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~subject:"Zeitreihenanalyse"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Zeitreihenanalyse
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
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International journal of forecasting
303
Economics letters
270
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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
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
Saved in:
10
Asymptotic properties of GARCH-X processes
Han, Heejoon
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
Saved in:
11
Recursive right-tailed unit root tests for an explosive asset price bubble
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 166-187
Persistent link: https://www.econbiz.de/10010519657
Saved in:
12
Bayesian mixed frequency VARs
Eraker, Bjørn
;
Chiu, Ching Wai Jeremy
;
Foerster, Andrew
; …
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 698-721
Persistent link: https://www.econbiz.de/10011339252
Saved in:
13
Predicting exchange rates out of sample : can economic fundamentals beat the random walk?
Li, Jiahan
;
Tsiakas, Ilias
;
Wang, Wei
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 293-341
Persistent link: https://www.econbiz.de/10011339312
Saved in:
14
Mixed-frequency cointegrating regressions with parsimonious distributed lag structures
Miller, J. Isaac
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 584-614
Persistent link: https://www.econbiz.de/10010391945
Saved in:
15
Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
Saved in:
16
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
Saved in:
17
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
18
Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.
;
Nogales, Francisco J.
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
Saved in:
19
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
20
A new approach for the dynamics of ultra-high-frequency data : the model with uncertainty zones
Robert, Christian Yann
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 344-366
Persistent link: https://www.econbiz.de/10009125119
Saved in:
21
When is a copula constant? : a test for changing relationships
Busetti, Fabio
;
Harvey, Andrew C.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 106-131
Persistent link: https://www.econbiz.de/10009125155
Saved in:
22
Long memory processes : a joint paper with Clive Granger
Joyeux, Roselyne
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
2
,
pp. 184-186
Persistent link: https://www.econbiz.de/10008652236
Saved in:
23
Parameterizing unconditional skewness in models for financial time series
He, Changli
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 208-230
Persistent link: https://www.econbiz.de/10003687850
Saved in:
24
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
Saved in:
25
Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku
;
Saikkonen, Pentti
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 96-125
Persistent link: https://www.econbiz.de/10002220969
Saved in:
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