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~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"Theorie"
~subject:"Welt"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Theorie
Welt
Zeitreihenanalyse
ARCH model
33
ARCH-Modell
33
Volatility
24
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24
Capital income
17
Kapitaleinkommen
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Ledoit, Olivier
2
Wolf, Michael
2
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Christensen, Kim
1
De Nard, Gianluca
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Sucarrat, Genaro
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Journal of financial econometrics
Energy economics
78
Finance research letters
76
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
The North American journal of economics and finance : a journal of financial economics studies
47
International journal of forecasting
46
Applied economics
44
Research in international business and finance
44
International review of economics & finance : IREF
40
Journal of empirical finance
39
Economic modelling
37
International review of financial analysis
35
Journal of econometrics
35
Journal of forecasting
25
Economics letters
24
Computational economics
22
Journal of risk
21
Journal of banking & finance
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Quantitative finance
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Journal of international financial markets, institutions & money
18
Econometric reviews
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Journal of time series econometrics
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The European journal of finance
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Applied economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
International journal of finance & economics : IJFE
12
Journal of mathematical finance
10
The journal of futures markets
10
Theoretical economics letters
10
Journal of economic dynamics & control
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of international money and finance
9
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
8
Journal of commodity markets
8
Pacific-Basin finance journal
8
Studies in economics and finance
8
Annals of financial economics
7
Emerging markets, finance and trade : EMFT
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ECONIS (ZBW)
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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
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
3
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
4
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
5
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1680-1727
Persistent link: https://www.econbiz.de/10014444717
Saved in:
6
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
7
Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Shi, Yanlin
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1308-1345
Persistent link: https://www.econbiz.de/10014391461
Saved in:
8
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
9
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
10
Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue
;
Xie, Tian
;
Yu, Jun
;
Zhou, Qiankun
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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