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~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~isPartOf:"Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund"
~subject:"ARCH model"
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ARCH model
Zeitreihenanalyse
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International journal of forecasting
Journal of econometrics
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
Discussion paper / Tinbergen Institute
50
Journal of empirical finance
37
Energy economics
32
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Finance research letters
30
Economics letters
28
Applied economics
27
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
The North American journal of economics and finance : a journal of financial economics studies
21
International review of financial analysis
20
CREATES research paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Working paper
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Journal of forecasting
18
Journal of risk and financial management : JRFM
18
Econometric reviews
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Research in international business and finance
16
Econometric Institute research papers
15
Econometrics : open access journal
15
International review of economics & finance : IREF
15
The econometrics journal
15
Journal of banking & finance
14
International Journal of Energy Economics and Policy : IJEEP
13
Journal of financial econometrics
13
Journal of time series econometrics
13
Computational economics
12
International journal of economics and financial issues : IJEFI
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Econometric theory
11
Journal of international financial markets, institutions & money
11
Journal of risk
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Applied financial economics
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SSE EFI working paper series in economics and finance
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
Working paper series
9
Applied economics letters
8
CORE discussion papers : DP
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ECONIS (ZBW)
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1
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia
;
Kilian, Lutz
- In:
Journal of econometrics
123
(
2004
)
1
,
pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
Saved in:
2
Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
Saved in:
3
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
4
Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
5
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
6
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
7
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
Gospodinov, Nikolaj
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 146-161
Persistent link: https://www.econbiz.de/10003778271
Saved in:
8
Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
Corradi, Valentina
;
Iglesias, Emma M.
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 500-510
Persistent link: https://www.econbiz.de/10003774696
Saved in:
9
A goodness-of-fit test for ARCH (∞) models
Hidalgo, Javier
;
Zaffaroni, Paolo
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 835-875
Persistent link: https://www.econbiz.de/10003571360
Saved in:
10
A goodness-of-fit test for ARCH (∞) models
Hidalgo, Javier
;
Zaffaroni, Paolo
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 973-1013
Persistent link: https://www.econbiz.de/10003572339
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