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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
ARCH model
40
ARCH-Modell
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Risikomaß
22
Risk measure
22
Volatility
20
Volatilität
20
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18
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Abad, Pilar
1
Ardia, David
1
Benito Muela, Sonia
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Berens, Tobias
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Bouri, Elie
1
Butler, Andrew
1
Chen, Jiusheng
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Feng, Yiyun
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Journal of risk
Energy economics
172
Finance research letters
78
Economic modelling
71
International review of financial analysis
61
International review of economics & finance : IREF
59
Applied economics
57
Research in international business and finance
57
The North American journal of economics and finance : a journal of financial economics studies
52
Journal of econometrics
51
Journal of international financial markets, institutions & money
45
International Journal of Energy Economics and Policy : IJEEP
43
Journal of risk and financial management : JRFM
37
Econometric theory
35
Journal of empirical finance
34
Economics letters
33
Applied economics letters
32
International journal of forecasting
29
Journal of banking & finance
29
Journal of forecasting
29
International journal of economics and financial issues : IJEFI
26
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
26
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
25
International journal of finance & economics : IJFE
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Applied financial economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Discussion paper / Tinbergen Institute
22
International journal of economics and finance
20
Pacific-Basin finance journal
20
Cogent economics & finance
17
Econometric reviews
16
Emerging markets, finance and trade : EMFT
16
Review of quantitative finance and accounting
16
Working paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of international money and finance
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The European journal of finance
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The econometrics journal
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Theoretical economics letters
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ECONIS (ZBW)
16
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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
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:
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
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:
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
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
Saved in:
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