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person:"Rombouts, Jeroen V. K."
~isPartOf:"Industrial marketing management : the international journal for industrial and high-tech firms"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Francq, Christian"
~person:"Franses, Philip Hans"
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Search: subject_exact:"GARCH model"
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ARCH model
4
ARCH-Modell
4
Volatility
3
Volatilität
3
Estimation theory
2
Schätztheorie
2
Aktienmarkt
1
Bootstrap approach
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adequacy test for CCC-GARCH models
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bootstrap
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leverage effect
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variance-targeting estimator
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Rombouts, Jeroen V. K.
Francq, Christian
Franses, Philip Hans
Engle, Robert F.
3
Horváth, Lajos
3
Caporin, Massimiliano
2
Chen, Yi-ting
2
Fleming, Jeff
2
Ghysels, Eric
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Haas, Markus
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Kirby, Chris
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Mittnik, Stefan
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Olmo, Jose
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Paolella, Marc S.
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Ruiz, Esther
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Silvennoinen, Annastiina
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Teräsvirta, Timo
2
Trojani, Fabio
2
Zakoïan, Jean-Michel
2
Aguilar, Mike
1
Ahoniemi, Katja
1
Audrino, Francesco
1
Badescu, Alexandru
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Barunik, Jozef
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Borah, Abhishek
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Brooks, Chris
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Burke, Simon P.
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Caldeira, João F.
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Christoffersen, Peter F.
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1
Dufays, Arnaud
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1
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Industrial marketing management : the international journal for industrial and high-tech firms
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
CORE discussion paper : DP
7
CORE discussion papers : DP
7
Econometric Institute research papers
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Econometric analysis of financial and economic time series ; part a
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Econometric reviews
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Handbook of financial time series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics
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Journal of the American Statistical Association : JASA
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ProQuest Ebook Central
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Publikationen / Center for Applied Statistics and Economics
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Review of development economics : an essential resource for any development economist
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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1
Big data analysis of volatility spillovers of brands across social media and stock markets
Dieijen, Myrthe van
;
Borah, Abhishek
;
Tellis, Gerard J.
; …
- In:
Industrial marketing management : the international …
88
(
2020
),
pp. 465-484
Persistent link: https://www.econbiz.de/10012285387
Saved in:
2
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
3
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
4
A simple test for GARCH against a stochastic volatility model
Franses, Philip Hans
;
Leij, Marco van der
;
Paap, Richard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
3
,
pp. 291-306
Persistent link: https://www.econbiz.de/10003748059
Saved in:
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