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isPartOf:"The econometrics journal"
~isPartOf:"Journal of banking & finance"
~subject:"Stochastic process"
~subject:"Welt"
~type_genre:"Article in journal"
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Search: subject_exact:"ARCH-Modell"
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Stochastic process
Welt
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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2
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1
Davidson, Wallace Norman
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The econometrics journal
Journal of banking & finance
Energy economics
93
Finance research letters
42
Research in international business and finance
33
Journal of econometrics
28
Economic modelling
26
International review of economics & finance : IREF
24
The North American journal of economics and finance : a journal of financial economics studies
24
Applied economics
23
Journal of empirical finance
23
Journal of risk and financial management : JRFM
22
International review of financial analysis
20
International Journal of Energy Economics and Policy : IJEEP
18
Journal of international financial markets, institutions & money
15
International journal of forecasting
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
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10
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10
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9
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
The journal of futures markets
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Cogent economics & finance
6
Econometrics : open access journal
6
Studies in economics and finance
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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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Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Global finance journal
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Journal of commodity markets
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Journal of multinational financial management
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Macroeconomic dynamics
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Pacific-Basin finance journal
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ECONIS (ZBW)
17
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17
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date (oldest first)
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
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:
3
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:
4
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:
5
Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.
;
Milunovich, George
;
Thorp, Susan
; …
- In:
Journal of banking & finance
58
(
2015
),
pp. 71-79
Persistent link: https://www.econbiz.de/10011543895
Saved in:
6
European financial market dependence : an industry analysis
Bartram, Söhnke M.
;
Wang, Yaw-Huei
- In:
Journal of banking & finance
59
(
2015
),
pp. 146-163
Persistent link: https://www.econbiz.de/10011544416
Saved in:
7
Contagion and banking crisis : international evidence for 2007-2009
Dungey, Mardi H.
;
Gajurel, Dinesh
- In:
Journal of banking & finance
60
(
2015
),
pp. 271-283
Persistent link: https://www.econbiz.de/10011545024
Saved in:
8
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:
9
Asymmetric herding as a source of asymmetric return volatility
Park, Beum-jo
- In:
Journal of banking & finance
35
(
2011
)
10
,
pp. 2657-2665
Persistent link: https://www.econbiz.de/10009273272
Saved in:
10
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:
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