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~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"Börsenkurs"
~subject:"Forecasting model"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
Forecasting model
Zeitreihenanalyse
ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
18
Kapitaleinkommen
18
Theorie
17
Theory
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Estimation
14
Schätzung
14
Time series analysis
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Prognoseverfahren
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Share price
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Estimation theory
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Risk measure
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Schätztheorie
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Statistical distribution
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Statistische Verteilung
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Portfolio selection
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Portfolio-Management
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realized volatility
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Analysis of variance
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CAPM
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GARCH
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Varianzanalyse
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value-at-risk
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Aktienmarkt
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Measurement
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Messung
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Aufsatz in Zeitschrift
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Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Bee, Marco
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Christensen, Kim
1
Cucuringu, Mihai
1
Dimpfl, Thomas
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Fabozzi, Francesco A.
1
Francq, Christian
1
Gorgi, P.
1
Grønneberg, Steffen
1
Hansen, Anne Lundgaard
1
Huang, Haitao
1
Huang, Zhuo
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Janus, Paweł
1
Jiang, Yushuang
1
Kim, Minjoo
1
Koopman, Siem Jan
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Lazar, Emese
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Leng, Xuan
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Liu, Qiang
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Liu, Xiaohui
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Liu, Zhi
1
Livieri, Giulia
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Lu, Jin
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Maheu, John M.
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Mancino, Maria Elvira
1
Marmi, Stefano
1
McElroy, Tucker
1
Pelletier, Denis
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Peng, Liang
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Journal of financial econometrics
Energy economics
122
Finance research letters
119
Applied economics
87
International journal of forecasting
84
International review of economics & finance : IREF
81
Journal of forecasting
78
The North American journal of economics and finance : a journal of financial economics studies
74
International review of financial analysis
72
Economic modelling
71
Journal of empirical finance
71
Journal of econometrics
61
Research in international business and finance
57
Journal of risk and financial management : JRFM
53
Journal of international financial markets, institutions & money
52
Economics letters
47
Applied economics letters
41
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
41
Journal of banking & finance
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Applied financial economics
34
International Journal of Energy Economics and Policy : IJEEP
31
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
International journal of finance & economics : IJFE
28
The European journal of finance
27
Computational economics
26
International journal of economics and financial issues : IJEFI
24
Econometric reviews
23
International journal of economics and finance
23
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Review of quantitative finance and accounting
22
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
22
Pacific-Basin finance journal
21
Risks : open access journal
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
20
Journal of risk
20
Cogent economics & finance
19
Econometrics : open access journal
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Quantitative finance
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Annals of financial economics
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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
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:
3
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:
4
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:
5
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
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6
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:
7
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:
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
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
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