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subject:"ARCH-Modell"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Stochastic process"
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Search: subject_exact:"Market circuit breakers"
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ARCH-Modell
Stochastic process
Volatility
150
Volatilität
150
Theorie
72
Theory
72
Estimation
61
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61
Time series analysis
55
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Statistische Verteilung
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Chan, Joshua
3
Corsi, Fulvio
3
Koopman, Siem Jan
3
Li, Wai Keung
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Lucas, André
3
Tauchen, George Eugene
3
Todorov, Viktor
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2
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2
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2
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2
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1
Almeida, Caio
1
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1
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Chan, Wing Hong
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
232
Finance research letters
159
Journal of econometrics
152
International journal of theoretical and applied finance
138
Economic modelling
128
The North American journal of economics and finance : a journal of financial economics studies
123
Applied economics
120
International review of financial analysis
113
Journal of empirical finance
112
Quantitative finance
101
International review of economics & finance : IREF
99
Research in international business and finance
94
Discussion paper / Tinbergen Institute
93
Journal of banking & finance
87
Journal of risk and financial management : JRFM
86
Economics letters
76
Applied financial economics
74
Journal of international financial markets, institutions & money
74
Working paper
70
International journal of forecasting
69
The journal of futures markets
66
Journal of financial econometrics : official journal of the Society for Financial Econometrics
65
Journal of forecasting
64
Applied mathematical finance
63
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
62
Applied economics letters
60
Computational economics
59
Econometric reviews
58
Journal of economic dynamics & control
55
The European journal of finance
52
Journal of mathematical finance
50
The journal of computational finance
50
International Journal of Energy Economics and Policy : IJEEP
49
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Econometric Institute research papers
47
Finance and stochastics
47
Risks : open access journal
45
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
45
European journal of operational research : EJOR
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ECONIS (ZBW)
76
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1
A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
2
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:
3
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
4
Can a machine correct option pricing models?
Almeida, Caio
;
Fan, Jianqing
;
Freire, Gustavo
;
Tang, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 995-1009
Persistent link: https://www.econbiz.de/10014448492
Saved in:
5
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
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6
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:
7
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:
8
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
Saved in:
9
Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik
;
Braun, Robin
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 328-341
Persistent link: https://www.econbiz.de/10012804115
Saved in:
10
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
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