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~isPartOf:"Acta oeconomica : periodical of the Hungarian Academy of Sciences"
~isPartOf:"Applied economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Statistical Papers / Springer"
~subject:"ARCH-Modell"
~subject:"World"
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ARCH-Modell
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Multivariate distribution
70
Multivariate Verteilung
69
Theorie
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Theory
67
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52
Multivariate Analyse
48
Time series analysis
40
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40
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46
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Allen, David E.
2
Dijk, Dick van
2
Hwang, Sun Young
2
Kim, Jong-Min
2
Lucas, André
2
Pereira, Pedro L. Valls
2
Powell, Robert
2
Sheppard, Kevin
2
Singh, Abhay Kumar
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Acta oeconomica : periodical of the Hungarian Academy of Sciences
Applied economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Statistical Papers / Springer
Energy economics
49
The North American journal of economics and finance : a journal of financial economics studies
28
Economic modelling
27
Finance research letters
24
Research in international business and finance
24
International review of financial analysis
22
Journal of banking & finance
19
Journal of econometrics
19
Discussion paper / Tinbergen Institute
18
Journal of empirical finance
15
International journal of forecasting
14
International review of economics & finance : IREF
14
Journal of international financial markets, institutions & money
14
Econometric reviews
12
The European journal of finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
11
Computational economics
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Econometric Institute research papers
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
10
Journal of international money and finance
10
Journal of risk and financial management : JRFM
10
Applied economics letters
9
Econometrics : open access journal
9
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9
International Journal of Energy Economics and Policy : IJEEP
9
Journal of forecasting
9
Working paper
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of risk
8
Risks : open access journal
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International journal of economics and financial issues : IJEFI
7
Pacific-Basin finance journal
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
7
Working paper series / University of Zurich, Department of Economics
7
CORE discussion paper : DP
6
Discussion paper
6
Emerging markets, finance and trade : EMFT
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ECONIS (ZBW)
46
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1
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
2
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
3
Time-varying
multivariate
causality among infectious disease pandemic and emerging financial markets : the case of the Latin American stock and exchange markets
Coronado, Semei
;
Martínez, José
;
Romero, Rafael
- In:
Applied economics
54
(
2022
)
34
,
pp. 3924-3932
Persistent link: https://www.econbiz.de/10013410854
Saved in:
4
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
5
Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun
;
Hwang, Sun Young
;
Kim, Jong-Min
;
Kim, Sahm
- In:
Applied economics
55
(
2023
)
3
,
pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
Saved in:
6
Spillover effects in the global copper futures markets: asymmetric
multivariate
GARCH approaches
Lee, Hyun-Bock
;
Park, Cheol-Ho
- In:
Applied economics
52
(
2020
)
54
,
pp. 5909-5920
Persistent link: https://www.econbiz.de/10012308379
Saved in:
7
COVID-19 pandemic and the dependence structure of global stock markets
Aslam, Faheem
;
Mughal, Khurrum Shahzad
;
Aziz, Saqib
; …
- In:
Applied economics
54
(
2022
)
18
,
pp. 2013-2031
Persistent link: https://www.econbiz.de/10012875715
Saved in:
8
Volatility martingale difference divergence matrix and its application to dimension reduction for
multivariate
volatility
Lee, Chung Eun
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
Saved in:
9
Change‐point detection in the conditional correlation structure of
multivariate
volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
Saved in:
10
New HEAVY models for fat-tailed realized covariances and returns
Opschoor, Anne
;
Janus, Paweł
;
Lucas, André
;
Dijk, Dick van
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 643-657
Persistent link: https://www.econbiz.de/10012249228
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