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isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"ARCH model"
~subject:"GARCH"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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ARCH model
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98
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Chiang, Thomas C.
4
Li, Bingxin
3
Malik, Farooq
3
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2
Boughrara, Adel
2
Bouri, Elie
2
Gupta, Rangan
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Review of quantitative finance and accounting
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Energy economics
253
Finance research letters
176
Applied economics
160
Economic modelling
155
Journal of econometrics
147
International review of financial analysis
136
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132
Research in international business and finance
125
The North American journal of economics and finance : a journal of financial economics studies
123
International review of economics & finance : IREF
113
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113
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109
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107
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101
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98
International journal of forecasting
93
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88
Journal of forecasting
86
Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometric theory
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The European journal of finance
70
The journal of futures markets
70
Econometric Institute research papers
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Working paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
65
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International Journal of Energy Economics and Policy : IJEEP
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
International journal of economics and financial issues : IJEFI
49
Econometric reviews
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International journal of finance & economics : IJFE
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International journal of economics and finance
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CREATES research paper
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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The econometrics journal
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ECONIS (ZBW)
98
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1
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
2
Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets
Mensi, Walid
;
Ur Rehman, Mobeen
;
Maitra, Debasish
; …
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 139-157
Persistent link: https://www.econbiz.de/10014461547
Saved in:
3
On the predictive ability of conditional market skewness
Serna, Gregorio
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
Saved in:
4
Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.
;
Gupta, Rangan
;
Bouri, Elie
- In:
The quarterly review of economics and finance : journal …
88
(
2023
),
pp. 303-314
Persistent link: https://www.econbiz.de/10014428077
Saved in:
5
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
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6
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:
7
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:
8
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:
9
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:
10
Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region
Chebbi, Ali
;
Hedhli, Amel
- In:
The quarterly review of economics and finance : journal …
84
(
2022
),
pp. 430-445
Persistent link: https://www.econbiz.de/10013335886
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