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~isPartOf:"Journal of risk"
~subject:"Share price"
~subject:"Statistical distribution"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Share price
Statistical distribution
Volatility
ARCH model
42
ARCH-Modell
42
Risikomaß
23
Risk measure
23
Volatilität
22
Estimation
18
Schätzung
18
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12
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Aufsatz in Zeitschrift
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28
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Wu, Xinyu
3
Abad, Pilar
1
Amendola, Alessandra
1
Benito Muela, Sonia
1
Berens, Tobias
1
Berger, Theo
1
Bouri, Elie
1
Brownlees, Christian
1
Cameron, James
1
Candila, Vincenzo
1
Ceylan, Özcan
1
Chen, Jiusheng
1
Deering, T. Ryan
1
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1
Engle, Robert F.
1
Farhat, Ahmad
1
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1
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1
Gençay, Ramazan
1
Gillas, Konstantinos Gkillas
1
Goldman, Elena
1
Gulati, Chandra M.
1
Guo, Chuan
1
Gupta, Rangan
1
Han, Yang
1
Hassani, Samir Saissi
1
Jiang, Cuixia
1
Kelly, Bryan T.
1
Koutsoupakis, Dimitrios
1
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1
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1
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1
Li, Jinzhi
1
Li, Yuqian
1
Lin, Yan-xia
1
Luger, Richard
1
López-Martín, Carmen
1
Ma, Chaoqun
1
Mei, Xueting
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Journal of risk
Energy economics
228
Finance research letters
165
Applied economics
123
International review of financial analysis
116
Economic modelling
115
The North American journal of economics and finance : a journal of financial economics studies
109
International review of economics & finance : IREF
107
Journal of empirical finance
104
Research in international business and finance
102
Journal of international financial markets, institutions & money
79
Journal of risk and financial management : JRFM
76
International journal of forecasting
75
Journal of econometrics
74
Journal of banking & finance
64
Journal of forecasting
64
Applied financial economics
63
Applied economics letters
59
Economics letters
58
International Journal of Energy Economics and Policy : IJEEP
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
The European journal of finance
48
The journal of futures markets
47
Journal of financial econometrics : official journal of the Society for Financial Econometrics
45
International journal of finance & economics : IJFE
44
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
International journal of economics and financial issues : IJEFI
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Review of quantitative finance and accounting
34
Cogent economics & finance
32
International journal of economics and finance
31
Pacific-Basin finance journal
31
Journal of financial econometrics
30
The empirical economics letters : a monthly international journal of economics
29
Risks : open access journal
28
Journal of international money and finance
27
Quantitative finance
27
Computational economics
25
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ECONIS (ZBW)
28
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1
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
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
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:
4
Market efficiency and volatility within and across cryptocurrency benchmark indexes
Koutsoupakis, Dimitrios
- In:
Journal of risk
24
(
2022
)
4
,
pp. 23-46
Persistent link: https://www.econbiz.de/10014546345
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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