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subject:"ARCH model"
~isPartOf:"Journal of econometrics"
~language:"eng"
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Search: subject_exact:"Kapitalgewinn"
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ARCH model
Capital income
137
Kapitaleinkommen
137
Volatility
70
Volatilität
70
Theorie
54
Theory
54
Estimation
53
Schätzung
53
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46
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Time series analysis
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ARCH-Modell
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Correlation
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Factor analysis
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Statistical distribution
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Statistische Verteilung
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Nichtparametrisches Verfahren
10
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10
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English
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Bollerslev, Tim
3
Paolella, Marc S.
2
Polak, Pawel
2
Andersen, Torben
1
Aït-Sahalia, Yacine
1
Bekaert, Geert
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chen, Rong
1
Chu, Amanda M. Y.
1
Connor, Gregory
1
Davis, Richard A.
1
Dhaene, Geert
1
Ding, Yashuang
1
Dobrev, Dobrislav
1
Drees, Holger
1
Duong, Diep
1
Engstrom, Eric
1
Ergemen, Yunus Emre
1
Ermolov, Andrey
1
Fleming, Jeff
1
Francq, Christian
1
Grynkiv, Iaryna
1
Harvey, Andrew C.
1
Jarjour, Riad
1
Korajczyk, Robert A.
1
Linton, Oliver
1
Meddahi, Nour
1
Noureldin, Diaa
1
Palumbo, Dario
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Patton, Andrew J.
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Paye, Bradley S.
1
Quaedvlieg, Rogier
1
Renault, Eric
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Segers, Johan
1
Shephard, Neil G.
1
Sheppard, Kevin
1
So, Mike Ka-pui
1
Swanson, Norman R.
1
Tauchen, George Eugene
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Journal of econometrics
Finance research letters
62
Journal of empirical finance
50
International review of financial analysis
48
Energy economics
46
The North American journal of economics and finance : a journal of financial economics studies
46
International review of economics & finance : IREF
43
Research in international business and finance
39
Journal of international financial markets, institutions & money
35
International journal of forecasting
34
Applied economics
33
Economic modelling
33
Journal of banking & finance
30
Journal of forecasting
28
The European journal of finance
28
Journal of risk and financial management : JRFM
27
Applied economics letters
22
Applied financial economics
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Journal of financial econometrics
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
18
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
17
Review of quantitative finance and accounting
17
International journal of economics and finance
16
International journal of finance & economics : IJFE
16
Pacific-Basin finance journal
16
Working paper
15
Cogent economics & finance
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
International journal of economics and financial issues : IJEFI
14
Afro-Asian Journal of Finance and Accounting : AAJFA
13
Journal of financial econometrics : official journal of the Society for Financial Econometrics
13
Discussion paper / Tinbergen Institute
12
Economics letters
12
Global business review
12
Global finance journal
12
International Journal of Financial Studies : open access journal
12
Department of Economics working paper series
11
Financial innovation : FIN
11
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ECONIS (ZBW)
22
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1
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
4
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
5
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
6
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
7
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
8
Dynamic conditional angular correlation
Jarjour, Riad
;
Chan, Kung-sik
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
Saved in:
9
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
10
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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