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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Aktienmarkt"
~subject:"variance-targeting estimator"
~type_genre:"Article in journal"
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Aktienmarkt
variance-targeting estimator
ARCH model
65
ARCH-Modell
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Volatility
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Volatilität
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Theorie
28
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Engle, Robert F.
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Francq, Christian
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Liu, Xiaochun
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
59
International review of financial analysis
49
Energy economics
47
Research in international business and finance
47
International review of economics & finance : IREF
46
Journal of international financial markets, institutions & money
42
Economic modelling
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The North American journal of economics and finance : a journal of financial economics studies
33
Journal of risk and financial management : JRFM
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International journal of finance & economics : IJFE
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of international money and finance
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Afro-Asian Journal of Finance and Accounting : AAJFA
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The journal of applied business research
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International Journal of Financial Studies : open access journal
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Finance India : the quarterly journal of Indian Institute of Finance
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1
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:
2
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:
3
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
4
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:
5
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
Saved in:
6
Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo
;
Engle, Robert F.
;
Sheppard, Kevin
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 537-572
Persistent link: https://www.econbiz.de/10003565737
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