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isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"CREATES research paper"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~subject:"Schätzung"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Schätzung
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Silvennoinen, Annastiina
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Teräsvirta, Timo
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Hall, Anthony D.
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Kanas, Angelos
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Klaassen, Franc
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Li, Bingxin
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Malik, Farooq
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Andreou, Panayiotis C.
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Review of quantitative finance and accounting
CREATES research paper
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Energy economics
66
Applied economics
58
Finance research letters
54
Economic modelling
52
International review of economics & finance : IREF
46
International review of financial analysis
44
The North American journal of economics and finance : a journal of financial economics studies
44
Journal of empirical finance
43
Journal of international financial markets, institutions & money
36
Research in international business and finance
33
Journal of econometrics
32
Applied economics letters
30
Journal of risk and financial management : JRFM
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Discussion paper / Tinbergen Institute
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International journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of economics and financial issues : IJEFI
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of banking & finance
22
The journal of futures markets
21
Working paper
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Journal of risk
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Econometric Institute research papers
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International Journal of Energy Economics and Policy : IJEEP
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The European journal of finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of financial econometrics
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Cogent economics & finance
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Journal of economics and finance
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Pacific-Basin finance journal
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CBN journal of applied statistics
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Emerging markets, finance and trade : EMFT
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ECONIS (ZBW)
48
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
Volatility spillover among sector equity returns under structural breaks
Malik, Farooq
- In:
Review of quantitative finance and accounting
58
(
2022
)
3
,
pp. 1063-1080
Persistent link: https://www.econbiz.de/10013191782
Saved in:
7
Risk premia in the term structure of crude oil futures : long-run and short-run volatility components
Boyd, Naomi E.
;
Li, Bingxin
;
Liu, Rui
- In:
Review of quantitative finance and accounting
58
(
2022
)
4
,
pp. 1505-1533
Persistent link: https://www.econbiz.de/10013191983
Saved in:
8
Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay
;
Cevik, Emrah Ismail
- In:
Review of quantitative finance and accounting
57
(
2021
)
4
,
pp. 1373-1392
Persistent link: https://www.econbiz.de/10012660703
Saved in:
9
News sentiment and stock market volatility
Hsu, Yen-Ju
;
Lu, Yang-cheng
;
Yang, J. Jimmy
- In:
Review of quantitative finance and accounting
57
(
2021
)
3
,
pp. 1093-1122
Persistent link: https://www.econbiz.de/10012620049
Saved in:
10
Realized volatility and jump testing in the Japanese electricity spot market
Ciarreta, Aitor
;
Muniain, Peru
;
Zarraga, Ainhoa
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
3
,
pp. 1143-1166
Persistent link: https://www.econbiz.de/10012219535
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