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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Search: subject_exact:"ARCH model"
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ARCH model
354
ARCH-Modell
354
Volatility
241
Volatilität
241
Estimation
118
Schätzung
118
Theorie
105
Theory
105
Capital income
96
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96
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Huang, Zhuo
4
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4
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4
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4
Wang, Yudong
4
Zhang, Yaojie
4
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3
Caporin, Massimiliano
3
Engle, Robert F.
3
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3
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Mittnik, Stefan
3
Paolella, Marc S.
3
Shi, Yanlin
3
Stentoft, Lars
3
Teräsvirta, Timo
3
Todorova, Neda
3
Wu, Chongfeng
3
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2
Bauwens, Luc
2
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2
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2
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2
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2
Cheffou, Abdoulkarim Idi
2
Chen Zhou
2
Chen, Yi-ting
2
Christensen, Bent Jesper
2
Conrad, Christian
2
Dark, Jonathan
2
Dufays, Arnaud
2
Fałdziński, Marcin
2
Fiszeder, Piotr
2
Fleming, Jeff
2
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2
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2
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HFDF <2, 1998, Zürich>
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Economic modelling
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
267
Finance research letters
203
Applied economics
164
Journal of econometrics
146
International review of financial analysis
144
Research in international business and finance
128
International review of economics & finance : IREF
125
The North American journal of economics and finance : a journal of financial economics studies
123
Journal of banking & finance
113
Economics letters
109
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107
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101
International journal of forecasting
96
Journal of risk and financial management : JRFM
88
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87
Applied economics letters
79
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
76
The European journal of finance
76
The journal of futures markets
74
Econometric theory
73
International Journal of Energy Economics and Policy : IJEEP
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
International journal of finance & economics : IJFE
52
International journal of economics and financial issues : IJEFI
50
Econometric reviews
47
Journal of international money and finance
46
International journal of economics and finance
45
Review of quantitative finance and accounting
44
Computational economics
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
42
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40
Pacific-Basin finance journal
38
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37
Journal of applied econometrics
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ECONIS (ZBW)
354
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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
Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Zhao, Xiaojun
;
Zhang, Na
;
Zhang, Yali
;
Xu, Chao
;
Shang, …
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014578531
Saved in:
3
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Zhang, Qian
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
4
Dynamic dependence of futures basis between the Chinese and international grains markets
Wang, Hao
;
Dong, Yizhe
;
Sun, Mingli
;
Shi, Baofeng
;
Ji, Hao
- In:
Economic modelling
130
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014451147
Saved in:
5
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
6
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
Saved in:
7
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:
8
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:
9
The effects of economic uncertainty on financial volatility : a comprehensive investigation
Tong, Chen
;
Huang, Zhuo
;
Wang, Tianyi
;
Zhang, Cong
- In:
Journal of empirical finance
73
(
2023
),
pp. 369-389
Persistent link: https://www.econbiz.de/10014477040
Saved in:
10
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
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