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~isPartOf:"Journal of risk"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Risk"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Oil price
Risk
Schätztheorie
ARCH model
42
ARCH-Modell
42
Risikomaß
23
Risk measure
23
Volatility
22
Volatilität
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Abad, Pilar
1
Ardia, David
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Bouri, Elie
1
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1
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Chen, Jiusheng
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Journal of risk
Energy economics
190
Finance research letters
99
Economic modelling
77
International review of economics & finance : IREF
73
Applied economics
67
International review of financial analysis
65
Research in international business and finance
61
The North American journal of economics and finance : a journal of financial economics studies
57
Journal of econometrics
53
Journal of international financial markets, institutions & money
46
International Journal of Energy Economics and Policy : IJEEP
45
Journal of risk and financial management : JRFM
42
Journal of empirical finance
40
Applied economics letters
39
Economics letters
38
Econometric theory
35
Journal of banking & finance
33
International journal of forecasting
32
International journal of finance & economics : IJFE
31
International journal of economics and financial issues : IJEFI
30
Journal of forecasting
29
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
27
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
27
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Applied financial economics
23
Discussion paper / Tinbergen Institute
23
International journal of economics and finance
20
Pacific-Basin finance journal
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Cogent economics & finance
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Econometric reviews
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Journal of international money and finance
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Review of quantitative finance and accounting
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The European journal of finance
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Theoretical economics letters
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Working paper
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Department of Economics working paper series
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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The empirical economics letters : a monthly international journal of economics
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
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