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~isPartOf:"Econometric reviews"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Autocorrelation"
~subject:"Induktive Statistik"
~subject:"Schätztheorie"
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Search: subject:"ARCH model"
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Autocorrelation
Induktive Statistik
Schätztheorie
ARCH model
170
ARCH-Modell
170
Volatility
123
Volatilität
123
Estimation
56
Schätzung
56
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53
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Teräsvirta, Timo
3
Alañón Pardo, Ángel
1
Amado, Cristina
1
Asai, Manabu
1
Auer, Benjamin R.
1
Balcilar, Mehmet
1
Bermudez, P. de Zea
1
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1
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1
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1
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Econometric reviews
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
52
Econometric theory
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Economics letters
21
Discussion paper / Tinbergen Institute
19
Journal of empirical finance
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
The econometrics journal
17
International journal of forecasting
16
Finance research letters
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International journal of economics and financial issues : IJEFI
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Journal of risk and financial management : JRFM
10
Journal of time series econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
CORE discussion papers : DP
9
Journal of banking & finance
9
Econometrics : open access journal
8
International Journal of Energy Economics and Policy : IJEEP
8
Journal of financial econometrics
8
The journal of risk model validation
8
Applied economics letters
7
Computational economics
7
International review of financial analysis
7
Journal of mathematical finance
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
The European journal of finance
6
Annals of financial economics
5
CBN journal of applied statistics
5
Discussion paper / Department of Economics, University of California San Diego
5
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
5
Discussion papers / Department of Economics, University of Copenhagen
5
Discussion papers of interdisciplinary research project 373
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1
Random autoregressive models : a structured overview
Regis, Marta
;
Serra, Paulo
;
Heuvel, Edwin R. van den
- In:
Econometric reviews
41
(
2022
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
Saved in:
2
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
3
The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
Zhang, Yi
;
Zhou, Long
;
Chen, Yajiao
;
Liu, Fang
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013449345
Saved in:
4
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
5
A novel estimation of time-varying quantile correlation for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
Saved in:
6
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
7
High-dimensional penalized arch processes
Poignard, Benjamin
;
Fermanian, Jean-David
- In:
Econometric reviews
40
(
2021
)
1
,
pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
Saved in:
8
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
9
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
10
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
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