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A conditional autoregressive r...
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Time series analysis
Volatility
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36
Lux, Thomas
35
Gil-Alaña, Luis A.
34
Bollerslev, Tim
33
Caporin, Massimiliano
32
Lucas, André
32
Hafner, Christian M.
31
Teräsvirta, Timo
31
Dijk, Dick van
26
Andersen, Torben
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Asai, Manabu
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Hallin, Marc
22
Lütkepohl, Helmut
22
Ravazzolo, Francesco
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21
Chang, Chia-Lin
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Tauchen, George Eugene
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Bauwens, Luc
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Todorov, Viktor
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Sibbertsen, Philipp
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Casarin, Roberto
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Cavaliere, Giuseppe
18
Medeiros, Marcelo C.
18
Taylor, Robert
18
Allen, David E.
17
Harvey, Andrew C.
17
Rodriguez, Gabriel
17
Shephard, Neil G.
17
Blasques, Francisco
16
Hautsch, Nikolaus
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Hounyo, Ulrich
16
Kim, Donggyu
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London School of Economics and Political Science
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New York University / Mathematical Finance Seminar
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New York University Mathematical Finance Seminar
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Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Queen Mary College / Department of Economics
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Journal of econometrics
142
Discussion paper / Tinbergen Institute
108
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
International journal of forecasting
78
Energy economics
72
Economic modelling
64
Journal of empirical finance
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
Finance research letters
55
Economics letters
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Journal of forecasting
48
Applied economics
45
Econometric reviews
42
CREATES research paper
41
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38
The North American journal of economics and finance : a journal of financial economics studies
36
International review of financial analysis
32
Journal of financial econometrics
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
31
Quantitative finance
31
Computational economics
30
SFB 649 discussion paper
30
International review of economics & finance : IREF
29
Journal of banking & finance
29
Journal of risk and financial management : JRFM
28
Econometric theory
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Research in international business and finance
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The econometrics journal
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Applied economics letters
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Econometrics : open access journal
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Journal of economic dynamics & control
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Econometric Institute research papers
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International Journal of Energy Economics and Policy : IJEEP
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CAMA working paper series
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Journal of applied econometrics
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Applied financial economics
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CESifo working papers
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Journal of international financial markets, institutions & money
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Cambridge working papers in economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
4,312
RePEc
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1
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
Saved in:
2
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
3
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
4
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
-
2016
Persistent link: https://www.econbiz.de/10011799240
Saved in:
5
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
6
Mathematical models for the assessment of collapse in oil prices
Shera, Muhammad
;
Preda, Vasile
-
2018
Persistent link: https://www.econbiz.de/10012302306
Saved in:
7
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the
volatility
of stock returns in Peru
Rodriguez, Gabriel
- In:
Revista de análisis económico
32
(
2017
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
Saved in:
8
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
9
A new variant of RealGARCH for
volatility
modeling
Xie, Haibin
;
Qi, Nan
;
Wang, Shouyang
- In:
Finance research letters
28
(
2019
),
pp. 438-443
Persistent link: https://www.econbiz.de/10012388363
Saved in:
10
Estimating and forecasting
volatility
of financial time series in Pakistan with GARCH-type models
Pasha, G. R.
;
Qasim, Tahira
;
Chaudhary, Mohammad Aslam
- In:
The Lahore journal of economics
12
(
2007
)
2
,
pp. 115-149
Persistent link: https://www.econbiz.de/10003679727
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