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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of risk"
~subject:"Estimation"
~subject:"Statistische Verteilung"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Estimation
Statistische Verteilung
Theorie
Welt
ARCH model
76
ARCH-Modell
76
Volatility
47
Volatilität
47
Schätzung
32
Risikomaß
31
Risk measure
31
Capital income
27
Kapitaleinkommen
27
Theory
27
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23
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23
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22
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20
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16
Portfolio selection
16
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11
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10
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value-at-risk (VaR)
10
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9
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8
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56
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56
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Wu, Xinyu
3
Hansen, Peter Reinhard
2
Ledoit, Olivier
2
Wolf, Michael
2
Abad, Pilar
1
Alemany, Ramon
1
Amendola, Alessandra
1
Babbs, Simon H.
1
Baur, Dirk G.
1
Bee, Marco
1
Benito Muela, Sonia
1
Berens, Tobias
1
Bolancé, Catalina
1
Bouri, Elie
1
Braun, Valentin
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Cameron, James
1
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1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Chen, Jiusheng
1
Chorro, Christophe
1
Christensen, Kim
1
Cong, Jianfa
1
De Nard, Gianluca
1
Dimpfl, Thomas
1
Dionne, Georges
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Fabozzi, Francesco A.
1
Feng, Yiyun
1
Francq, Christian
1
Gillas, Konstantinos Gkillas
1
Goldman, Elena
1
Gorgi, P.
1
Grønneberg, Steffen
1
Gulati, Chandra M.
1
Guo, Chuan
1
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Journal of financial econometrics
Journal of risk
Energy economics
151
Finance research letters
116
Applied economics
97
Journal of empirical finance
86
Journal of econometrics
84
Economic modelling
82
The North American journal of economics and finance : a journal of financial economics studies
78
International review of financial analysis
77
International review of economics & finance : IREF
72
Research in international business and finance
69
International journal of forecasting
66
Journal of international financial markets, institutions & money
61
Journal of banking & finance
60
Economics letters
56
Journal of forecasting
54
Journal of risk and financial management : JRFM
52
Applied economics letters
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
The European journal of finance
42
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
40
Econometric theory
38
Applied financial economics
36
The journal of futures markets
35
International journal of finance & economics : IJFE
34
Econometric reviews
32
International Journal of Energy Economics and Policy : IJEEP
30
International journal of economics and financial issues : IJEFI
29
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
28
Computational economics
27
Journal of applied econometrics
27
Review of quantitative finance and accounting
27
Journal of international money and finance
26
Quantitative finance
26
International journal of economics and finance
24
The econometrics journal
24
Cogent economics & finance
21
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ECONIS (ZBW)
56
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56
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1
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
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
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
4
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:
5
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
6
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:
7
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:
8
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:
9
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:
10
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
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