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subject:"ARCH-Modell"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
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ARCH-Modell
Volatility
246
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246
Estimation
104
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91
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91
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69
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Bauwens, Luc
3
Corsi, Fulvio
2
Hafner, Christian M.
2
Kanas, Angelos
2
Klaassen, Franc
2
Lucas, André
2
Sucarrat, Genaro
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Amado, Cristina
1
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1
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Chua, Chew Lian
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1
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
212
Finance research letters
128
Economic modelling
108
Applied economics
104
International review of financial analysis
104
The North American journal of economics and finance : a journal of financial economics studies
101
Journal of empirical finance
91
Research in international business and finance
91
International review of economics & finance : IREF
87
Journal of international financial markets, institutions & money
73
Journal of risk and financial management : JRFM
69
Journal of econometrics
66
International journal of forecasting
61
Applied financial economics
60
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57
Journal of banking & finance
55
Economics letters
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Discussion paper / Tinbergen Institute
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49
International Journal of Energy Economics and Policy : IJEEP
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometric Institute research papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of futures markets
38
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
38
International journal of finance & economics : IJFE
37
The European journal of finance
37
International journal of economics and financial issues : IJEFI
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Review of quantitative finance and accounting
28
The empirical economics letters : a monthly international journal of economics
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Journal of international money and finance
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Pacific-Basin finance journal
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25
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ECONIS (ZBW)
61
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1
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
2
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
A stochastic volatility model with a general leverage specification
Catania, Leopoldo
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
Saved in:
5
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
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6
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
8
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
9
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
10
Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
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