng, Hao
1
Epaphra, Manamba
1
Grønneberg, Steffen
1
Gumbo, Victor
1
Huang, Haitao
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Kim, Minjoo
1
Leng, Xuan
1
Lim, Kian-Guan
1
Liu, Qiang
1
Liu, Xiaohui
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Mancino, Maria Elvira
1
Marmi, Stefano
1
McElroy, Tucker
1
Mundia, Simon
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Pelletier, Denis
1
Peng, Liang
1
Shin, Yongcheol
1
Siziba, Simiso
1
Stander, Julian
1
Sucarrat, Genaro
1
Toscano, Giacomo
1
Yap, Nelson K. L.
1
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Journal of financial econometrics
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
Journal of empirical finance
13
Finance research letters
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
Economic modelling
9
Journal of banking & finance
9
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
9
Applied economics letters
7
Econometrics : open access journal
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International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
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
5
CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
4
The European journal of finance
4
Theoretical economics letters
4
Central European journal of economic modelling and econometrics
3
Financial innovation : FIN
3
Insurance / Mathematics & economics
3
International journal of financial research
3
International journal of monetary economics and finance
3
International review of economics & finance : IREF
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ECONIS (ZBW)
15
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15
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
3
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
4
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
5
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
6
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao
;
Leng, Xuan
;
Liu, Xiaohui
;
Peng, Liang
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
Saved in:
7
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:
8
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:
9
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
Saved in:
10
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:
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