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subject:"ARCH-Modell"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Marktmikrostruktur"
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ARCH-Modell
Marktmikrostruktur
Volatility
155
Volatilität
155
Theorie
75
Theory
75
Estimation
62
Schätzung
62
Stochastic process
57
Stochastischer Prozess
57
Time series analysis
56
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56
Capital income
45
Kapitaleinkommen
45
Estimation theory
43
Schätztheorie
43
Börsenkurs
35
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Forecasting model
33
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33
ARCH model
29
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Bayesian inference
24
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Correlation
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Korrelation
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Markov-Kette
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Stochastic volatility
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Market microstructure
12
Option pricing theory
12
Optionspreistheorie
12
Statistical distribution
12
Statistische Verteilung
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VAR model
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VAR-Modell
12
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40
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Bauwens, Luc
2
Corsi, Fulvio
2
Hansen, Peter Reinhard
2
Lucas, André
2
Potiron, Yoann
2
Amado, Cristina
1
Augustyniak, Maciej
1
Awartani, Basel
1
Bandi, Federico M.
1
Barassi, Marco R.
1
Bormetti, Giacomo
1
Brandt, Michael W.
1
Buccheri, Giuseppe
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Chan, Wing Hong
1
Chen, Wilson Ye
1
Clinet, Simon
1
Conrad, Christian
1
Corradi, Valentina
1
Creal, Drew
1
Dai, Wei
1
Dias, Gustavo Fruet
1
Dijk, Dick van
1
Distaso, Walter
1
Dufays, Arnaud
1
Engle, Robert F.
1
Fan, Jianqing
1
Feunou, Bruno
1
Francq, Christian
1
Gao, Jing
1
Gerlach, Richard H.
1
Glickman, Mark E.
1
Hafner, Christian M.
1
Hallin, Marc
1
Hautsch, Nikolaus
1
Horváth, Lajos
1
Hotta, Luiz K.
1
Hu, Yu-Pin
1
Huang, Zhuo
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
226
Finance research letters
163
International review of financial analysis
119
Economic modelling
113
Applied economics
108
The North American journal of economics and finance : a journal of financial economics studies
107
Journal of econometrics
104
Research in international business and finance
102
International review of economics & finance : IREF
101
Journal of empirical finance
101
Journal of international financial markets, institutions & money
79
Journal of risk and financial management : JRFM
72
Journal of banking & finance
68
International journal of forecasting
64
Applied financial economics
61
Journal of forecasting
58
Discussion paper / Tinbergen Institute
55
Economics letters
55
Applied economics letters
52
International Journal of Energy Economics and Policy : IJEEP
50
International journal of finance & economics : IJFE
49
The European journal of finance
48
Journal of financial econometrics : official journal of the Society for Financial Econometrics
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
The journal of futures markets
45
Working paper
43
Econometric Institute research papers
41
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
41
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
34
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
33
International journal of economics and financial issues : IJEFI
33
Pacific-Basin finance journal
33
Quantitative finance
33
Journal of international money and finance
32
Review of quantitative finance and accounting
31
International journal of economics and finance
30
Cogent economics & finance
29
Journal of financial econometrics
29
The empirical economics letters : a monthly international journal of economics
28
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ECONIS (ZBW)
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1
An econometric analysis of volatility discovery
Dias, Gustavo Fruet
;
Papailias, Fotis
;
Scherrer, Cristina
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
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
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:
5
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
6
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:
7
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
Saved in:
8
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:
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
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
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