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~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"Theorie"
~subject:"Welt"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Journal of applied econometrics
Journal of financial econometrics
Energy economics
118
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81
Finance research letters
80
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72
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65
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
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1
Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Clements, Michael P.
;
Galvão, Ana Beatriz C.
- In:
Journal of applied econometrics
38
(
2023
)
2
,
pp. 164-185
Persistent link: https://www.econbiz.de/10014287961
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
5
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
6
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1680-1727
Persistent link: https://www.econbiz.de/10014444717
Saved in:
7
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
8
Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Shi, Yanlin
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1308-1345
Persistent link: https://www.econbiz.de/10014391461
Saved in:
9
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
10
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
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