//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Journal of econometrics"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
VaR and persistence of risk sh...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Volatility
321
Volatilität
321
Theorie
229
Theory
229
Estimation theory
188
Schätztheorie
188
Time series analysis
172
Zeitreihenanalyse
172
ARCH model
147
ARCH-Modell
147
Estimation
133
Schätzung
133
VAR model
125
VAR-Modell
125
Stochastic process
119
Stochastischer Prozess
119
Forecasting model
77
Prognoseverfahren
77
Capital income
75
Kapitaleinkommen
75
Börsenkurs
70
Share price
70
Nichtparametrisches Verfahren
56
Nonparametric statistics
56
Bayes-Statistik
52
Bayesian inference
52
Statistical distribution
52
Statistische Verteilung
52
Market microstructure
41
Marktmikrostruktur
41
Risikomaß
41
Risk measure
41
Option pricing theory
40
Optionspreistheorie
40
Cointegration
39
Kointegration
38
Bootstrap approach
34
Bootstrap-Verfahren
34
Stochastic volatility
34
USA
33
more ...
less ...
Online availability
All
Undetermined
259
Type of publication
All
Article
547
Book / Working Paper
3
Type of publication (narrower categories)
All
Article in journal
547
Aufsatz in Zeitschrift
547
Collection of articles of several authors
2
Sammelwerk
2
Aufsatzsammlung
1
Conference paper
1
Conference proceedings
1
Konferenzbeitrag
1
Konferenzschrift
1
Systematic review
1
Übersichtsarbeit
1
more ...
less ...
Language
All
English
550
Author
All
Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Francq, Christian
12
Aït-Sahalia, Yacine
11
McAleer, Michael
10
Ghysels, Eric
9
Zakoïan, Jean-Michel
9
Gouriéroux, Christian
8
Meddahi, Nour
8
Mykland, Per A.
8
Patton, Andrew J.
8
Xiu, Dacheng
8
Koop, Gary
7
Li, Jia
7
Rahbek, Anders
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Corradi, Valentina
6
Jasiak, Joann
6
Kim, Donggyu
6
Laurent, Sébastien
6
Marcellino, Massimiliano
6
Park, Joon Y.
6
Pesaran, M. Hashem
6
Saikkonen, Pentti
6
Taylor, Robert
6
Zhu, Ke
6
Asai, Manabu
5
Bai, Jushan
5
Boswijk, Herman Peter
5
Gallant, A. Ronald
5
Hallin, Marc
5
Kapetanios, George
5
Kilian, Lutz
5
Koopman, Siem Jan
5
Li, Yingying
5
Ling, Shiqing
5
Maheu, John M.
5
more ...
less ...
Institution
All
Conference on Realized Volatility <2006, Montréal>
1
Published in...
All
Journal of econometrics
NBER working paper series
1,235
Working paper / National Bureau of Economic Research, Inc.
1,120
NBER Working Paper
1,051
Finance research letters
935
Energy economics
864
Applied economics
776
Economic modelling
763
Discussion paper / Centre for Economic Policy Research
741
Journal of banking & finance
675
Economics letters
659
Working paper
655
International review of financial analysis
612
CESifo working papers
565
International review of economics & finance : IREF
546
IMF working papers
536
Journal of international money and finance
499
Applied economics letters
465
The North American journal of economics and finance : a journal of financial economics studies
459
Working paper series / European Central Bank
444
Research in international business and finance
425
Journal of economic dynamics & control
419
The journal of futures markets
416
ECB Working Paper
403
Discussion papers / CEPR
397
Journal of international financial markets, institutions & money
387
Applied financial economics
355
Discussion paper / Tinbergen Institute
353
Journal of empirical finance
351
Journal of risk and financial management : JRFM
328
International journal of theoretical and applied finance
304
International journal of forecasting
291
Journal of monetary economics
284
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
282
Insurance / Mathematics & economics
281
Discussion paper series / IZA
280
Discussion paper
277
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
271
International Journal of Energy Economics and Policy : IJEEP
260
CESifo Working Paper
258
more ...
less ...
Source
All
ECONIS (ZBW)
550
Showing
1
-
10
of
550
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
Risk-parameter estimation in
volatility
models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
4
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:
5
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:
6
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
7
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
8
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:
9
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
10
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Hill, Jonathan B.
;
Prokhorov, Artem
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 18-45
Persistent link: https://www.econbiz.de/10011591613
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->