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~isPartOf:"Journal of econometrics"
~subject:"Capital income"
~subject:"Germany"
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Search: subject_exact:"GARCH model"
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Capital income
Germany
ARCH model
61
ARCH-Modell
61
Volatility
38
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32
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Bollerslev, Tim
2
Paolella, Marc S.
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Polak, Pawel
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Journal of econometrics
Finance research letters
52
The North American journal of economics and finance : a journal of financial economics studies
38
International review of economics & finance : IREF
32
Energy economics
31
International review of financial analysis
31
Research in international business and finance
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International journal of forecasting
26
Applied economics
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Economic modelling
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Journal of empirical finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of financial econometrics
17
Journal of international financial markets, institutions & money
17
Journal of banking & finance
16
Journal of forecasting
16
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics letters
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Pacific-Basin finance journal
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Afro-Asian Journal of Finance and Accounting : AAJFA
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Review of quantitative finance and accounting
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7
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Emerging markets, finance and trade : EMFT
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International journal of emerging markets
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
15
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1
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
2
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
3
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
4
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
5
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
6
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
7
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
8
Dynamic conditional angular correlation
Jarjour, Riad
;
Chan, Kung-sik
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
Saved in:
9
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
10
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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