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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Aktienmarkt"
~subject:"Risikomaß"
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Search: subject_exact:"GARCH-Modell"
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Aktienmarkt
Risikomaß
ARCH model
65
ARCH-Modell
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Volatility
40
Volatilität
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Theorie
28
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23
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Engle, Robert F.
2
Olmo, Jose
2
Ahoniemi, Katja
1
Barunik, Jozef
1
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1
Cappiello, Lorenzo
1
Christoffersen, Peter F.
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1
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
80
Energy economics
66
International review of financial analysis
60
Research in international business and finance
57
Applied economics
56
Economic modelling
56
International review of economics & finance : IREF
56
The North American journal of economics and finance : a journal of financial economics studies
54
Journal of international financial markets, institutions & money
46
Journal of empirical finance
44
Journal of banking & finance
41
Journal of risk and financial management : JRFM
41
International journal of forecasting
32
Journal of forecasting
29
Applied economics letters
28
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
25
Journal of risk
25
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
25
Applied financial economics
24
Pacific-Basin finance journal
23
International journal of economics and financial issues : IJEFI
21
International journal of finance & economics : IJFE
20
Review of quantitative finance and accounting
20
The European journal of finance
20
The journal of risk model validation
18
Working papers
18
International journal of economics and finance
17
Cogent economics & finance
16
Emerging markets review
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Journal of international money and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Theoretical economics letters
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International Journal of Financial Studies : open access journal
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Afro-Asian Journal of Finance and Accounting : AAJFA
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Computational economics
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International Journal of Energy Economics and Policy : IJEEP
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
5
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
6
Forecasting intraday volatility in the US equity market : multiplicative component GARCH
Engle, Robert F.
;
Sokalska, Magdalena E.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 54-83
Persistent link: https://www.econbiz.de/10009519713
Saved in:
7
Robust value at risk prediction
Mancini, Loriano
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
Saved in:
8
Robust backtesting tests for value-at-risk models
Escanciano, J. Carlos
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 132-161
Persistent link: https://www.econbiz.de/10009125151
Saved in:
9
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
10
The impact of shocks on higher moments
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
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