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~subject:"Kapitaleinkommen"
~subject:"Quantile risk measures"
~subject:"conditional and unconditional moments"
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Kapitaleinkommen
Quantile risk measures
conditional and unconditional moments
GARCH
2,435
ARCH-Modell
1,079
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1,035
Volatility
845
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770
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448
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312
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100
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98
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87
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87
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84
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79
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78
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Ledoit, Olivier
9
Wolf, Michael
9
Engle, Robert F.
8
Paolella, Marc S.
5
De Nard, Gianluca
4
Malik, Farooq
4
Yavas, Burhan F.
4
Ardia, David
3
Coffie, William
3
Dedi, Lidija
3
Ding, Yashuang
3
Haas, Markus
3
Lee, Hsiang-Tai
3
Walther, Thomas
3
Aawaar, Godfred
2
Aggarwal, Vaibhav
2
Ahmad, Wasim
2
Alexander, Carol
2
Amanjot Singh
2
Amisano, Gianni
2
Asteriou, Dimitrios
2
Bauwens, Luc
2
Begiazi, Kyriaki
2
Chen, Qiwei
2
Chiang, Thomas C.
2
Chung, Y. Peter
2
Doifode, Adesh
2
Domeher, Daniel
2
Fortin, Ines
2
Geweke, John
2
Giovannini, Massimo
2
Grasso, Margherita
2
Gupta, Rangan
2
Hasim, Haslifah Mohamad
2
Hoogerheide, Lennart F.
2
Horváth, Roman
2
Kim, Jong-Min
2
Kiss, Tamás
2
Klein, Tony
2
Koopman, Siem Jan
2
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Henley Business School, University of Reading
2
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The North American journal of economics and finance : a journal of financial economics studies
9
Journal of banking & finance
8
Applied economics
6
Working paper series / University of Zurich, Department of Economics
6
Cogent economics & finance
5
Finance research letters
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Australasian accounting business and finance journal : AABF
4
Copernican Journal of Finance & Accounting : CJF&A
4
Discussion paper / Tinbergen Institute
4
Energy economics
4
Finance India : the quarterly journal of Indian Institute of Finance
4
Financial innovation : FIN
4
Journal of econometrics
4
Journal of risk and financial management : JRFM
4
Theoretical economics letters
4
Cambridge working papers in economics
3
Economics letters
3
Global business & economics review
3
International Journal of Financial Studies : open access journal
3
International review of economics & finance : IREF
3
International review of financial analysis
3
Journal of economics and finance
3
Journal of empirical finance
3
Journal of international financial markets, institutions & money
3
Journal of property investment & finance
3
Research in international business and finance
3
Review of quantitative finance and accounting
3
The empirical economics letters : a monthly international journal of economics
3
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3
Working papers
3
Afro-Asian Journal of Finance and Accounting : AAJFA
2
Annals of financial economics
2
Applied economics letters
2
CBN journal of applied statistics
2
ECB Working Paper
2
Economic modelling
2
Economies : open access journal
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
2
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
2
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ECONIS (ZBW)
311
EconStor
5
RePEc
2
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1
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/
GARCH
…
Persistent link: https://www.econbiz.de/10011518597
Saved in:
2
On the devolatised returns and dynamic conditional correlations
GARCH
modelling in selected European indices
Stavroyiannis, Stavros
;
Zarangas, Leonidas P.
- In:
Global business & economics review
17
(
2015
)
3
,
pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
Saved in:
3
Beyond sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier
;
Wolf, Michael
;
Zhao, Zhao
-
2016
Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...
Persistent link: https://www.econbiz.de/10011571257
Saved in:
4
Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-
GARCH
) approach
Marozva, Godfrey
- In:
The journal of applied business research
33
(
2017
)
2
,
pp. 321-328
Persistent link: https://www.econbiz.de/10011673887
Saved in:
5
Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier
;
Wolf, Michael
;
Zhao, Zhao
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 645-686
Persistent link: https://www.econbiz.de/10012152240
Saved in:
6
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2017
-
Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/
GARCH
…
Persistent link: https://www.econbiz.de/10011640555
Saved in:
7
What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis
Min, Hong-ghi
;
McDonald, Judith Ann
;
Shin, Sang-Ook
- In:
Annals of economics and finance
17
(
2016
)
2
,
pp. 365-402
Persistent link: https://www.econbiz.de/10011656925
Saved in:
8
Comovement, liquidity and asymmetries
Xiong, James X.
- In:
Journal of investment management : JOIM
19
(
2021
)
1
,
pp. 90-108
Persistent link: https://www.econbiz.de/10012814373
Saved in:
9
What causes the asymmetric correlation in stock returns?
Chung, Y. Peter
;
Hong, Hyun A.
;
Kim, S. Thomas
- In:
Journal of empirical finance
54
(
2019
),
pp. 190-212
Persistent link: https://www.econbiz.de/10012174849
Saved in:
10
Asymmetric correlation as an explanation for the effect of asset skewness on equity returns
Chung, Y. Peter
;
Kim, Thomas S.
- In:
Asia-Pacific journal of financial studies
46
(
2017
)
5
,
pp. 686-699
Persistent link: https://www.econbiz.de/10011779392
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