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ARCH model
Volatility
40,405
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Aktienmarkt
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63
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41
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37
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32
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32
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32
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30
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29
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25
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25
Teräsvirta, Timo
25
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24
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23
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23
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23
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23
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22
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22
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21
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Wu, Xinyu
21
Conrad, Christian
20
Serletis, Apostolos
20
Silvennoinen, Annastiina
20
Laurent, Sébastien
19
Molnár, Peter
19
Nguyen, Duc Khuong
19
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18
Diebold, Francis X.
18
Floros, Christos
18
Koopman, Siem Jan
18
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18
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18
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3
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Center for Economic Research <Tilburg>
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Econometric Society
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London School of Economics and Political Science
1
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1
Springer Fachmedien Wiesbaden
1
Svenska Handelshögskolan <Helsinki>
1
Taylor and Francis.
1
The Wharton Financial Institutions Center
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
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Energy economics
220
Finance research letters
147
International review of financial analysis
119
Economic modelling
118
Applied economics
112
The North American journal of economics and finance : a journal of financial economics studies
103
International review of economics & finance : IREF
101
Research in international business and finance
100
Journal of empirical finance
97
Journal of international financial markets, institutions & money
87
Journal of risk and financial management : JRFM
72
Applied financial economics
69
International journal of forecasting
66
Journal of econometrics
66
Applied economics letters
59
Journal of banking & finance
59
Journal of forecasting
57
Economics letters
55
Discussion paper / Tinbergen Institute
52
International Journal of Energy Economics and Policy : IJEEP
49
International journal of finance & economics : IJFE
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
The European journal of finance
44
The journal of futures markets
44
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
44
Working paper
42
Journal of financial econometrics : official journal of the Society for Financial Econometrics
41
Econometric Institute research papers
40
International journal of economics and financial issues : IJEFI
37
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
36
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
36
International journal of economics and finance
34
Pacific-Basin finance journal
33
Cogent economics & finance
32
Journal of international money and finance
32
Review of quantitative finance and accounting
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
The empirical economics letters : a monthly international journal of economics
28
Journal of financial econometrics
26
Quantitative finance
26
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ECONIS (ZBW)
6,730
RePEc
4
ArchiDok
2
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1
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10
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6,736
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date (oldest first)
1
Predicting future price
volatility
: empirical evidence from an emerging limit order market
Jain, Pawan
;
Jiang, Christine X.
- In:
Pacific-Basin finance journal
27
(
2014
),
pp. 72-93
Persistent link: https://www.econbiz.de/10010499715
Saved in:
2
Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
Saved in:
3
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
4
Forecasting stock return
volatility
: realized
volatility
-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
5
Feedback trading in global stock markets under uncertainty of COVID-19
Alp Coşkun, Esra
- In:
Review of behavioral finance : RBF
15
(
2023
)
5
,
pp. 750-778
Persistent link: https://www.econbiz.de/10014340969
Saved in:
6
Non-monotonic hazard functions and the autoregressive conditional duration model
Grammig, Joachim
;
Maurer, Kai-Oliver
-
1999
Persistent link: https://www.econbiz.de/10001404960
Saved in:
7
Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Huptas, Roman
- In:
Central European journal of economic modelling and …
6
(
2014
)
4
,
pp. 237-273
Persistent link: https://www.econbiz.de/10010503009
Saved in:
8
Intra-market commonality in liquidity : new evidencefrom the Polish stock exchange
Olbryś, Joanna
- In:
Equilibrium : quarterly journal of economics and …
14
(
2019
)
2
,
pp. 251-275
Persistent link: https://www.econbiz.de/10012232051
Saved in:
9
Non-monotonic hazard functions and the autoregressive conditional duration model
Grammig, Joachim
;
Maurer, Kai-Oliver
- In:
The econometrics journal
3
(
2000
)
1
,
pp. 16-38
Persistent link: https://www.econbiz.de/10001532205
Saved in:
10
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:
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