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subject:"Share price"
type_genre:"Article in journal"
~accessRights:"restricted"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
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Share price
ARCH-Modell
Estimation theory
4,621
Schätztheorie
4,621
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1,118
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1,097
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883
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883
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851
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849
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680
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680
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479
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Francq, Christian
9
Kumar, Dilip
9
Li, Jia
7
Todorov, Viktor
6
Ardia, David
5
Kim, Donggyu
5
Sucarrat, Genaro
5
Tauchen, George Eugene
5
Zakoïan, Jean-Michel
5
Kim, Jong-Min
4
Li, Dong
4
Ling, Shiqing
4
Luger, Richard
4
Mykland, Per A.
4
Rahbek, Anders
4
Wang, Yazhen
4
Zhu, Ke
4
Arvanitis, Stelios
3
Bauwens, Luc
3
Blazsek, Szabolcs
3
Carnero, M. Angeles
3
De Luca, Giovanni
3
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3
Hafner, Christian M.
3
Jung, Hojin
3
Lee, Kyungsub
3
Li, Guodong
3
Li, Yingying
3
Licht, Adrian
3
Lütkepohl, Helmut
3
Maheswaran, S.
3
Milunovich, George
3
Otranto, Edoardo
3
Paolella, Marc S.
3
Pedersen, Rasmus Søndergaard
3
Potiron, Yoann
3
Rivieccio, Giorgia
3
Rodrigues, Paulo M. M.
3
Savva, Christos S.
3
Teräsvirta, Timo
3
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Journal of econometrics
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Finance research letters
16
Economics letters
15
International journal of forecasting
14
Econometric reviews
10
Journal of financial econometrics
10
Journal of risk
10
The North American journal of economics and finance : a journal of financial economics studies
10
Journal of empirical finance
9
Journal of time series econometrics
9
Journal of forecasting
8
Applied economics
7
Journal of mathematical finance
7
Computational economics
6
Econometric theory
6
Quantitative finance
6
Economic modelling
5
International review of economics & finance : IREF
5
Journal of banking & finance
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
The European journal of finance
4
The econometrics journal
4
The journal of risk model validation
4
Theoretical economics letters
4
Annals of finance
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of economic dynamics & control
3
Journal of international financial markets, institutions & money
3
Research in international business and finance
3
Review of Pacific Basin financial markets and policies
3
Annals of financial economics
2
Applied economics letters
2
Asia-Pacific journal of management research and innovation : APJMRI
2
Energy economics
2
European journal of operational research : EJOR
2
Financial markets and portfolio management
2
IIMB management review
2
Insurance / Mathematics & economics
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ECONIS (ZBW)
396
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396
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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
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
3
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
4
Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
6
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
7
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
8
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
9
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
10
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
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