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~isPartOf:"Journal of econometrics"
~subject:"ARCH-Modell"
~subject:"United States"
~type_genre:"Article in journal"
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ARCH-Modell
United States
Volatility
320
Volatilität
320
Theorie
210
Theory
210
Estimation theory
185
Schätztheorie
185
Cointegration
162
Kointegration
161
Time series analysis
158
Zeitreihenanalyse
158
Estimation
128
Schätzung
128
Stochastic process
118
Stochastischer Prozess
118
Capital income
73
Kapitaleinkommen
73
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69
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69
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69
Nichtparametrisches Verfahren
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Nonparametric statistics
68
Option pricing theory
66
Optionspreistheorie
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59
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44
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42
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37
USA
37
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34
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102
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102
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Bollerslev, Tim
6
Francq, Christian
4
Zakoïan, Jean-Michel
4
Engle, Robert F.
3
Ghysels, Eric
3
Hallin, Marc
3
Kim, Donggyu
3
Paolella, Marc S.
3
Xiu, Dacheng
3
Zhou, Hao
3
Zhu, Ke
3
Andersen, Torben
2
Aït-Sahalia, Yacine
2
Bansal, Ravi
2
Barigozzi, Matteo
2
Gonçalves, Sílvia
2
Harvey, Andrew C.
2
Li, Guodong
2
Li, Wai Keung
2
Linton, Oliver
2
McAleer, Michael
2
Meddahi, Nour
2
Patton, Andrew J.
2
Polak, Pawel
2
Wang, Yazhen
2
Wu, Jianbin
2
Abowd, John M.
1
Aguilar, Mike
1
Altissimo, Filippo
1
Amengual, Dante
1
Andreou, Elena
1
Asai, Manabu
1
Bai, Xuezheng
1
Baldovin, Fulvio
1
Bates, David S.
1
Bauwens, Luc
1
Bec, Frédérique
1
Bekaert, Geert
1
Beltratti, Andrea
1
Blair, Bevan J.
1
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Journal of econometrics
Energy economics
294
Applied economics
226
The journal of futures markets
201
Finance research letters
182
Economic modelling
176
International review of financial analysis
157
International review of economics & finance : IREF
153
The North American journal of economics and finance : a journal of financial economics studies
148
Journal of banking & finance
145
Applied financial economics
142
Journal of empirical finance
131
Economics letters
129
Journal of international financial markets, institutions & money
127
Journal of international money and finance
124
Research in international business and finance
117
The review of financial studies
116
The American economic review
100
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
97
Applied economics letters
96
Monthly labor review : MLR
91
The review of economics and statistics
90
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
87
The journal of finance : the journal of the American Finance Association
85
International journal of forecasting
84
Journal of risk and financial management : JRFM
80
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Journal of financial and quantitative analysis : JFQA
74
Journal of forecasting
68
The European journal of finance
66
International journal of finance & economics : IJFE
65
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
63
Global finance journal
59
International Journal of Energy Economics and Policy : IJEEP
58
Journal of financial economics
55
Review of quantitative finance and accounting
54
Journal of applied econometrics
53
The journal of derivatives : the official publication of the International Association of Financial Engineers
53
Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik
52
Journal of macroeconomics
51
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ECONIS (ZBW)
102
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1
Long-term equity anticipation securities and stock market
volatility
dynamics
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
92
(
1999
)
1
,
pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
Saved in:
2
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
3
Option pricing with non-Gaussian scaling and infinite-state switching
volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
4
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
5
Increased correlation among asset classes : Are
volatility
or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
6
Resolution of policy uncertainty and sudden declines in
volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
7
Asymptotically distribution-free tests for the
volatility
function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
8
Post-'87 crash fears in the S&P 500 futures option market
Bates, David S.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
Saved in:
9
Breaks and persistency: macroeconomic causes of stock market
volatility
Beltratti, Andrea
;
Morana, Claudio
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 151-177
Persistent link: https://www.econbiz.de/10003298570
Saved in:
10
Asymptotic normality of narrow-band least squares in the stationary fractional
cointegration
model and
volatility
forecasting
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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