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source:"edz"
~isPartOf:"Applied financial economics"
~language:"eng"
~source:"econis"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"ARCH-Modell"
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Zeitreihenanalyse
ARCH model
101
ARCH-Modell
101
Volatility
60
Volatilität
60
Estimation
26
Schätzung
26
Capital income
22
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Ajmi, Ahdi Noomen
1
Akgül, Işıl
1
Clements, Adam
1
Collet, Jérôme
1
Dijk, Dick van
1
Garg, S.
1
Gupta, Rangan
1
Hafner, Christian M.
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Papanastassiou, D.
1
Reeves, Jonathan J.
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1
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Applied financial economics
Discussion paper / Tinbergen Institute
42
Journal of econometrics
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
29
International journal of forecasting
29
Applied economics
27
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
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International review of financial analysis
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Research in international business and finance
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International review of economics & finance : IREF
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Journal of banking & finance
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International Journal of Energy Economics and Policy : IJEEP
13
Journal of time series econometrics
13
The econometrics journal
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Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Journal of financial econometrics
12
Computational economics
11
Journal of international financial markets, institutions & money
11
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11
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
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9
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1
Volatility forecasting performance of two-scale realized volatility
Garg, S.
;
Vipul
- In:
Applied financial economics
24
(
2014
)
16/18
,
pp. 1111-1121
Persistent link: https://www.econbiz.de/10010418949
Saved in:
2
Gold prices and exchange rates : a time-varying copula analysis
Yang, Lu
;
Hamori, Shigeyuki
- In:
Applied financial economics
24
(
2014
)
1/3
,
pp. 41-50
Persistent link: https://www.econbiz.de/10010389374
Saved in:
3
Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches
Reeves, Jonathan J.
;
Xie, Xuan
- In:
Applied financial economics
24
(
2014
)
4/6
,
pp. 347-356
Persistent link: https://www.econbiz.de/10010399705
Saved in:
4
Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben
;
Ajmi, Ahdi Noomen
;
Gupta, Rangan
- In:
Applied financial economics
24
(
2014
)
13/15
,
pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
Saved in:
5
The euro introduction and noneuro currencies
Dijk, Dick van
;
Munandar, Haris
;
Hafner, Christian M.
- In:
Applied financial economics
21
(
2011
)
1/3
,
pp. 95-116
Persistent link: https://www.econbiz.de/10009124660
Saved in:
6
Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models
Akgül, Işıl
;
Sayyan, Hülya
- In:
Applied financial economics
18
(
2008
)
4/6
,
pp. 463-482
Persistent link: https://www.econbiz.de/10003739179
Saved in:
7
A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances
Sjölander, Pär
- In:
Applied financial economics
18
(
2008
)
7/9
,
pp. 527-558
Persistent link: https://www.econbiz.de/10003739218
Saved in:
8
Do common volatility models capture cyclical behaviour in volatility?
Clements, Adam
;
Collet, Jérôme
- In:
Applied financial economics
18
(
2008
)
7/9
,
pp. 599-604
Persistent link: https://www.econbiz.de/10003739247
Saved in:
9
Classification of GARCH time series : an empirical investigation
Kalantzis, T.
;
Papanastassiou, D.
- In:
Applied financial economics
18
(
2008
)
7/9
,
pp. 759-764
Persistent link: https://www.econbiz.de/10003739381
Saved in:
10
On the long memory properties of emerging capital markets : evidence from Istanbul stock exchange
Kiliç, Rehim
- In:
Applied financial economics
14
(
2004
)
13
,
pp. 915-922
Persistent link: https://www.econbiz.de/10002195474
Saved in:
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