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Hashing GARCH : a reassessment...
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554
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425
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Phillips, Peter C. B.
38
Bollerslev, Tim
21
Ghysels, Eric
21
Linton, Oliver
21
Swanson, Norman R.
21
Timmermann, Allan
20
Todorov, Viktor
19
Gouriéroux, Christian
18
Tauchen, George Eugene
18
McAleer, Michael
17
Pesaran, M. Hashem
17
Taylor, Robert
17
Yu, Jun
17
Aït-Sahalia, Yacine
16
Corradi, Valentina
16
Koop, Gary
16
Lee, Lung-fei
16
Andersen, Torben
15
Diebold, Francis X.
15
Chib, Siddhartha
13
Francq, Christian
13
Granger, C. W. J.
13
Patton, Andrew J.
13
Mykland, Per A.
12
Park, Joon Y.
12
Schmidt, Peter
12
Zakoïan, Jean-Michel
12
Dijk, Herman K. van
11
Dufour, Jean-Marie
11
Hong, Yongmiao
11
Hsiao, Cheng
11
Renault, Eric
11
Steel, Mark F. J.
11
Xiao, Zhijie
11
Xiu, Dacheng
11
Gallant, A. Ronald
10
Hidalgo, Javier
10
Kapetanios, George
10
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10
Whang, Yoon-jae
10
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(EC)2 Conference <1, 1990; 2, 1991>
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
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National Bureau of Economic Research
1
National Science Foundation
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Sir Clive Granger Memorial Conference <2010, Nottingham>
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
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Journal of econometrics
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2,908
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2,577
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2,547
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Computers & operations research : and their applications to problems of world concern ; an international journal
2,354
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2,272
Journal of economic behavior & organization : JEBO
2,262
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2,092
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2,061
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2,034
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1,978
European economic review : EER
1,963
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1,880
Games and economic behavior
1,865
Economic theory : official journal of the Society for the Advancement of Economic Theory
1,821
The economic journal : the journal of the Royal Economic Society
1,812
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1,795
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1,795
International journal of forecasting
1,758
Energy economics
1,757
Journal of public economics
1,752
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1,687
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1,683
Management science : journal of the Institute for Operations Research and the Management Sciences
1,612
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1,609
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1,526
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1,526
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1,488
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ECONIS (ZBW)
1,975
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1
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1
Volatillity forecast comparison using imperfect
volatility
proxies
Patton, Andrew J.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
Saved in:
2
On loss functions and ranking forecasting performances of multivariate
volatility
models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
Saved in:
3
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:
4
Consistent ranking of
volatility
models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
Saved in:
5
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
6
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Saved in:
7
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:
8
A simple joint model for returns,
volatility
and
volatility
of
volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
9
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:
10
Stock return and cash flow predictability : the role of
volatility
risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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