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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Capital income"
~subject:"Exchange rate"
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Search: subject:"ARCH model"
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Capital income
Exchange rate
ARCH model
65
ARCH-Modell
65
Volatility
40
Volatilität
40
Theorie
28
Theory
28
Estimation
23
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23
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18
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16
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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
68
Journal of empirical finance
58
Energy economics
57
The North American journal of economics and finance : a journal of financial economics studies
57
International review of financial analysis
54
International review of economics & finance : IREF
48
Journal of international financial markets, institutions & money
47
Research in international business and finance
47
Economic modelling
45
Applied economics
43
International journal of forecasting
37
Journal of forecasting
37
Applied financial economics
35
Journal of risk and financial management : JRFM
33
Journal of banking & finance
32
Applied economics letters
31
The European journal of finance
30
Journal of econometrics
25
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
24
International journal of finance & economics : IJFE
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
International journal of economics and finance
23
International journal of economics and financial issues : IJEFI
23
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
International Journal of Energy Economics and Policy : IJEEP
19
Review of quantitative finance and accounting
19
Discussion paper / Tinbergen Institute
18
Journal of financial econometrics
18
Working paper
18
Cogent economics & finance
17
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
17
Pacific-Basin finance journal
17
Economics letters
16
Global business review
15
Journal of international money and finance
15
Afro-Asian Journal of Finance and Accounting : AAJFA
14
Financial innovation : FIN
14
Journal of multinational financial management
14
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ECONIS (ZBW)
15
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15
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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
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:
3
Exceedance correlation tests for financial returns
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
Saved in:
4
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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 covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
7
Improving asset price prediction when all models are false
Durham, Garland
;
Geweke, John
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
Saved in:
8
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
9
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
10
A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
Saved in:
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