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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of mathematical finance"
~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
41
Schätztheorie
41
Volatilität
12
Stochastic process
11
Stochastischer Prozess
11
Estimation
9
Schätzung
9
ARCH-Modell
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Statistical distribution
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VAR model
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VAR-Modell
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Article in journal
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Irungu, Irene W.
2
Mwita, Peter N.
2
Waititu, Antony G.
2
Abramov, Vyacheslav M.
1
Adewuyi, Adejumo Wahab
1
Biscay, R. J.
1
Bishwal, Jaya Prakasah Narayan
1
Cheng, Hao
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Ginley, Matthew
1
Gumbo, Victor
1
Jacquier, Antoine
1
Jiménez, Juan Carlos
1
Kato, Takashi
1
Klebaner, Fima C.
1
Koulis, Theodoro
1
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1
Kunitomo, Naoto
1
Kurisu, Daisuke
1
Lim, Kian-Guan
1
Mahakud, Jitendra
1
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1
Mundia, Simon
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1
Omari, Cyprian Ondieki
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1
Sekine, Jun
1
Siziba, Simiso
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1
Yamamoto, Hiromitsu
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Asia-Pacific financial markets
Journal of mathematical finance
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
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Journal of banking & finance
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Journal of financial econometrics
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Journal of forecasting
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Quantitative finance
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International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
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Journal of risk
13
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
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12
Applied economics letters
11
Computational economics
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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
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International journal of financial engineering
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The journal of risk model validation
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Annals of financial economics
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ECONIS (ZBW)
17
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1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
Saved in:
3
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
4
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
5
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:
6
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
7
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
8
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
9
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
10
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
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