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~isPartOf:"Research in international business and finance"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Zeitreihenanalyse
ARCH model
167
ARCH-Modell
167
Volatility
113
Volatilität
113
Estimation
51
Schätzung
51
Aktienmarkt
50
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Aufsatz in Zeitschrift
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27
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Lau, Chi Keung
2
Wu, Xinyu
2
Aloui, Chaker
1
Ardia, David
1
Ben Ouda, Olfa
1
Bouri, Elie
1
Chaker, Selma
1
Deering, T. Ryan
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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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 risk
Research in international business and finance
Journal of econometrics
42
Journal of empirical finance
37
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
International journal of forecasting
30
Energy economics
29
Finance research letters
28
Applied economics
27
Economics letters
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
21
International review of financial analysis
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of forecasting
18
Journal of risk and financial management : JRFM
17
Econometric reviews
15
International review of economics & finance : IREF
15
Journal of banking & finance
14
International Journal of Energy Economics and Policy : IJEEP
13
Journal of time series econometrics
13
The econometrics journal
13
Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Journal of financial econometrics
12
Computational economics
11
Journal of international financial markets, institutions & money
11
Applied financial economics
10
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
International journal of finance & economics : IJFE
8
The European journal of finance
8
Applied economics letters
7
CBN journal of applied statistics
7
Journal of economic dynamics & control
7
Journal of economic surveys
7
Journal of economics and finance
7
Quantitative finance
7
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ECONIS (ZBW)
27
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10
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27
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date (oldest first)
1
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
Saved in:
2
Return and volatility properties : stylized facts from the universe of cryptocurrencies and NFTs
Ghosh, Bikramaditya
;
Bouri, Elie
;
Wee, Jung Bum
; …
- In:
Research in international business and finance
65
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014432708
Saved in:
3
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
4
Long memory and volatility persistence across BRICS stock markets
Tripathy, Nalini Prava
- In:
Research in international business and finance
63
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248974
Saved in:
5
Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model
Jiang, Kunliang
;
Zeng, Linhui
;
Song, Jiashan
;
Liu, Yimeng
- In:
Research in international business and finance
61
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014240057
Saved in:
6
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
7
Forecasting the realized volatility of stock markets with financial stress
Guo, Chuan
;
Feng, Yiyun
- In:
Journal of risk
25
(
2022
)
1
,
pp. 23-48
Persistent link: https://www.econbiz.de/10013549680
Saved in:
8
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
9
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
Rokicka, Anna
;
Kudła, Janusz
- In:
Journal of risk
23
(
2021
)
4
,
pp. 51-79
Persistent link: https://www.econbiz.de/10012593441
Saved in:
10
Value at risk and returns of cryptocurrencies before and after the crash : long-run relations and fractional cointegration
Tan, Zhengxun
;
Huang, Yilong
;
Xiao, Binuo
- In:
Research in international business and finance
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013266119
Saved in:
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