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~isPartOf:"Applied financial economics"
~isPartOf:"Journal of empirical finance"
~subject:"Börsenkurs"
~subject:"Correlation"
~subject:"Estimation"
~subject:"United States"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
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United States
ARCH model
233
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151
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151
Capital income
71
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Clements, Adam
2
Conrad, Christian
2
Dark, Jonathan
2
Degiannakis, Stavros
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Dijk, Dick van
2
Fałdziński, Marcin
2
Fiszeder, Piotr
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Hung, Jui-cheng
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Karanasos, Menelaos
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Applied financial economics
Journal of empirical finance
Energy economics
109
Applied economics
101
Finance research letters
97
Economic modelling
85
International review of financial analysis
85
International review of economics & finance : IREF
82
Research in international business and finance
74
The North American journal of economics and finance : a journal of financial economics studies
71
Journal of international financial markets, institutions & money
69
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60
Journal of econometrics
52
Journal of risk and financial management : JRFM
51
Applied economics letters
48
The journal of futures markets
48
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Discussion paper / Tinbergen Institute
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International journal of forecasting
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
40
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International Journal of Energy Economics and Policy : IJEEP
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Working paper
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Econometric Institute research papers
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International journal of economics and finance
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Review of quantitative finance and accounting
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of international money and finance
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Pacific-Basin finance journal
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The empirical economics letters : a monthly international journal of economics
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ECONIS (ZBW)
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
3
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
4
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima
- In:
Journal of empirical finance
70
(
2023
),
pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
Saved in:
5
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
6
Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals
Stindl, Tom
- In:
Journal of empirical finance
70
(
2023
),
pp. 182-198
Persistent link: https://www.econbiz.de/10014423627
Saved in:
7
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
8
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
9
Oil price shocks and the US stock market : a nonlinear approach
Hwang, Inwook
;
Kim, Jaebeom
- In:
Journal of empirical finance
64
(
2021
),
pp. 23-36
Persistent link: https://www.econbiz.de/10013259395
Saved in:
10
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
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