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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of risk"
~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
189
ARCH-Modell
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88
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88
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66
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66
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Francq, Christian
10
Zakoïan, Jean-Michel
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4
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Journal of econometrics
Journal of risk
Energy economics
182
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
58
The North American journal of economics and finance : a journal of financial economics studies
52
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
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Journal of empirical finance
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Applied economics letters
33
Economics letters
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International journal of finance & economics : IJFE
30
International journal of forecasting
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Journal of banking & finance
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Journal of forecasting
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International journal of economics and financial issues : IJEFI
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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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Applied financial economics
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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
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Pacific-Basin finance journal
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Cogent economics & finance
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Econometric reviews
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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Review of quantitative finance and accounting
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The European journal of finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of international money and finance
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The econometrics journal
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ECONIS (ZBW)
67
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1
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
2
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
5
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
6
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
7
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
8
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
9
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
10
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
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