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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Search: subject:"Volatilität"
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ARCH model
Volatility
25
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25
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12
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Ahoniemi, Katja
1
Barunik, Jozef
1
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1
Dufays, Arnaud
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Fantazzini, Dean
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Francq, Christian
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Fuertes, Ana María
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
157
Finance research letters
127
The North American journal of economics and finance : a journal of financial economics studies
84
Applied economics
77
Research in international business and finance
74
International review of financial analysis
73
International review of economics & finance : IREF
67
Economic modelling
65
International journal of forecasting
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Journal of international financial markets, institutions & money
42
Journal of econometrics
38
Journal of empirical finance
38
Journal of forecasting
31
Economics letters
28
Applied economics letters
26
Journal of banking & finance
25
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
25
Journal of financial econometrics
24
International journal of finance & economics : IJFE
22
Emerging markets, finance and trade : EMFT
20
Quantitative finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Journal of risk
18
Pacific-Basin finance journal
18
Theoretical economics letters
18
Computational economics
17
Global business review
15
Review of quantitative finance and accounting
15
The journal of futures markets
15
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
14
Journal of international money and finance
14
International journal of economics and finance
13
Eurasian economic review : a journal in applied macroeconomics and finance
12
International journal of financial research
12
Journal of commodity markets
12
Macroeconomic dynamics
12
The European journal of finance
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
5
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
6
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
7
Component-wise representations of long-memory models and volatility prediction
Proietti, Tommaso
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 668-692
Persistent link: https://www.econbiz.de/10011623820
Saved in:
8
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
9
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
10
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
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