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subject:"Volatilität"
type_genre:"Article in journal"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH model"
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Volatilität
ARCH model
Estimation
329
Schätzung
329
Capital income
148
Kapitaleinkommen
148
Theorie
138
Theory
138
Volatility
114
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Caporin, Massimiliano
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Dijk, Dick van
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Christiansen, Charlotte
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Conrad, Christian
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Garcia, René
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Ghysels, Eric
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Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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
Applied economics letters
86
Applied financial economics
84
Journal of international financial markets, institutions & money
77
Research in international business and finance
74
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70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
69
The journal of futures markets
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Economics letters
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Journal of risk and financial management : JRFM
58
International journal of forecasting
53
The European journal of finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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
International Journal of Energy Economics and Policy : IJEEP
38
International journal of economics and finance
38
International journal of economics and financial issues : IJEFI
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Pacific-Basin finance journal
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Journal of financial economics
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Quantitative finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of financial econometrics
32
Cogent economics & finance
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Journal of economic dynamics & control
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Journal of forecasting
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Review of quantitative finance and accounting
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Econometric reviews
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ECONIS (ZBW)
132
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1
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
2
Forecasting realized volatility with machine learning : panel data perspective
Zhu, Haibin
;
Bai, Lu
;
He, Lidan
;
Liu, Zhi
- In:
Journal of empirical finance
73
(
2023
),
pp. 251-271
Persistent link: https://www.econbiz.de/10014477028
Saved in:
3
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
4
Forecasting realized volatility with wavelet decomposition
Souropanis, Ioannis
;
Vivian, Andrew
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014477112
Saved in:
5
Spillover effects in managerial compensation
Kieschnick, Robert L.
;
Shi, Wenyun
- In:
Journal of empirical finance
70
(
2023
),
pp. 62-73
Persistent link: https://www.econbiz.de/10014423607
Saved in:
6
Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals
Stindl, Tom
- In:
Journal of empirical finance
70
(
2023
),
pp. 182-198
Persistent link: https://www.econbiz.de/10014423627
Saved in:
7
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
8
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
9
Consumption risks in option returns
Yang, Shuwen
;
Aretz, Kevin
;
Liu, Hening
;
Zhang, Yuzhao
- In:
Journal of empirical finance
69
(
2022
),
pp. 285-302
Persistent link: https://www.econbiz.de/10013478527
Saved in:
10
Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher
;
Bessler, Wolfgang
;
Conlon, Thomas
- In:
Journal of empirical finance
65
(
2022
),
pp. 24-50
Persistent link: https://www.econbiz.de/10013286399
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