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~isPartOf:"International journal of economics and financial issues : IJEFI"
~isPartOf:"Journal of empirical finance"
~subject:"ARCH model"
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ARCH model
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Conrad, Christian
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International journal of economics and financial issues : IJEFI
Journal of empirical finance
Energy economics
52
Finance research letters
36
Research in international business and finance
35
International review of economics & finance : IREF
33
Economic modelling
32
Applied economics
31
International review of financial analysis
26
Journal of international financial markets, institutions & money
23
The North American journal of economics and finance : a journal of financial economics studies
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of banking & finance
20
Economics letters
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International journal of forecasting
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Applied economics letters
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Discussion paper / Tinbergen Institute
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Journal of econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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The European journal of finance
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Computational economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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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 journal of futures markets
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CORE discussion papers : DP
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Journal of risk and financial management : JRFM
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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CREATES research paper
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International Journal of Energy Economics and Policy : IJEEP
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International journal of finance & economics : IJFE
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Journal of financial econometrics
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CESifo working papers
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Econometric theory
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Econometric reviews
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Econometrics : open access journal
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Finance a úvěr
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International Journal of Financial Studies : open access journal
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ECONIS (ZBW)
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1
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
2
Liquidation discount : a novel application of ARFIMA-GARCH
Singh, Ranjodh B.
;
Gould, John
;
Chan, Felix
;
Yang, Wenling
- In:
Journal of empirical finance
36
(
2016
),
pp. 151-161
Persistent link: https://www.econbiz.de/10011662835
Saved in:
3
Modeling and forecasting stock return volatility using a random level shift model
Lu, Yang K.
;
Perron, Pierre
- In:
Journal of empirical finance
17
(
2010
)
1
,
pp. 138-156
Persistent link: https://www.econbiz.de/10003943961
Saved in:
4
Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies
Azar, Samih Antoine
- In:
International journal of economics and financial issues …
3
(
2013
)
3
,
pp. 723-733
Persistent link: https://www.econbiz.de/10010519398
Saved in:
5
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
6
Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos
;
Paraskevopoulos, Alexandros G.
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
Saved in:
7
Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo
;
Capistrán Carmona, Carlos
- In:
Journal of empirical finance
19
(
2012
)
5
,
pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
Saved in:
8
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
9
Do structural breaks affect portfolio designs and hedging strategies? : international evidence from stock-commodity markets linkages
Mongi, Arfaoui
;
Dhouha, Haj Ali
- In:
International journal of economics and financial issues …
6
(
2016
)
1
,
pp. 252-270
Persistent link: https://www.econbiz.de/10011695300
Saved in:
10
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
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