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ARCH model
Schätztheorie
36,062
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2,058
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2,029
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McAleer, Michael
58
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Francq, Christian
32
Caporin, Massimiliano
25
Zakoïan, Jean-Michel
25
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24
Bauwens, Luc
23
Lütkepohl, Helmut
21
Rahbek, Anders
21
Koopman, Siem Jan
19
Ardia, David
18
Engle, Robert F.
18
Gupta, Rangan
18
Kumar, Dilip
17
Huang, Zhuo
16
Chang, Chia-Lin
15
Lucas, André
15
Rombouts, Jeroen V. K.
15
Sheppard, Kevin
15
Saikkonen, Pentti
14
Silvennoinen, Annastiina
14
Audrino, Francesco
13
Hansen, Peter Reinhard
13
Li, Wai Keung
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Linton, Oliver
12
Medeiros, Marcelo C.
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11
Conrad, Christian
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Hallin, Marc
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Preminger, Arie
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Ruiz, Esther
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Laurent, Sébastien
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
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Journal of econometrics
75
Discussion paper / Tinbergen Institute
48
Journal of empirical finance
44
Econometric theory
41
Economics letters
41
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
41
Finance research letters
38
Economic modelling
36
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
36
International journal of forecasting
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Energy economics
32
Applied economics
31
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of forecasting
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
CREATES research paper
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Econometric reviews
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Journal of banking & finance
22
International review of financial analysis
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The econometrics journal
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International review of economics & finance : IREF
19
Journal of risk and financial management : JRFM
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Working paper
19
Computational economics
18
International journal of economics and financial issues : IJEFI
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Journal of risk
18
International Journal of Energy Economics and Policy : IJEEP
17
CORE discussion papers : DP
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Econometric Institute research papers
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Econometrics : open access journal
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Journal of time series econometrics
16
Research in international business and finance
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Journal of financial econometrics
15
Journal of international financial markets, institutions & money
13
Applied economics letters
12
The European journal of finance
12
Applied financial economics
11
International journal of economics and finance
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International journal of finance & economics : IJFE
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1
An ARCH model without intercept
Hafner, Christian M.
;
Preminger, Arie
- In:
Economics letters
129
(
2015
),
pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
Saved in:
2
An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
3
Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava
- In:
International journal of economics and business research
6
(
2013
)
2
,
pp. 210-228
Persistent link: https://www.econbiz.de/10010351158
Saved in:
4
A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
38
(
2014
),
pp. 33-44
Persistent link: https://www.econbiz.de/10010418224
Saved in:
5
Do bitcoins follow a random walk model?
Aggarwal, Divya
- In:
Research in economics : an international review of economics
73
(
2019
)
1
,
pp. 15-22
Persistent link: https://www.econbiz.de/10012305863
Saved in:
6
A new statistic to capture the level dependence in stock price volatility
Padmakumari, Lakshmi
;
Maheswaran, S.
- In:
The quarterly review of economics and finance : journal …
65
(
2017
),
pp. 355-362
Persistent link: https://www.econbiz.de/10011792503
Saved in:
7
Univariate forecasting of Indian exchange rates : a comparison
Maitra, Biswajit
- In:
International journal of computational economics and …
5
(
2015
)
3
,
pp. 272-288
Persistent link: https://www.econbiz.de/10011413816
Saved in:
8
Temporal aggregation of random walk processes and implications for economic analysis
Ahmad, Yamin S.
;
Payá, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012198637
Saved in:
9
Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao
;
Li, Haitao
;
Zhao, Feng
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
Saved in:
10
Modelling financial time series
Taylor, Stephen
-
2007
-
2. edition
Persistent link: https://www.econbiz.de/10003553502
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