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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of risk"
~subject:"Estimation"
~subject:"Theorie"
~subject:"Time series analysis"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Estimation
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Welt
ARCH model
76
ARCH-Modell
76
Volatility
47
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47
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32
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31
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31
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Wu, Xinyu
3
Hansen, Peter Reinhard
2
Ledoit, Olivier
2
Wolf, Michael
2
Alemany, Ramon
1
Amendola, Alessandra
1
Ardia, David
1
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1
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1
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Journal of financial econometrics
Journal of risk
Energy economics
160
Finance research letters
124
Applied economics
102
Journal of empirical finance
94
Journal of econometrics
92
Economic modelling
88
International review of financial analysis
83
The North American journal of economics and finance : a journal of financial economics studies
77
Research in international business and finance
76
International review of economics & finance : IREF
73
International journal of forecasting
71
Journal of international financial markets, institutions & money
62
Journal of banking & finance
61
Economics letters
60
Journal of risk and financial management : JRFM
59
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
58
Journal of forecasting
55
Applied economics letters
52
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Journal of financial econometrics : official journal of the Society for Financial Econometrics
45
The European journal of finance
44
Econometric theory
41
Applied financial economics
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
38
International Journal of Energy Economics and Policy : IJEEP
38
Econometric reviews
37
International journal of finance & economics : IJFE
36
International journal of economics and financial issues : IJEFI
33
The journal of futures markets
32
Computational economics
30
The econometrics journal
29
Journal of applied econometrics
28
Quantitative finance
27
Review of quantitative finance and accounting
27
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
27
International journal of economics and finance
26
Journal of international money and finance
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Cogent economics & finance
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ECONIS (ZBW)
57
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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
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:
4
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:
5
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:
6
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:
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
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
Saved in:
10
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
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