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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARFIMA"
~subject:"Share price"
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ARFIMA
Share price
ARCH model
409
ARCH-Modell
409
Volatility
274
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274
Estimation
137
Schätzung
137
Capital income
118
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Chiang, Thomas C.
2
Conrad, Christian
2
Jayawardena, Nirodha I.
2
Karanasos, Menelaos
2
Kumar, Dilip
2
Li, Bin
2
Maheswaran, S.
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Min, Hong-ghi
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1
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Baumöhl, Eduard
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1
Bohl, Martin T.
1
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Cai, Xiao Jing
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Cam, Marie-Anne
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1
Chan, Felix
1
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Economic modelling
Journal of empirical finance
Review of quantitative finance and accounting
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Finance research letters
56
International review of economics & finance : IREF
49
Applied economics
47
Energy economics
46
Research in international business and finance
43
International review of financial analysis
42
The North American journal of economics and finance : a journal of financial economics studies
40
Journal of risk and financial management : JRFM
34
Journal of international financial markets, institutions & money
33
Applied economics letters
25
Journal of econometrics
24
International Journal of Energy Economics and Policy : IJEEP
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Journal of banking & finance
20
International journal of forecasting
18
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Economics letters
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
16
International journal of economics and financial issues : IJEFI
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Cogent economics & finance
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International journal of finance & economics : IJFE
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Discussion paper / Tinbergen Institute
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Global business review
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International Journal of Financial Studies : open access journal
13
The empirical economics letters : a monthly international journal of economics
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Emerging markets, finance and trade : EMFT
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The European journal of finance
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Department of Economics working paper series
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of economics and finance
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The journal of applied business research
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Finance India : the quarterly journal of Indian Institute of Finance
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Pacific-Basin finance journal
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Theoretical economics letters
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ECONIS (ZBW)
94
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94
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
7
Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan
;
Kovačević, Jelena
;
Stankov, Biljana
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
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
Volatility spillover among sector equity returns under structural breaks
Malik, Farooq
- In:
Review of quantitative finance and accounting
58
(
2022
)
3
,
pp. 1063-1080
Persistent link: https://www.econbiz.de/10013191782
Saved in:
10
Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
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