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Search: subject_exact:"ARCH model"
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ARCH model
155
ARCH-Modell
155
Volatility
108
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52
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52
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41
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1
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1
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Economic modelling
Journal of econometrics
56
Journal of empirical finance
51
International journal of forecasting
44
Journal of forecasting
39
Applied economics
38
Econometric theory
37
Finance research letters
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
33
Economics letters
32
Journal of banking & finance
32
The European journal of finance
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
International review of financial analysis
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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25
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The North American journal of economics and finance : a journal of financial economics studies
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19
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18
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17
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Journal of economic dynamics & control
16
Applied financial economics
15
Research in international business and finance
15
Journal of international money and finance
14
Risks : open access journal
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
International journal of finance & economics : IJFE
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Econometrics : open access journal
10
Journal of risk
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Review of quantitative finance and accounting
9
The journal of futures markets
9
International Journal of Energy Economics and Policy : IJEEP
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ECONIS (ZBW)
25
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25
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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
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
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:
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