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~isPartOf:"Journal of financial econometrics"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Oil price
Schätztheorie
ARCH model
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ARCH-Modell
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Volatility
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Cai, Charlie X.
1
Cai, Yuzhi
1
Grønneberg, Steffen
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Huang, Haitao
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Journal of financial econometrics
Energy economics
163
Journal of econometrics
50
International Journal of Energy Economics and Policy : IJEEP
41
Finance research letters
38
Economic modelling
36
Econometric theory
35
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Economics letters
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International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion paper / Tinbergen Institute
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International journal of forecasting
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Journal of empirical finance
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Journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometric reviews
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International review of financial analysis
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Journal of risk
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The econometrics journal
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Applied economics letters
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Econometric Institute research papers
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CREATES research paper
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The energy journal
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International journal of economics and financial issues : IJEFI
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International journal of finance & economics : IJFE
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research in international business and finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of international financial markets, institutions & money
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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
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:
3
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
4
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:
5
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:
6
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:
7
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
8
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
Saved in:
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