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~subject:"Risikomaß"
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Search: subject_exact:"ARCH model"
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Risikomaß
Theorie
ARCH model
155
ARCH-Modell
155
Volatility
108
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108
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52
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52
Aktienmarkt
41
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41
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35
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38
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Joëts, Marc
2
Su, Jung-bin
2
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1
Bei, Shuhua
1
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1
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1
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1
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1
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1
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1
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1
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1
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Economic modelling
Journal of empirical finance
61
Journal of econometrics
60
Finance research letters
58
International journal of forecasting
54
Applied economics
47
Energy economics
47
Journal of forecasting
47
Journal of banking & finance
43
The North American journal of economics and finance : a journal of financial economics studies
41
Econometric theory
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
36
The European journal of finance
36
International review of financial analysis
35
Economics letters
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
International review of economics & finance : IREF
30
Journal of risk
28
Journal of risk and financial management : JRFM
28
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26
Journal of international financial markets, institutions & money
25
Research in international business and finance
25
Applied economics letters
22
Journal of applied econometrics
22
Journal of financial econometrics
22
Computational economics
21
The econometrics journal
21
Quantitative finance
20
Risks : open access journal
18
The journal of risk model validation
18
Applied financial economics
17
Journal of economic dynamics & control
17
Journal of international money and finance
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
International journal of economics and financial issues : IJEFI
14
International journal of finance & economics : IJFE
14
Review of quantitative finance and accounting
14
Econometrics : open access journal
12
Pacific-Basin finance journal
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ECONIS (ZBW)
38
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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
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
6
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:
7
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:
8
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:
9
Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min
;
Taylor, James W.
;
Choo, Wei Chong
- In:
Economic modelling
93
(
2020
),
pp. 651-659
Persistent link: https://www.econbiz.de/10012430324
Saved in:
10
Intersectoral default contagion : a multivariate Poisson autoregression analysis
Escribano, Ana
;
Maggi, Mario Alessandro
- In:
Economic modelling
82
(
2019
),
pp. 376-400
Persistent link: https://www.econbiz.de/10012203181
Saved in:
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