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type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Credit risk"
~subject:"Zeitreihenanalyse"
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Credit risk
Zeitreihenanalyse
Theorie
154
Theory
154
Volatility
45
Volatilität
45
Estimation
39
Schätzung
39
ARCH model
28
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Article in journal
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English
32
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Gouriéroux, Christian
3
Monfort, Alain
3
Gagliardini, Patrick
2
Audrino, Francesco
1
Busetti, Fabio
1
Calvori, Francesco
1
Carr, Peter
1
Chiu, Ching Wai Jeremy
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1
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1
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1
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
326
International journal of forecasting
316
Economics letters
286
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
234
Journal of forecasting
227
Econometric theory
190
Journal of banking & finance
174
Economic modelling
136
Econometric reviews
125
Applied economics
116
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
99
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
95
Journal of economic dynamics & control
93
Journal of applied econometrics
92
European journal of operational research : EJOR
90
Computational economics
86
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
83
Applied economics letters
80
International journal of theoretical and applied finance
78
The journal of credit risk : published quarterly by Incisive Media
78
Journal of empirical finance
70
Finance research letters
64
Journal of financial economics
59
Risks : open access journal
56
Energy economics
54
Oxford bulletin of economics and statistics
54
International review of economics & finance : IREF
48
Insurance / Mathematics & economics
47
The North American journal of economics and finance : a journal of financial economics studies
47
The econometrics journal
47
Journal of macroeconomics
46
Management science : journal of the Institute for Operations Research and the Management Sciences
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The journal of fixed income
46
Journal of risk and financial management : JRFM
44
Econometrics : open access journal
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International review of financial analysis
42
The review of economics and statistics
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Applied financial economics
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Journal of monetary economics
39
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ECONIS (ZBW)
32
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1
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
2
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
3
Fractionally integrated COGARCH processes
Haug, Stephan
;
Klüppelberg, Claudia
;
Straub, German
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 599-628
Persistent link: https://www.econbiz.de/10011988000
Saved in:
4
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
5
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
6
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
7
Component-wise representations of long-memory models and volatility prediction
Proietti, Tommaso
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 668-692
Persistent link: https://www.econbiz.de/10011623820
Saved in:
8
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
9
Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates
Rodriguez, Abel
;
Horst, Enrique ter
;
Malone, Samuel
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 839-867
Persistent link: https://www.econbiz.de/10011417815
Saved in:
10
Long memory and periodicity in intraday volatility
Rossi, Eduardo
;
Fantazzini, Dean
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 922-961
Persistent link: https://www.econbiz.de/10011417840
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