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type_genre:"Sammelwerk"
~isPartOf:"Journal of banking & finance"
~language:"eng"
~subject:"ARCH model"
~subject:"USA"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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ARCH model
USA
Estimation theory
74
Schätztheorie
74
Estimation
28
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27
Portfolio selection
18
Portfolio-Management
18
Theorie
14
Theory
14
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13
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13
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10
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Adams, Zeno
1
Alexander, Carol
1
Aslanidis, Nektarios
1
Casas, Isabel
1
Chan, Kam C.
1
Ergün, Tolga A.
1
Escobar, Marcos
1
Feng, Guohua
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Füss, Roland
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1
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1
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1
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Xu, Xinzhong
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Journal of banking & finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
117
Journal of econometrics
82
The review of economics and statistics
44
Econometric theory
39
Economics letters
38
Journal of applied econometrics
24
International journal of forecasting
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Applied economics
21
Econometric reviews
21
American journal of agricultural economics
20
Journal of forecasting
19
Journal of empirical finance
18
The econometrics journal
18
Journal of financial and quantitative analysis : JFQA
16
The journal of futures markets
15
Finance research letters
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
14
The journal of finance : the journal of the American Finance Association
14
The review of financial studies
14
Applied economics letters
12
Journal of macroeconomics
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Economic modelling
10
Journal of money, credit and banking : JMCB
10
Journal of time series econometrics
10
The review of economic studies
10
International economic review
9
Journal of risk and financial management : JRFM
9
The European journal of finance
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Journal of monetary economics
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Oxford bulletin of economics and statistics
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Econometrics : open access journal
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ECONIS (ZBW)
16
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1
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
2
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
3
Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Adams, Zeno
;
Füss, Roland
;
Glück, Thorsten
- In:
Journal of banking & finance
84
(
2017
),
pp. 9-24
Persistent link: https://www.econbiz.de/10011816833
Saved in:
4
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
5
Returns to scale at large banks in the US : a random coefficient stochastic frontier approach
Feng, Guohua
;
Zhangaohui, Xi
- In:
Journal of banking & finance
39
(
2014
),
pp. 135-145
Persistent link: https://www.econbiz.de/10010340764
Saved in:
6
The empirical similarity approach for volatility prediction
Golosnoy, Vasyl
;
Hamid, Alain
;
Okhrin, Yarema
- In:
Journal of banking & finance
40
(
2014
),
pp. 321-329
Persistent link: https://www.econbiz.de/10010402690
Saved in:
7
Estimating and using GARCH models with VIX data for option valuation
Kanniainen, Juho
;
Lin, Binghuan
;
Yang, Hanxue
- In:
Journal of banking & finance
43
(
2014
),
pp. 200-211
Persistent link: https://www.econbiz.de/10010410004
Saved in:
8
Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio
;
Ergün, Tolga A.
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3169-3180
Persistent link: https://www.econbiz.de/10009778470
Saved in:
9
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
10
Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios
;
Casas, Isabel
- In:
Journal of banking & finance
37
(
2013
)
7
,
pp. 2268-2283
Persistent link: https://www.econbiz.de/10009760686
Saved in:
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