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isPartOf:"The econometrics journal"
~isPartOf:"Annals of financial economics"
~isPartOf:"Journal of banking & finance"
~subject:"Stochastic process"
~type_genre:"Article in journal"
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Search: subject_exact:"ARCH-Modell"
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Stochastic process
ARCH model
174
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58
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Dokučaev, Nikolaj G.
2
Luong, Chuong
2
Abadir, Karim Maher
1
Christoffersen, Peter F.
1
Dēmos, Antōnēs A.
1
Feunou, Bruno
1
Hamori, Shigeyuki
1
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Liu, Ji-chun
1
Moura, Guilherme Valle
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1
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1
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The econometrics journal
Annals of financial economics
Journal of banking & finance
Journal of econometrics
27
Journal of empirical finance
9
Econometric reviews
8
Energy economics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International review of financial analysis
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ECONIS (ZBW)
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
Saved in:
3
VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi
;
Wang, Zerong
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
Saved in:
4
Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models
Yang, Lu
;
Hamori, Shigeyuki
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011958469
Saved in:
5
Modeling dependency of volatility on sampling frequency via delay equations
Luong, Chuong
;
Dokučaev, Nikolaj G.
- In:
Annals of financial economics
11
(
2016
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011685676
Saved in:
6
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
Saved in:
7
Analysis of market volatility via a dynamically purified option price process
Luong, Chuong
;
Dokučaev, Nikolaj G.
- In:
Annals of financial economics
9
(
2014
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010391659
Saved in:
8
Stationarity of a family of GARCH processes
Liu, Ji-chun
- In:
The econometrics journal
12
(
2009
)
3
,
pp. 436-446
Persistent link: https://www.econbiz.de/10003948829
Saved in:
9
Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model
Dēmos, Antōnēs A.
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 345-357
Persistent link: https://www.econbiz.de/10001713296
Saved in:
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