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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Korrelation"
~subject:"Share price"
~subject:"Volatilität"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Korrelation
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ARCH model
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ARCH-Modell
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
217
Finance research letters
145
Applied economics
119
Economic modelling
116
International review of financial analysis
111
The North American journal of economics and finance : a journal of financial economics studies
107
Research in international business and finance
106
Journal of empirical finance
103
International review of economics & finance : IREF
99
Journal of international financial markets, institutions & money
86
Journal of risk and financial management : JRFM
76
Journal of econometrics
69
Journal of banking & finance
67
International journal of forecasting
66
Applied financial economics
63
Applied economics letters
61
Journal of forecasting
61
Economics letters
60
Discussion paper / Tinbergen Institute
56
International Journal of Energy Economics and Policy : IJEEP
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
Working paper
45
The journal of futures markets
44
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
44
Econometric Institute research papers
42
International journal of finance & economics : IJFE
38
The European journal of finance
38
International journal of economics and financial issues : IJEFI
37
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
36
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
34
Review of quantitative finance and accounting
32
Cogent economics & finance
31
International journal of economics and finance
31
Journal of international money and finance
31
Pacific-Basin finance journal
30
The empirical economics letters : a monthly international journal of economics
30
Journal of financial econometrics
27
Quantitative finance
25
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
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
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
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:
5
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:
6
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
Exceedance correlation tests for financial returns
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
Saved in:
9
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
10
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
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