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ARCH-Modell
Theorie
18,719
Theory
18,202
Stochastischer Prozess
17,130
Stochastic process
16,690
Optionspreistheorie
14,758
Option pricing theory
14,300
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4,342
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3,449
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2,945
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2,925
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2,662
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USA
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2,487
Börsenkurs
2,431
Prognoseverfahren
2,401
United States
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Share price
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2,361
Mathematische Optimierung
2,350
Mathematical programming
2,336
Risiko
2,214
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2,197
ARCH model
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German
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McAleer, Michael
44
Engle, Robert F.
27
Paolella, Marc S.
24
Bauwens, Luc
21
Stentoft, Lars
20
Hafner, Christian M.
18
Gupta, Rangan
14
Mittnik, Stefan
14
Chang, Chia-Lin
13
Christoffersen, Peter F.
13
Conrad, Christian
13
Rombouts, Jeroen V. K.
13
Jacobs, Kris
12
Ardia, David
11
Asai, Manabu
11
Fabozzi, Frank J.
11
Haas, Markus
11
Heston, Steven L.
11
Ortega, Juan-Pablo
11
Feunou, Bruno
10
Hamori, Shigeyuki
10
Hoogerheide, Lennart F.
10
Koopman, Siem Jan
10
Ledoit, Olivier
10
Račev, Svetlozar T.
10
Silvennoinen, Annastiina
10
Stavroyiannis, Stavros
10
Wolf, Michael
10
Bos, Charles S.
9
Caporin, Massimiliano
9
Cui, Zhenyu
9
Degiannakis, Stavros
9
Duan, Jin-Chuan
9
Hoogerheide, Lennart
9
Karanasos, Menelaos
9
Lucas, André
9
Polak, Pawel
9
Teräsvirta, Timo
9
Ñíguez, Trino-Manuel
9
Floros, Christos
8
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
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Econometrisch Instituut <Rotterdam>
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European University Institute / Department of Economics
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Federal Reserve Bank of San Francisco
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Robert Schuman Centre for Advanced Studies
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Umeå Universitet / Institutionen för Nationalekonomi
1
Université de Montréal / Département de sciences économiques
1
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Journal of econometrics
52
Finance research letters
47
Journal of empirical finance
45
Economic modelling
37
Discussion paper / Tinbergen Institute
36
Journal of banking & finance
34
Applied economics
33
Energy economics
33
Research in international business and finance
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
The North American journal of economics and finance : a journal of financial economics studies
28
International review of financial analysis
27
International journal of forecasting
26
International review of economics & finance : IREF
25
The journal of futures markets
25
Economics letters
23
Journal of international financial markets, institutions & money
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
The European journal of finance
20
Computational economics
19
Journal of risk and financial management : JRFM
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
CREATES research paper
17
Journal of forecasting
17
Journal of financial econometrics
16
CORE discussion papers : DP
15
Econometric reviews
15
Econometrics : open access journal
15
Review of quantitative finance and accounting
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
Applied economics letters
13
Quantitative finance
13
Working paper
13
Econometric Institute research papers
12
Journal of international money and finance
12
Research paper series / Swiss Finance Institute
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
International journal of theoretical and applied finance
11
Risks : open access journal
10
Swiss Finance Institute Research Paper
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ECONIS (ZBW)
2,039
EconStor
32
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1
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
2
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
3
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
4
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
5
Comparing some alternative Lévy base
correlation
models for pricing and hedging CDO tranches
Masol, Viktoriya
;
Schoutens, Wim
-
2008
Persistent link: https://www.econbiz.de/10003709746
Saved in:
6
Increased
correlation
among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
7
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
12
,
pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
Saved in:
8
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
9
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
10
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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