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type_genre:"Article in journal"
~isPartOf:"International journal of forecasting"
~isPartOf:"Quantitative finance"
~subject:"ARCH-Modell"
~subject:"Autokorrelation"
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Search: subject_exact:"Estimation theory"
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ARCH-Modell
Autokorrelation
Estimation theory
192
Schätztheorie
192
Forecasting model
126
Prognoseverfahren
126
Time series analysis
74
Zeitreihenanalyse
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35
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Lucas, André
2
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1
Bauwens, Luc
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Becker, Ralf
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1
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Canale, Antonio
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International journal of forecasting
Quantitative finance
Journal of econometrics
122
Econometric theory
66
Economics letters
56
Econometric reviews
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
The econometrics journal
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of empirical finance
21
Applied economics letters
16
Economic modelling
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Finance research letters
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Econometrics : open access journal
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International journal of economics and financial issues : IJEFI
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10
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10
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The North American journal of economics and finance : a journal of financial economics studies
10
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9
Journal of financial econometrics
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Journal of mathematical finance
7
Spatial economic analysis : the journal of the Regional Studies Association
7
The European journal of finance
7
The journal of risk model validation
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Annals of financial economics
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International Journal of Energy Economics and Policy : IJEEP
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of economics and finance
5
International review of financial analysis
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Journal of economic dynamics & control
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Journal of the American Statistical Association : JASA
5
Oxford bulletin of economics and statistics
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CBN journal of applied statistics
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1
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
10
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
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