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type_genre:"Sammelwerk"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~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
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Estimation theory
26
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12
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11
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11
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9
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Alañón Pardo, Ángel
1
Auer, Benjamin R.
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Chen, Cathy W. S.
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Degenhardt, Thomas
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The North American journal of economics and finance : a journal of financial economics studies
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
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24
International journal of forecasting
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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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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometric reviews
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American journal of agricultural economics
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Journal of empirical finance
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The econometrics journal
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Journal of banking & finance
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Journal of financial and quantitative analysis : JFQA
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The journal of futures markets
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Finance research letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of finance : the journal of the American Finance Association
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The review of financial studies
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Journal of macroeconomics
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Journal of risk
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International journal of economics and financial issues : IJEFI
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1
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
2
A novel estimation of time-varying quantile correlation for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
Saved in:
3
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
4
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
5
The "Sell in May" effect : a review and new empirical evidence
Degenhardt, Thomas
;
Auer, Benjamin R.
- In:
The North American journal of economics and finance : a …
43
(
2018
),
pp. 169-205
Persistent link: https://www.econbiz.de/10012036281
Saved in:
6
Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
Saved in:
7
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
8
GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman
;
Šopov, Boril
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
Saved in:
9
Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances
Ortas, E.
;
Salvador, Manuel
;
Moneva, J. M.
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 27-51
Persistent link: https://www.econbiz.de/10011511029
Saved in:
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