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~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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Risikomaß
ARCH model
219
ARCH-Modell
219
Volatility
147
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147
Estimation
74
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74
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52
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52
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Joëts, Marc
2
Olmo, Jose
2
Su, Jung-bin
2
Ahoniemi, Katja
1
Barunik, Jozef
1
Bei, Shuhua
1
Candelon, Bertrand
1
Cao, Yufei
1
Changqing, Luo
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Chen, Rongda
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Chi, Xie
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Christoffersen, Peter F.
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Escanciano, J. Carlos
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Gatfaoui, Hayette
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Gerlach, Richard
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Ghorbel, Ahmed
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Hammoudeh, Shawkat
1
Horváth, Lajos
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Hu, Shuowen
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Huang, Zhuo
1
Hung, Jui-cheng
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Iglesias, Emma M.
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Jiang, Kunliang
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Kang, Sang Hoon
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Kirby, Chris
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Louzis, Dimitrios P.
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Mancini, Loriano
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Mudakkar, Syeda Rabab
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Naimoli, Antonio
1
Naseem, Imran
1
Pei, Haotian
1
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Economic modelling
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
30
Energy economics
29
Journal of empirical finance
25
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of banking & finance
23
Journal of risk
23
International journal of forecasting
22
Applied economics
20
The journal of risk model validation
18
International review of financial analysis
16
Journal of risk and financial management : JRFM
16
Journal of forecasting
14
International review of economics & finance : IREF
12
Journal of econometrics
11
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Journal of international financial markets, institutions & money
9
The European journal of finance
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Computational economics
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Journal of financial econometrics
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Quantitative finance
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Risks : open access journal
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Applied economics letters
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Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
Risk management : a journal of risk, crisis and disaster
7
Review of quantitative finance and accounting
6
Annals of financial economics
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
4
Emerging markets review
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Financial markets and portfolio management
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International Journal of Financial Studies : open access journal
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
29
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1
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:
2
Price risk analysis using GARCH family models : evidence from Shanghai crude oil futures market
Bei, Shuhua
;
Yang, Aijun
;
Pei, Haotian
;
Si, Xiaoli
- In:
Economic modelling
125
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014463673
Saved in:
3
Extreme risk spillovers across financial markets under different crises
Cao, Yufei
- In:
Economic modelling
116
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014512465
Saved in:
4
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
5
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
6
Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?
Jiang, Kunliang
;
Ye, Wuyi
- In:
Economic modelling
117
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014229176
Saved in:
7
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
8
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
9
Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model
Zhang, Heng-Guo
;
Su, Chi-Wei
;
Song, Yan
;
Qiu, Shuqi
; …
- In:
Economic modelling
67
(
2017
),
pp. 355-367
Persistent link: https://www.econbiz.de/10011813839
Saved in:
10
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
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