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ARCH model
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Francq, Christian
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Journal of banking & finance
Journal of econometrics
Energy economics
116
Finance research letters
98
Applied economics
93
Journal of empirical finance
86
Economic modelling
80
International review of financial analysis
76
Discussion paper / Tinbergen Institute
69
International journal of forecasting
66
The North American journal of economics and finance : a journal of financial economics studies
63
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62
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57
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53
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ECONIS (ZBW)
151
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151
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1
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
2
Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard
;
Kapetanios, George
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 60-71
Persistent link: https://www.econbiz.de/10003783785
Saved in:
3
Distribution
theory
for unit root tests with conditional heteroskedasticity
Seo, Byeongseon
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 113-144
Persistent link: https://www.econbiz.de/10001382163
Saved in:
4
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
5
Estimation
of dynamic and ARCH Tobit models
Lee, Lung-fei
- In:
Journal of econometrics
92
(
1999
)
2
,
pp. 355-390
Persistent link: https://www.econbiz.de/10001400177
Saved in:
6
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
7
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
8
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:
9
R-
estimation
in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
10
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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