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subject:"ARCH-Modell"
subject:"Börsenkurs"
~isPartOf:"Journal of risk"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Sampling"
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ARCH-Modell
Börsenkurs
Sampling
Estimation theory
134
Schätztheorie
134
Time series analysis
56
Zeitreihenanalyse
56
Estimation
46
Schätzung
46
ARCH model
29
Risikomaß
24
Risk measure
24
Volatility
22
Volatilität
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Portfolio selection
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Kointegration
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Prognoseverfahren
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Abad, Pilar
1
Abbara, Omar
1
Anatolyev, Stanislav
1
Ardia, David
1
Benito Muela, Sonia
1
Berens, Tobias
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Butler, Andrew
1
Carnero, M. Angeles
1
Chan, Jennifer So Kuen
1
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1
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1
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1
Chuffart, Thomas
1
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1
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1
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1
Escribano, Álvaro
1
Feng, Yuanhua
1
Flachaire, Emmanuel
1
Gatarek, Lukasz
1
Goldman, Elena
1
Gong, Jinguo
1
Guo, Zi-Yi
1
Hadri, Kaddour
1
Hoogerheide, Lennart
1
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Hu, Liang
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Kok Haur Ng
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1
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1
Lee, Kyungsub
1
Letmathe, Sebastian
1
Li, Jing
1
Licht, Adrian
1
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1
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Journal of risk
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
124
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Economics letters
52
Discussion paper / Tinbergen Institute
41
Econometric theory
39
Statistics in transition : an international journal of the Polish Statistical Association
33
Econometric reviews
28
Journal of empirical finance
24
Journal of the American Statistical Association : JASA
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
The econometrics journal
21
NBER Working Paper
20
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Econometrics : open access journal
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Economic modelling
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Finance research letters
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Journal of banking & finance
18
Applied economics
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Journal of financial econometrics
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CREATES research paper
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International journal of forecasting
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Journal of forecasting
16
International journal of economics and financial issues : IJEFI
15
Discussion paper / Center for Economic Research, Tilburg University
14
Discussion paper series / IZA
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Applied economics letters
13
Discussion paper / Central Bureau voor de Statistiek
13
NBER working paper series
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Working paper / Department of Econometrics and Business Statistics, Monash University
13
Cambridge working papers in economics
12
Journal of applied econometrics
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Journal of risk and financial management : JRFM
12
Working paper
12
CEMMAP working papers / Centre for Microdata Methods and Practice
11
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
11
The North American journal of economics and finance : a journal of financial economics studies
11
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
5
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
6
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
7
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
8
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
9
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
10
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
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