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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Applied economics"
~isPartOf:"Asia-Pacific financial markets"
~subject:"ARCH model"
~subject:"Commodity derivative"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
Commodity derivative
Estimation theory
185
Schätztheorie
185
Theorie
50
Theory
50
Estimation
44
Schätzung
44
Time series analysis
37
Zeitreihenanalyse
37
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13
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Article in journal
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English
18
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Kim, Jong-Min
3
Blazsek, Szabolcs
2
Jung, Hojin
2
Licht, Adrian
2
Abramov, Vyacheslav M.
1
Abutaleb, Ahmed S.
1
Ayala, Astrid Loretta
1
Bampinas, Georgios
1
Biscay, R. J.
1
Charbonneau, Alain
1
Chiu, Yen-Chen
1
Chuang, I-Yuan
1
Hung, Jui-cheng
1
Hwang, Sun Young
1
Jacquier, Antoine
1
Javed, Farrukh
1
Jiménez, Juan Carlos
1
Kato, Takashi
1
Kiss, Tamás
1
Klebaner, Fima C.
1
Kumari, Jyoti
1
Kunitomo, Naoto
1
Kurisu, Daisuke
1
Ladopoulos, Konstantinos
1
Lee, Jun-de
1
Lou, Tien-wei
1
Mahakud, Jitendra
1
Mijatovi´c, Aleksandar
1
Ozaki, Tohru
1
Panagiōtidēs, Theodōros
1
Papaioannou, Michael G.
1
Paquin, Jean-Paul
1
Qin, Li
1
Razzak, Weshah A.
1
Sekine, Jun
1
Tessier, David
1
Wang, Yi-hsien
1
Yamamoto, Hiromitsu
1
Österholm, Pär
1
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Applied economics
Asia-Pacific financial markets
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Econometric reviews
31
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of banking & finance
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
15
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
Applied economics letters
11
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
Finance and stochastics
8
The European journal of finance
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Applied financial economics
6
Cogent economics & finance
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
The journal of risk model validation
6
Annals of financial economics
5
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ECONIS (ZBW)
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1
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
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
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
4
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
5
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
6
A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios
;
Ladopoulos, Konstantinos
; …
- In:
Applied economics
50
(
2018
)
34/35
,
pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
Saved in:
7
Directional time-varying partial correlation with the Gaussian copula-DCC-GARCH model
Kim, Jong-Min
;
Jung, Hojin
- In:
Applied economics
50
(
2018
)
41
,
pp. 4418-4426
Persistent link: https://www.econbiz.de/10012061173
Saved in:
8
Effects of jumps and small noise in high-frequency financial econometrics
Kunitomo, Naoto
;
Kurisu, Daisuke
- In:
Asia-Pacific financial markets
24
(
2017
)
1
,
pp. 39-73
Persistent link: https://www.econbiz.de/10011742284
Saved in:
9
Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min
;
Jung, Hojin
;
Qin, Li
- In:
Applied economics
48
(
2016
)
16/18
,
pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
Saved in:
10
Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti
;
Mahakud, Jitendra
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 87-111
Persistent link: https://www.econbiz.de/10010511544
Saved in:
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