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subject:"USA"
type:"article"
~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Impact assessment"
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USA
ARCH model
Impact assessment
Estimation
463
Schätzung
458
Estimation theory
215
Schätztheorie
215
Theorie
165
Theory
165
Time series analysis
115
Zeitreihenanalyse
115
Nichtparametrisches Verfahren
106
Nonparametric statistics
106
Volatility
102
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102
Panel
93
Panel study
93
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81
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81
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63
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Börsenkurs
54
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54
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Factor analysis
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Bayes-Statistik
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ARCH-Modell
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Statistical test
32
Statistischer Test
32
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Statistische Verteilung
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Markov chain
27
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94
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Zakoïan, Jean-Michel
5
Francq, Christian
4
Bollerslev, Tim
3
Kim, Donggyu
3
Koop, Gary
3
Ghysels, Eric
2
Harvey, Andrew C.
2
Heckman, James J.
2
Mroz, Thomas A.
2
Paolella, Marc S.
2
Polak, Pawel
2
Rombouts, Jeroen V. K.
2
Ryu, Hang-keun
2
Slottje, Daniel Jonathan
2
Smith, Jeffrey A.
2
Steel, Mark F. J.
2
Wang, Yazhen
2
Zhou, Hao
2
Andersen, Torben
1
Andreou, Elena
1
Aruoba, S. Borağan
1
Ashenfelter, Orley
1
Ashmore, David
1
Atkinson, Scott Estes
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Baldovin, Fulvio
1
Baltagi, Badi H.
1
Bates, David S.
1
Bauwens, Luc
1
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1
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1
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1
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1
Caginalp, Gunduz
1
Callaway, Brantly
1
Calzolari, Giorgio
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Carvalho, Carlos Viana de
1
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Journal of econometrics
Applied economics
359
Applied economics letters
203
The review of economics and statistics
176
The American economic review
168
The journal of finance : the journal of the American Finance Association
146
Economic modelling
144
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
139
Energy economics
130
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
128
Economics letters
126
Applied financial economics
123
Journal of applied econometrics
111
Journal of international money and finance
102
International review of economics & finance : IREF
101
Finance research letters
98
The review of financial studies
98
The North American journal of economics and finance : a journal of financial economics studies
96
The journal of futures markets
95
Journal of money, credit and banking : JMCB
90
Journal of banking & finance
87
American economic journal : a journal of the American Economic Association
86
Journal of monetary economics
79
Journal of political economy
79
Journal of financial and quantitative analysis : JFQA
76
International review of financial analysis
74
Journal of public economics
70
Southern economic journal
69
Journal of macroeconomics
68
Journal of empirical finance
67
Journal of labor economics
65
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
63
Review of quantitative finance and accounting
60
The quarterly journal of economics
60
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
60
Journal of international financial markets, institutions & money
57
Journal of financial economics
56
Economic inquiry : journal of the Western Economic Association International
55
Journal of economic dynamics & control
54
Journal of human resources : JHR
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ECONIS (ZBW)
94
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1
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94
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1
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:
2
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
3
The effects of training incidence and planned training duration on labor market transitions
Fitzenberger, Bernd
;
Osikominu, Aderonke
;
Paul, Marie
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 256-279
Persistent link: https://www.econbiz.de/10014434394
Saved in:
4
The determinants of displaced workers' wages : sorting, matching, selection, and the Hartz reforms
Woodcock, Simon D.
- In:
Journal of econometrics
233
(
2023
)
2
,
pp. 568-595
Persistent link: https://www.econbiz.de/10014362663
Saved in:
5
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
6
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
7
Difference-in-differences with multiple time periods
Callaway, Brantly
;
Sant'Anna, Pedro H. C.
- In:
Journal of econometrics
225
(
2021
)
2
,
pp. 200-230
Persistent link: https://www.econbiz.de/10013275434
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
10
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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