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~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Analysis of variance"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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ARCH-Modell
Analysis of variance
Theorie
Welt
ARCH model
34
Volatility
25
Volatilität
25
Capital income
18
Kapitaleinkommen
18
Theory
17
Estimation
14
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realized volatility
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Hansen, Peter Reinhard
2
Ledoit, Olivier
2
Wolf, Michael
2
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1
Bee, Marco
1
Cai, Charlie X.
1
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1
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1
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Journal of financial econometrics
Energy economics
267
Finance research letters
203
Applied economics
164
Economic modelling
155
Journal of econometrics
147
International review of financial analysis
144
Journal of empirical finance
133
Research in international business and finance
128
International review of economics & finance : IREF
125
The North American journal of economics and finance : a journal of financial economics studies
123
Journal of banking & finance
113
Economics letters
109
Journal of international financial markets, institutions & money
107
Applied financial economics
101
International journal of forecasting
96
Journal of risk and financial management : JRFM
88
Journal of forecasting
87
Applied economics letters
79
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
76
The European journal of finance
76
The journal of futures markets
74
Econometric theory
73
International Journal of Energy Economics and Policy : IJEEP
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Journal of financial econometrics : official journal of the Society for Financial Econometrics
64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
International journal of finance & economics : IJFE
52
International journal of economics and financial issues : IJEFI
50
Econometric reviews
47
Journal of international money and finance
46
International journal of economics and finance
45
Review of quantitative finance and accounting
44
Computational economics
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
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The econometrics journal
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Pacific-Basin finance journal
38
Cogent economics & finance
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Journal of applied econometrics
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ECONIS (ZBW)
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21
Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
Saved in:
22
Dynamics of equity factor returns and asset pricing
Stoyanov, Stoyan V.
;
Fabozzi, Francesco A.
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 178-201
Persistent link: https://www.econbiz.de/10012504326
Saved in:
23
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:
24
Testing for bubbles in cryptocurrencies with time : varying volatility
Hafner, Cristian M.
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 233-249
Persistent link: https://www.econbiz.de/10012232932
Saved in:
25
A GMM skewness and kurtosis ratio test for higher moment dependence
Wong, Woon K.
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 307-332
Persistent link: https://www.econbiz.de/10012232960
Saved in:
26
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
27
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao
;
Leng, Xuan
;
Liu, Xiaohui
;
Peng, Liang
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
Saved in:
28
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
29
Factor high-frequency-based volatility (HEAVY) models
Sheppard, Kevin
;
Xu, Wen
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10012054425
Saved in:
30
Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
Saved in:
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