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isPartOf:"The econometrics journal"
~isPartOf:"Journal of banking & finance"
~subject:"Stochastic process"
~subject:"Time series analysis"
~type_genre:"Article in journal"
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Search: subject_exact:"ARCH-Modell"
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Stochastic process
Time series analysis
ARCH model
153
ARCH-Modell
153
Volatility
68
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68
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52
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52
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32
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Abadir, Karim Maher
1
Aramonte, Sirio
1
Audrino, Francesco
1
Barigozzi, Matteo
1
Barone-Adesi, Giovanni
1
Berger, Tino
1
Brown, Bryan W.
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The econometrics journal
Journal of banking & finance
Journal of econometrics
58
Journal of empirical finance
41
Energy economics
37
Economic modelling
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Applied economics
31
International journal of forecasting
31
Economics letters
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Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The North American journal of economics and finance : a journal of financial economics studies
25
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International review of financial analysis
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International review of economics & finance : IREF
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International Journal of Energy Economics and Policy : IJEEP
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Journal of time series econometrics
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Econometric theory
12
International journal of economics and financial issues : IJEFI
12
Journal of international financial markets, institutions & money
12
Journal of risk
12
Quantitative finance
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International journal of economics and finance
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Annals of financial economics
9
Applied economics letters
9
International journal of finance & economics : IJFE
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Journal of economic dynamics & control
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The European journal of finance
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CBN journal of applied statistics
7
European journal of operational research : EJOR
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ECONIS (ZBW)
30
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1
Testing for parameter change epochs in GARCH time series
Richter, Stefan
;
Wang, Weining
;
Wu, Wei Biao
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 467-491
Persistent link: https://www.econbiz.de/10014391712
Saved in:
2
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:
3
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
4
Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian
;
Indriawan, Ivan
;
Tse, Yiuman
; …
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
Saved in:
5
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:
6
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:
7
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
8
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
9
Cross-commodity news transmission and volatility spillovers in the German energy markets
Green, Rikard
;
Larsson, Karl
;
Lunina, Veronika
; …
- In:
Journal of banking & finance
95
(
2018
),
pp. 231-243
Persistent link: https://www.econbiz.de/10011966754
Saved in:
10
Covariance forecasting in equity markets
Symitsi, Efthymia
;
Symeonidis, Lazaros
;
Kourtis, Apostolos
- In:
Journal of banking & finance
96
(
2018
),
pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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