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subject:"Volatilität"
type_genre:"Article in journal"
~isPartOf:"Econometric reviews"
~isPartOf:"The journal of futures markets"
~subject:"ARCH-Modell"
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Volatilität
ARCH-Modell
Estimation
329
Schätzung
329
Theorie
111
Theory
111
USA
102
United States
102
Volatility
87
Estimation theory
57
Schätztheorie
57
Time series analysis
46
Zeitreihenanalyse
46
Börsenkurs
45
Share price
45
Forecasting model
42
Prognoseverfahren
42
Stochastic process
39
Stochastischer Prozess
39
Commodity derivative
34
Rohstoffderivat
34
Capital income
33
Index futures
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Index-Futures
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Kapitaleinkommen
33
Option pricing theory
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Welt
28
World
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Derivat
25
Derivative
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Cointegration
24
Hedging
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Kointegration
24
Großbritannien
23
United Kingdom
23
Panel
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Panel study
22
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Article in journal
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English
97
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McAleer, Michael
4
Asai, Manabu
3
Agarwalla, Sobhesh Kumar
2
Chan, Joshua
2
Ederington, Louis H.
2
Fonseca, José da
2
Hansen, Peter Reinhard
2
Huang, Zhuo
2
Jawadi, Fredj
2
Lai, Yu-Sheng
2
Lim, Kian-Guan
2
Meyer, Renate
2
Teräsvirta, Timo
2
Wang, George H. K.
2
Zaatour, Riadh
2
Alexiou, Lykourgos
1
Alghalith, Moawia
1
Amado, Cristina
1
Andreou, Panayiotis C.
1
Anyfantaki, Sofia
1
Aragó, Vicent
1
Arisoy, Yakup Eser
1
Bali, Turan G.
1
Bansal, Naresh K.
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Bhar, Ramaprasad
1
Binh Hoang Nguyen
1
Brailsford, Timothy J.
1
Brownlees, Christian
1
Bu, Ruijun
1
Byström, Hans N. E.
1
Cai, Yuzhi
1
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1
Chang, Chuang-chang
1
Chi, Yeguang
1
Chou, Pin-huang
1
Connolly, Robert A.
1
Corrado, Charles Joseph
1
Coughlan, John
1
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Econometric reviews
The journal of futures markets
Energy economics
144
Applied economics
141
Finance research letters
128
Economic modelling
126
International review of economics & finance : IREF
118
Journal of econometrics
110
International review of financial analysis
108
The North American journal of economics and finance : a journal of financial economics studies
105
Journal of banking & finance
90
Journal of empirical finance
90
Applied economics letters
86
Applied financial economics
84
Journal of international financial markets, institutions & money
77
Research in international business and finance
74
Journal of international money and finance
70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
69
Economics letters
62
Journal of risk and financial management : JRFM
58
International journal of forecasting
53
The European journal of finance
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
International journal of finance & economics : IJFE
48
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
Journal of financial econometrics : official journal of the Society for Financial Econometrics
42
International Journal of Energy Economics and Policy : IJEEP
38
International journal of economics and finance
38
International journal of economics and financial issues : IJEFI
38
Pacific-Basin finance journal
38
Journal of financial economics
37
Quantitative finance
37
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
32
Journal of financial econometrics
32
Cogent economics & finance
31
Journal of economic dynamics & control
30
Journal of forecasting
29
Review of quantitative finance and accounting
29
Journal of financial markets
27
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ECONIS (ZBW)
97
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1
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
2
Credit default swaps and firm risk
Lin, Hai
;
Binh Hoang Nguyen
;
Wang, Junbo
;
Zhang, Cheng
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
Saved in:
3
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
4
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
5
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
6
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
7
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
8
High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John
;
Orlov, Alexei G.
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
Saved in:
9
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
10
Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
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