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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Kapitaleinkommen"
~subject:"Korrelation"
~subject:"Share price"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Kapitaleinkommen
Korrelation
Share price
ARCH model
65
ARCH-Modell
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Volatility
40
Volatilität
40
Theorie
28
Theory
28
Estimation
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Engle, Robert F.
3
Chen, Yi-ting
2
Aguilar, Mike
1
Ahoniemi, Katja
1
Barunik, Jozef
1
Caldeira, João F.
1
Caporin, Massimiliano
1
Cappiello, Lorenzo
1
Durham, Garland
1
Fuertes, Ana María
1
Geweke, John
1
Goeij, Peter de
1
Haas, Markus
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Halbleib, Roxana
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Jondeau, Eric
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Kasch-Haroutounian, Maria
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Liu, Xiaochun
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Mittnik, Stefan
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Moura, Guilherme Valle
1
Nicolau, João
1
Nogales, Francisco J.
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Olmo, Jose
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Paolella, Marc S.
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Politis, Dimitris N.
1
Rockinger, Michael
1
Santos, André A. P.
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Sheppard, Kevin
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Smetanina, Ekaterina
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Sokalska, Magdalena E.
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Suto, Nobuyuki
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Taniai, Hiroyuki
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Trapin, Luca
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Usami, Takashi
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Visser, Marcel P.
1
Voev, Valeri
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
92
Energy economics
78
International review of economics & finance : IREF
76
Journal of empirical finance
76
Research in international business and finance
74
International review of financial analysis
72
Applied economics
70
The North American journal of economics and finance : a journal of financial economics studies
68
Economic modelling
64
Journal of international financial markets, institutions & money
63
Journal of risk and financial management : JRFM
49
Journal of banking & finance
46
International journal of forecasting
41
Journal of econometrics
41
Applied economics letters
37
Journal of forecasting
36
The European journal of finance
34
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
33
Applied financial economics
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Economics letters
29
Discussion paper / Tinbergen Institute
27
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
26
International Journal of Energy Economics and Policy : IJEEP
26
Working paper
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Pacific-Basin finance journal
23
International journal of economics and finance
22
Journal of financial econometrics
21
Review of quantitative finance and accounting
21
Cogent economics & finance
20
International journal of economics and financial issues : IJEFI
20
International journal of finance & economics : IJFE
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
International Journal of Financial Studies : open access journal
19
The empirical economics letters : a monthly international journal of economics
18
The journal of futures markets
18
Emerging markets, finance and trade : EMFT
17
Afro-Asian Journal of Finance and Accounting : AAJFA
16
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ECONIS (ZBW)
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11
Improving asset price prediction when all models are false
Durham, Garland
;
Geweke, John
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
Saved in:
12
Volatility threshold dynamic conditional correlations : an international analysis
Kasch-Haroutounian, Maria
;
Caporin, Massimiliano
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
4
,
pp. 706-742
Persistent link: https://www.econbiz.de/10010233862
Saved in:
13
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
14
Forecasting intraday volatility in the US equity market : multiplicative component GARCH
Engle, Robert F.
;
Sokalska, Magdalena E.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 54-83
Persistent link: https://www.econbiz.de/10009519713
Saved in:
15
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
16
Structural conditional correlation
Weber, Enzo
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
Saved in:
17
The impact of shocks on higher moments
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
Saved in:
18
A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
Saved in:
19
A discrete and a continuous-time model based on a technical trading rule
Nicolau, João
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
2
,
pp. 266-284
Persistent link: https://www.econbiz.de/10003518341
Saved in:
20
Model-free versus model-based volatility prediction
Politis, Dimitris N.
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 358-389
Persistent link: https://www.econbiz.de/10003518495
Saved in:
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