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~isPartOf:"Journal of financial econometrics"
~subject:"Kapitaleinkommen"
~subject:"Portfolio-Management"
~subject:"Theorie"
~subject:"Welt"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Lehrbuch"
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Search: subject_exact:"ARCH-Modell"
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Kapitaleinkommen
Portfolio-Management
Theorie
Welt
ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
18
Theory
17
Estimation
14
Schätzung
14
Time series analysis
12
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12
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11
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11
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Correlation
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Schätztheorie
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Statistical distribution
6
Statistische Verteilung
6
Portfolio selection
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realized volatility
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Analysis of variance
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value-at-risk
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Hansen, Peter Reinhard
2
Ledoit, Olivier
2
Wolf, Michael
2
Baur, Dirk G.
1
Bee, Marco
1
Cai, Yuzhi
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Christensen, Kim
1
Cucuringu, Mihai
1
De Nard, Gianluca
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, Zhuo
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Janus, Paweł
1
Koopman, Siem Jan
1
Liu, Jinjing
1
Lu, Jin
1
Maheu, John M.
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Pelletier, Denis
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Peng, Shige
1
Qian, Zhongmin
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Qiu, Yue
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Sheppard, Kevin
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Shi, Yanlin
1
Siggaard, Mathias Voldum
1
Stander, Julian
1
Stoyanov, Stoyan V.
1
Sucarrat, Genaro
1
Tong, Chen
1
Trapin, Luca
1
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Journal of financial econometrics
Energy economics
136
Finance research letters
118
Journal of empirical finance
92
Applied economics
84
International review of financial analysis
83
Economic modelling
75
International review of economics & finance : IREF
75
Research in international business and finance
73
The North American journal of economics and finance : a journal of financial economics studies
73
Journal of econometrics
70
International journal of forecasting
69
Journal of banking & finance
65
Journal of international financial markets, institutions & money
61
Journal of forecasting
56
Economics letters
49
Journal of risk and financial management : JRFM
49
The European journal of finance
46
Applied economics letters
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
41
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
40
Econometric theory
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Applied financial economics
34
International Journal of Energy Economics and Policy : IJEEP
33
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
31
Econometric reviews
30
International journal of finance & economics : IJFE
28
Journal of applied econometrics
27
Computational economics
26
Quantitative finance
26
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
26
Review of quantitative finance and accounting
25
International journal of economics and financial issues : IJEFI
24
Journal of international money and finance
24
Journal of risk
23
Cogent economics & finance
22
International journal of economics and finance
22
Pacific-Basin finance journal
22
Risks : open access journal
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ECONIS (ZBW)
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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
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
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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