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~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"Portfolio selection"
~subject:"Theorie"
~subject:"Welt"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Portfolio selection
Theorie
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Zeitreihenanalyse
ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
18
Kapitaleinkommen
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Ledoit, Olivier
2
Wolf, Michael
2
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Christensen, Kim
1
De Nard, Gianluca
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Fabozzi, Francesco A.
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Journal of financial econometrics
Energy economics
127
Finance research letters
98
Journal of econometrics
85
Journal of empirical finance
85
Applied economics
78
Economic modelling
72
International journal of forecasting
67
International review of financial analysis
64
The North American journal of economics and finance : a journal of financial economics studies
61
International review of economics & finance : IREF
58
Research in international business and finance
57
Journal of banking & finance
55
Economics letters
53
Journal of forecasting
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Journal of risk and financial management : JRFM
49
Journal of international financial markets, institutions & money
47
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Econometric theory
41
The European journal of finance
40
Econometric reviews
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International Journal of Energy Economics and Policy : IJEEP
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Applied economics letters
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Computational economics
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Journal of risk
29
The econometrics journal
28
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
27
International journal of finance & economics : IJFE
27
Journal of applied econometrics
26
Quantitative finance
25
Applied financial economics
23
International journal of economics and financial issues : IJEFI
22
Journal of international money and finance
22
Journal of economic dynamics & control
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Risks : open access journal
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Journal of time series econometrics
18
Review of quantitative finance and accounting
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Econometrics : open access journal
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ECONIS (ZBW)
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24
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
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:
9
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:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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