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~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of financial econometrics"
~subject:"Heteroskedastizität"
~subject:"Prognoseverfahren"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Heteroskedastizität
Prognoseverfahren
Theorie
Welt
ARCH model
70
ARCH-Modell
70
Volatility
42
Volatilität
42
Theory
39
Capital income
24
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24
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19
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51
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Laurent, Sébastien
3
Sheppard, Kevin
3
Hansen, Peter Reinhard
2
Koopman, Siem Jan
2
Ledoit, Olivier
2
Rombouts, Jeroen V. K.
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1
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1
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Journal of applied econometrics
Journal of financial econometrics
Energy economics
135
Finance research letters
89
International journal of forecasting
82
Journal of forecasting
80
Journal of empirical finance
78
Applied economics
76
Journal of econometrics
72
Economic modelling
67
International review of financial analysis
67
The North American journal of economics and finance : a journal of financial economics studies
63
International review of economics & finance : IREF
57
Journal of banking & finance
53
Economics letters
50
Research in international business and finance
50
Journal of international financial markets, institutions & money
42
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
41
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The European journal of finance
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Applied economics letters
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Econometric theory
37
Journal of risk and financial management : JRFM
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Applied financial economics
32
International Journal of Energy Economics and Policy : IJEEP
30
Econometric reviews
28
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Computational economics
23
International journal of finance & economics : IJFE
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The econometrics journal
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Journal of international money and finance
22
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The journal of futures markets
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Journal of economic dynamics & control
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Risks : open access journal
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Pacific-Basin finance journal
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ECONIS (ZBW)
51
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1
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Zhang, Yihuang
;
Cucuringu, Mihai
;
Qian, …
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
Saved in:
2
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:
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
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue
;
Xie, Tian
;
Yu, Jun
;
Zhou, Qiankun
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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