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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Oil price
Schätztheorie
ARCH model
64
ARCH-Modell
64
Theorie
33
Theory
33
Volatility
29
Volatilität
29
Estimation theory
25
Time series analysis
23
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Bauwens, Luc
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Ling, Shiqing
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Sheppard, Kevin
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Tsay, Ruey S.
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Amado, Cristina
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Gungor, Sermin
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1
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1
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
176
Finance research letters
90
Economic modelling
71
International review of economics & finance : IREF
66
International review of financial analysis
62
Applied economics
59
Research in international business and finance
57
The North American journal of economics and finance : a journal of financial economics studies
52
Journal of econometrics
51
Journal of international financial markets, institutions & money
45
International Journal of Energy Economics and Policy : IJEEP
44
Journal of risk and financial management : JRFM
37
Econometric theory
35
Journal of empirical finance
35
Applied economics letters
33
Economics letters
33
International journal of forecasting
30
International journal of finance & economics : IJFE
29
Journal of banking & finance
29
Journal of forecasting
29
International journal of economics and financial issues : IJEFI
26
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
26
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
25
Applied financial economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Discussion paper / Tinbergen Institute
22
International journal of economics and finance
20
Pacific-Basin finance journal
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Cogent economics & finance
17
Econometric reviews
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Emerging markets, finance and trade : EMFT
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Journal of risk
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Review of quantitative finance and accounting
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The European journal of finance
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Working paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of international money and finance
15
The econometrics journal
15
Theoretical economics letters
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ECONIS (ZBW)
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1
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
4
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
5
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
6
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
7
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
8
Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
Saved in:
9
Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
Saved in:
10
On a threshold double autoregressive model
Li, Dong
;
Ling, Shiqing
;
Zhang, Rongmao
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 68-80
Persistent link: https://www.econbiz.de/10011691211
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