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~isPartOf:"Journal of risk"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Schätztheorie"
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Search: subject_exact:"GARCH model"
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Aktienmarkt
Oil price
Schätztheorie
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ARCH model
42
ARCH-Modell
42
Risikomaß
23
Risk measure
23
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22
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Wu, Xinyu
2
Abad, Pilar
1
Ardia, David
1
Benito Muela, Sonia
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Bouri, Elie
1
Butler, Andrew
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Journal of risk
Energy economics
190
Finance research letters
106
International review of economics & finance : IREF
84
Economic modelling
82
Applied economics
80
International review of financial analysis
80
Research in international business and finance
72
The North American journal of economics and finance : a journal of financial economics studies
63
Journal of econometrics
61
Journal of international financial markets, institutions & money
56
Journal of empirical finance
54
Journal of risk and financial management : JRFM
51
International Journal of Energy Economics and Policy : IJEEP
49
Applied economics letters
44
Economics letters
42
Journal of banking & finance
40
International journal of forecasting
38
Econometric theory
36
Journal of forecasting
36
Discussion paper / Tinbergen Institute
34
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
34
International journal of finance & economics : IJFE
32
Applied financial economics
29
International journal of economics and financial issues : IJEFI
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
The European journal of finance
25
Cogent economics & finance
24
International journal of economics and finance
23
Pacific-Basin finance journal
22
Econometric reviews
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
21
Working paper
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Econometric Institute research papers
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Review of quantitative finance and accounting
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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
Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
Wu, Xinyu
;
Han, Yang
;
Ma, Chaoqun
- In:
Journal of risk
23
(
2021
)
6
,
pp. 1-35
Persistent link: https://www.econbiz.de/10013473133
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
Saved in:
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