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ARCH model
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McAleer, Michael
70
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41
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Bauwens, Luc
35
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35
Hafner, Christian M.
31
Paolella, Marc S.
31
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28
Herwartz, Helmut
27
Engle, Robert F.
25
Conrad, Christian
23
Laurent, Sébastien
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Rombouts, Jeroen V. K.
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Saikkonen, Pentti
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Asai, Manabu
21
Bouri, Elie
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Mittnik, Stefan
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Teräsvirta, Timo
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Diebold, Francis X.
19
Francq, Christian
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Zakoïan, Jean-Michel
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Christoffersen, Peter F.
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Jondeau, Eric
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Linton, Oliver
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Ma, Feng
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Andersen, Torben
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He, Changli
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Ledoit, Olivier
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Rockinger, Michael
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Wolf, Michael
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Brown University / Department of Economics
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International Center for Financial Asset Management and Engineering
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Westfälische Wilhelms-Universität Münster
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Finance research letters
89
Energy economics
81
Journal of econometrics
77
Applied economics
67
International journal of forecasting
67
Journal of empirical finance
58
Journal of forecasting
58
Economic modelling
55
The North American journal of economics and finance : a journal of financial economics studies
55
Journal of banking & finance
51
International review of financial analysis
50
Discussion paper / Tinbergen Institute
45
International review of economics & finance : IREF
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
45
Research in international business and finance
43
Economics letters
42
The European journal of finance
41
Journal of risk and financial management : JRFM
37
Computational economics
35
Econometric theory
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Journal of international financial markets, institutions & money
34
Working paper
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics letters
29
Econometric reviews
26
Quantitative finance
26
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
25
Journal of applied econometrics
22
International journal of finance & economics : IJFE
21
Journal of risk
21
Risks : open access journal
21
Working papers
21
Journal of economic dynamics & control
20
Journal of financial econometrics
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The econometrics journal
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CREATES research paper
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Journal of international money and finance
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Applied financial economics
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CORE discussion paper : DP
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Source
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ECONIS (ZBW)
4,198
RePEc
2
ArchiDok
1
Showing
1
-
10
of
4,201
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Risk
, uncertainty, and the perceived threat of terrorist attacks : evidence of flight-to-quality
Pagano, Michael S.
;
Strother, T. Shawn
- In:
The quarterly journal of finance
3
(
2013
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010245476
Saved in:
2
Improving value-at-
risk
prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
3
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
4
The Impact of Parameter and Model Uncertainty on Market
Risk
Predictions from GARCH-Type Models
Ardia, David
-
2019
backtest at the 1%
risk
level for single models and for linear and log pools. We also find that the robust VaR backtest … exhibited by linear and log pools is better than the one of single models at the 5%
risk
level. Finally, the equally …
Persistent link: https://www.econbiz.de/10012903836
Saved in:
5
Uncertainty and consumption : evidence from the VAR-DCC-GARCH model
Kurasawa, Kazutaka
- In:
The empirical economics letters : a monthly …
16
(
2017
)
9
,
pp. 861-871
Persistent link: https://www.econbiz.de/10011906797
Saved in:
6
Uncertainty diffusion across commodity markets
Cadoret, Isabelle
;
Minlend, Jacques
;
Razafindrabe, Tovonony
- In:
Applied economics
55
(
2023
)
38
,
pp. 4377-4401
Persistent link: https://www.econbiz.de/10014301245
Saved in:
7
Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach
Gabauer, David
;
Gupta, Rangan
- In:
Structural change and economic dynamics : SC+ED
52
(
2020
),
pp. 167-173
Persistent link: https://www.econbiz.de/10012484669
Saved in:
8
Uncertainty and energy extraction
Dossani, Asad
;
Elder, John
- In:
Applied economics
52
(
2020
)
55
,
pp. 6031-6044
Persistent link: https://www.econbiz.de/10012308422
Saved in:
9
Uncertainty diffusion across commodity markets
Minlend, Jacques
;
Cadoret, Isabelle
;
Razafindrabe, Tovonony
-
2021
-
This version: July 2021
Persistent link: https://www.econbiz.de/10013365584
Saved in:
10
Sectoral uncertainty
Castelnuovo, Efrem
;
Tuzcuoglu, Kerem
;
Uzeda, Luis
-
2022
Persistent link: https://www.econbiz.de/10013478702
Saved in:
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