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Search: subject_exact:"ARCH-Modell"
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Schätztheorie
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ARCH model
155
ARCH-Modell
155
Volatility
108
Volatilität
108
Estimation
52
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52
Aktienmarkt
41
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41
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35
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Economic modelling
Journal of econometrics
105
Journal of empirical finance
63
Econometric theory
62
International journal of forecasting
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Discussion paper / Tinbergen Institute
54
Economics letters
51
Finance research letters
50
Journal of forecasting
49
Applied economics
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Journal of banking & finance
41
Econometric reviews
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
39
The European journal of finance
36
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34
International review of financial analysis
30
The North American journal of economics and finance : a journal of financial economics studies
29
International review of economics & finance : IREF
26
Journal of risk and financial management : JRFM
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Journal of financial econometrics
25
Working paper
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Applied economics letters
24
Journal of applied econometrics
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Computational economics
23
Energy economics
23
Journal of international financial markets, institutions & money
22
Journal of risk
22
CREATES research paper
21
CORE discussion papers : DP
20
Quantitative finance
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International journal of economics and financial issues : IJEFI
19
Journal of economic dynamics & control
19
Journal of time series econometrics
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Applied financial economics
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Econometrics : open access journal
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Research in international business and finance
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ECONIS (ZBW)
33
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
8
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:
9
Testing extreme dependence in financial time series
Chaudhuri, Kausik
;
Sen, Rituparna
;
Tan, Zheng
- In:
Economic modelling
73
(
2018
),
pp. 378-394
Persistent link: https://www.econbiz.de/10012100537
Saved in:
10
Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min
;
Jung, Hojin
- In:
Economic modelling
64
(
2017
),
pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
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