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A Robust Entropy-Based Test of...
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ARCH model
Zeitreihenanalyse
28,606
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1,428
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1,416
time series
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1,398
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1,396
Unit root test
1,352
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1,351
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1,215
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McAleer, Michael
54
Teräsvirta, Timo
29
Caporin, Massimiliano
21
Lütkepohl, Helmut
20
Koopman, Siem Jan
17
Gupta, Rangan
16
Bauwens, Luc
15
Chang, Chia-Lin
14
Lucas, André
14
Hafner, Christian M.
13
Hansen, Peter Reinhard
13
Huang, Zhuo
12
Saikkonen, Pentti
12
Allen, David E.
11
Francq, Christian
11
Hallin, Marc
11
Medeiros, Marcelo C.
11
Rombouts, Jeroen V. K.
11
Silvennoinen, Annastiina
11
Conrad, Christian
10
Engle, Robert F.
10
Li, Wai Keung
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Nelson, Daniel B.
10
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Rahbek, Anders
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Ruiz, Esther
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9
Dijk, Dick van
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Meitz, Mika
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Asai, Manabu
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8
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8
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8
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7
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
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Shakai-Keizai-Kenkyūsho <Osaka>
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Springer Fachmedien Wiesbaden
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Suntory and Toyota International Centres for Economics and Related Disciplines
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Taylor and Francis.
1
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Journal of econometrics
43
Discussion paper / Tinbergen Institute
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
30
International journal of forecasting
30
Applied economics
27
Economics letters
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Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The North American journal of economics and finance : a journal of financial economics studies
23
CREATES research paper
19
International review of financial analysis
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Journal of risk and financial management : JRFM
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of forecasting
18
Working paper
18
International review of economics & finance : IREF
16
Research in international business and finance
16
Econometric Institute research papers
15
Econometric reviews
15
International Journal of Energy Economics and Policy : IJEEP
14
Journal of banking & finance
14
The econometrics journal
14
Journal of financial econometrics
13
Journal of time series econometrics
13
Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Computational economics
11
Journal of international financial markets, institutions & money
11
Journal of risk
11
Applied financial economics
10
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
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CBN journal of applied statistics
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CORE discussion papers : DP
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ECARES working paper
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
1,801
RePEc
1
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1
One-step semiparametric estimation of the GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
Saved in:
2
On the phase dependence in time-varying correlations between time-series
Blasques, Francisco
-
2013
Persistent link: https://www.econbiz.de/10010191407
Saved in:
3
Testing for a unit root with nonstationary nonlinear heteroskedasticity
Tu, Yundong
;
Chan, Nigel
;
Wang, Qiying
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 904-929
Persistent link: https://www.econbiz.de/10012295588
Saved in:
4
Revisiting the volatility of bitcoin with approximate
entropy
Nassim Dehouche
- In:
Cogent economics & finance
10
(
2022
)
1
,
pp. 1-18
, historically, Bitcoin combines high Standard Deviation and low Approximate
Entropy
, relative to Gold and S&P 500. Moreover …
Persistent link: https://www.econbiz.de/10013464749
Saved in:
5
Modeling time-varying higher-order conditional moments : a survey
Soltyk, Sylvia J.
;
Chan, Felix
- In:
Journal of economic surveys
37
(
2023
)
1
,
pp. 33-57
Persistent link: https://www.econbiz.de/10014287767
Saved in:
6
Modelling multivariate skewness in financial returns : a SGARCH approach
De Luca, Giovanni
;
Loperfido, Nicola
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1113-1131
Persistent link: https://www.econbiz.de/10011419767
Saved in:
7
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
8
Nonparametric
dynamic conditional beta
Maheu, John M.
;
Zamenjani, Azam Shamsi
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 583-613
Persistent link: https://www.econbiz.de/10012654975
Saved in:
9
Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano
;
Khanom, Najrin
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
Saved in:
10
Networks of log returns and volatilities of international stock market indexes
Sandoval Junior, Leonidas
- In:
The journal of network theory in finance
3
(
2017
)
3
,
pp. 41-82
Persistent link: https://www.econbiz.de/10011879065
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