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isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~subject:"Prognoseverfahren"
~subject:"Theorie"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Prognoseverfahren
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ARCH model
59
ARCH-Modell
59
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24
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Hafner, Christian M.
3
Herwartz, Helmut
3
Härdle, Wolfgang
2
Jiang, Ying
2
Lanne, Markku
2
Liu, Xiaoquan
2
Saikkonen, Pentti
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Teyssière, Gilles
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1
Andreou, Panayiotis C.
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1
Cheffou, Abdoulkarim Idi
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1
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1
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Li, Jiandong
1
Linton, Oliver
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Review of quantitative finance and accounting
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
International journal of forecasting
82
Energy economics
79
Journal of forecasting
79
Finance research letters
70
Journal of empirical finance
67
Journal of econometrics
66
Applied economics
61
International review of financial analysis
61
The North American journal of economics and finance : a journal of financial economics studies
49
Economic modelling
45
Journal of banking & finance
44
Discussion paper / Tinbergen Institute
43
Economics letters
43
International review of economics & finance : IREF
43
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
Econometric theory
37
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
36
Journal of international financial markets, institutions & money
34
Working paper
31
Applied economics letters
30
Applied financial economics
30
Econometric reviews
28
Journal of applied econometrics
26
Econometric Institute research papers
24
Journal of risk and financial management : JRFM
24
Research in international business and finance
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Computational economics
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International journal of finance & economics : IJFE
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Journal of financial econometrics
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Quantitative finance
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The econometrics journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
Journal of economic dynamics & control
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Risks : open access journal
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Journal of risk
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Working papers
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CORE discussion paper : DP
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Department of Economics working paper series
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ECONIS (ZBW)
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Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Theodossiou, Panayiotis
;
Ellina, Polina
;
Savva, Christos S.
- In:
Review of quantitative finance and accounting
59
(
2022
)
2
,
pp. 695-716
Persistent link: https://www.econbiz.de/10013459306
Saved in:
2
Procyclical volatility in Chinese stock markets
Deschamps, Bruno
;
Fei, Tianlun
;
Jiang, Ying
;
Liu, Xiaoquan
- In:
Review of quantitative finance and accounting
58
(
2022
)
3
,
pp. 1117-1144
Persistent link: https://www.econbiz.de/10013191850
Saved in:
3
Conditional dependence in post-crisis markets : dispersion and correlation skew trades
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
55
(
2020
)
2
,
pp. 389-426
Persistent link: https://www.econbiz.de/10012303884
Saved in:
4
Volatility forecasting in the Chinese commodity futures market with intraday data
Jiang, Ying
;
Ahmed, Shamim
;
Liu, Xiaoquan
- In:
Review of quantitative finance and accounting
48
(
2017
)
4
,
pp. 1123-1173
Persistent link: https://www.econbiz.de/10011797006
Saved in:
5
A geometric treatment of time-varying volatilities
Han, Chulwoo
;
Park, Frank C.
;
Kang, Jangkoo
- In:
Review of quantitative finance and accounting
49
(
2017
)
4
,
pp. 1121-1141
Persistent link: https://www.econbiz.de/10011797596
Saved in:
6
Intraday jumps and trading volume : a nonlinear Tobit specification
Jawadi, Fredj
;
Louhichi, Waël
;
Cheffou, Abdoulkarim Idi
; …
- In:
Review of quantitative finance and accounting
47
(
2016
)
4
,
pp. 1167-1186
Persistent link: https://www.econbiz.de/10011596214
Saved in:
7
Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.
;
Li, Jiandong
;
Yang, Sheng-Yung
- In:
Review of quantitative finance and accounting
45
(
2015
)
1
,
pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
Saved in:
8
Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.
;
Charalambous, Chris
; …
- In:
Review of quantitative finance and accounting
42
(
2014
)
3
,
pp. 373-397
Persistent link: https://www.econbiz.de/10010391631
Saved in:
9
The influence of systematic risk factors and econometric adjustments in catastrophic event studies
Cam, Marie-Anne
;
Ramiah, Vikash
- In:
Review of quantitative finance and accounting
42
(
2014
)
2
,
pp. 171-189
Persistent link: https://www.econbiz.de/10010391717
Saved in:
10
Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy
Weiß, Gregor
- In:
Review of quantitative finance and accounting
41
(
2013
)
2
,
pp. 179-202
Persistent link: https://www.econbiz.de/10009774463
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