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~isPartOf:"Journal of risk"
~subject:"Aktienmarkt"
~subject:"Financial crisis"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Financial crisis
Oil price
Schätztheorie
ARCH model
42
ARCH-Modell
42
Risikomaß
23
Risk measure
23
Volatility
22
Volatilität
22
Estimation
18
Schätzung
18
Estimation theory
12
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11
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Abad, Pilar
1
Ardia, David
1
Benito Muela, Sonia
1
Berens, Tobias
1
Bouri, Elie
1
Butler, Andrew
1
Chen, Jiusheng
1
Feng, Yiyun
1
Feng, Yuanhua
1
Gatarek, Lukasz
1
Gillas, Konstantinos Gkillas
1
Goldman, Elena
1
Guo, Chuan
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Hoogerheide, Lennart
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1
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Kyei, Clement Kewku
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Lamb, John D.
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Letmathe, Sebastian
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Li, Yuqian
1
Luger, Richard
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López-Martín, Carmen
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Monville, Maura E.
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Muromachi, Yukio
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Qiao, Xiao
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Shen, Xiangjin
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Terceño, Antonio
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Vilhelmsson, Anders
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Wang, Yongning
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Journal of risk
Energy economics
182
Finance research letters
97
Economic modelling
82
International review of economics & finance : IREF
75
International review of financial analysis
69
Research in international business and finance
68
Applied economics
66
The North American journal of economics and finance : a journal of financial economics studies
55
Journal of international financial markets, institutions & money
53
Journal of econometrics
52
International Journal of Energy Economics and Policy : IJEEP
44
Journal of risk and financial management : JRFM
38
Journal of banking & finance
36
Journal of empirical finance
36
Econometric theory
35
Applied economics letters
34
Economics letters
34
International journal of forecasting
31
Journal of forecasting
31
International journal of finance & economics : IJFE
30
International journal of economics and financial issues : IJEFI
28
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
28
Applied financial economics
26
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
International journal of economics and finance
23
Pacific-Basin finance journal
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Discussion paper / Tinbergen Institute
22
The European journal of finance
20
Cogent economics & finance
19
Journal of international money and finance
18
Econometric Institute research papers
17
Econometric reviews
17
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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Review of quantitative finance and accounting
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The empirical economics letters : a monthly international journal of economics
17
Working paper
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Computational economics
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ECONIS (ZBW)
18
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1
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
2
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
3
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:
4
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:
5
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:
6
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
7
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:
8
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
9
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
Saved in:
10
Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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