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subject:"Schock"
subject:"Volatilität"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~type_genre:"Article in journal"
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Schock
Volatilität
Estimation
508
Schätzung
506
Capital income
163
Kapitaleinkommen
163
Theorie
150
Theory
150
Börsenkurs
123
Share price
123
Volatility
117
Forecasting model
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Estimation theory
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Risk
37
ARCH model
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ARCH-Modell
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English
130
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Prokopczuk, Marcel
4
Sornette, Didier
3
Wehrli, Alexander
3
Wese Simen, Chardin
3
Dungey, Mardi H.
2
Hautsch, Nikolaus
2
Li, Junye
2
Wheatley, Spencer
2
Ahn, Kwangwon
1
Akdeniz, Levent
1
Alemany, N.
1
Alexander, Carol
1
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1
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1
Andreou, Panayiotis C.
1
Annaert, Jan
1
Aragó Manzana, Vicent
1
Arismendi Zambrano, Juan Carlos
1
Asensio, Ivan Oscar
1
Atilgan, Yigit
1
Avouyi-Dovi, Sanvi
1
Back, Janis
1
Barinov, Alexander
1
Beckmann, Joscha
1
Beer, Simone
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Beetsma, Roel
1
Beine, Michel
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Belke, Ansgar
1
Benth, Fred Espen
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1
Berger, Tino
1
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1
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1
Bianchi, Robert
1
Bohl, Martin T.
1
Bomfim, Antúlio N.
1
Bregantini, Daniele
1
Bremus, Franziska
1
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Journal of banking & finance
Quantitative finance
Applied economics
181
Economic modelling
173
Energy economics
167
International review of economics & finance : IREF
130
Finance research letters
129
Journal of econometrics
110
The North American journal of economics and finance : a journal of financial economics studies
110
International review of financial analysis
108
Journal of international money and finance
104
Applied economics letters
102
Economics letters
97
Journal of empirical finance
83
Applied financial economics
80
Journal of international financial markets, institutions & money
73
Journal of economic dynamics & control
70
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
69
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
69
Research in international business and finance
69
The journal of futures markets
61
Journal of risk and financial management : JRFM
60
Journal of macroeconomics
58
International journal of finance & economics : IJFE
54
Macroeconomic dynamics
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
International journal of forecasting
49
Journal of monetary economics
47
The European journal of finance
47
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
47
Journal of international economics
46
Journal of financial economics
43
International Journal of Energy Economics and Policy : IJEEP
41
Journal of money, credit and banking : JMCB
39
Journal of applied econometrics
36
International journal of economics and finance
35
Pacific-Basin finance journal
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
International journal of economics and financial issues : IJEFI
33
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
32
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ECONIS (ZBW)
130
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
4
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
5
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
6
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
7
Price discovery in equity markets : a state-dependent analysis of spot and futures markets
Kuck, Konstantin
;
Schweikert, Karsten
- In:
Journal of banking & finance
149
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462550
Saved in:
8
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
- In:
Journal of banking & finance
155
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014490508
Saved in:
9
Why does option-implied volatility forecast realized volatility? : evidence from news events
Chen, Sipeng
;
Li, Gang
- In:
Journal of banking & finance
156
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014487208
Saved in:
10
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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