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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
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Search: subject_exact:"GARCH-Modell"
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Risikomaß
Statistische Verteilung
ARCH model
65
ARCH-Modell
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Volatility
40
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40
Theorie
28
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28
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23
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Olmo, Jose
2
Ahoniemi, Katja
1
Barunik, Jozef
1
Brooks, Chris
1
Burke, Simon P.
1
Christoffersen, Peter F.
1
Escanciano, J. Carlos
1
Fleming, Jeff
1
Francq, Christian
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Fuertes, Ana María
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Horváth, Lajos
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1
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Rockinger, Michael
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Stentoft, Lars
1
Trapin, Luca
1
Trojani, Fabio
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
34
Journal of empirical finance
32
Energy economics
30
International journal of forecasting
29
The North American journal of economics and finance : a journal of financial economics studies
29
Economic modelling
27
Applied economics
26
Journal of banking & finance
26
Journal of econometrics
23
Journal of risk
23
Journal of risk and financial management : JRFM
20
Discussion paper / Tinbergen Institute
18
International review of financial analysis
18
Journal of forecasting
18
The journal of risk model validation
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
International review of economics & finance : IREF
16
The European journal of finance
16
Working papers
16
Research paper series / Swiss Finance Institute
13
Research in international business and finance
12
Computational economics
11
Quantitative finance
11
Swiss Finance Institute Research Paper
11
Journal of international financial markets, institutions & money
10
Applied economics letters
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Journal of financial econometrics
9
Pacific-Basin finance journal
9
Risks : open access journal
9
Econometric Institute research papers
8
Economics letters
8
Insurance / Mathematics & economics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
8
Review of quantitative finance and accounting
8
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
8
Annals of financial economics
7
CFS working paper series
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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
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:
4
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:
5
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:
6
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:
7
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:
8
American option pricing using GARCH models and the normal inverse Gaussian distribution
Stentoft, Lars
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 540-582
Persistent link: https://www.econbiz.de/10003778987
Saved in:
9
Autoregressive conditional kurtosis
Brooks, Chris
;
Burke, Simon P.
;
Heravi, Saeed M.
; …
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
3
,
pp. 399-421
Persistent link: https://www.econbiz.de/10002989106
Saved in:
10
A closer look at the relation between GARCH and stochastic autoregressive volatility
Fleming, Jeff
;
Kirby, Chris
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
3
,
pp. 365-419
Persistent link: https://www.econbiz.de/10002214166
Saved in:
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