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~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"Welt"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Welt
Zeitreihenanalyse
ARCH model
34
ARCH-Modell
34
Volatility
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Capital income
18
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18
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Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Erdemlioglu, Deniz
1
Gorgi, P.
1
Grønneberg, Steffen
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Hansen, Anne Lundgaard
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McElroy, Tucker
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Pelletier, Denis
1
Peng, Liang
1
Sucarrat, Genaro
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Journal of financial econometrics
Energy economics
107
Finance research letters
55
Economic modelling
52
Journal of empirical finance
50
Applied economics
43
Journal of econometrics
43
Research in international business and finance
41
International journal of forecasting
37
The North American journal of economics and finance : a journal of financial economics studies
37
International review of economics & finance : IREF
35
International review of financial analysis
34
Journal of risk and financial management : JRFM
33
Economics letters
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
International Journal of Energy Economics and Policy : IJEEP
29
Journal of forecasting
25
Journal of banking & finance
24
Journal of international financial markets, institutions & money
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
17
Econometric reviews
16
International journal of finance & economics : IJFE
16
Applied economics letters
15
Computational economics
14
Journal of time series econometrics
14
The European journal of finance
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The econometrics journal
13
Applied financial economics
12
Econometrics : open access journal
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International journal of economics and financial issues : IJEFI
12
Journal of international money and finance
12
Journal of risk
12
International journal of economics and finance
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Econometric theory
10
Cogent economics & finance
9
International journal of financial research
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CBN journal of applied statistics
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Journal of economics and finance
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ECONIS (ZBW)
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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
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:
3
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:
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
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
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
Saved in:
7
Forecasting VIX using filtered historical simulation
Jiang, Yushuang
;
Lazar, Emese
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 655-680
Persistent link: https://www.econbiz.de/10013349149
Saved in:
8
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
9
Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
Saved in:
10
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
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