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subject:"Konjunktur"
~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Share price"
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Search: subject_exact:"Spearman's rho"
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Konjunktur
ARCH model
Share price
Correlation
108
Korrelation
108
Estimation theory
51
Schätztheorie
51
Theorie
32
Theory
32
Time series analysis
25
Zeitreihenanalyse
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Autokorrelation
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Cointegration
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Kointegration
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English
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Aït-Sahalia, Yacine
1
Bauwens, Luc
1
Bollerslev, Tim
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chen, Xin
1
Chu, Amanda M. Y.
1
Harding, Don
1
Hollstein, Fabian
1
Hong, Yongmiao
1
Ikeda, Shin S.
1
Jarjour, Riad
1
Jin, Xin
1
Maheu, John M.
1
Noureldin, Diaa
1
Otranto, Edoardo
1
Pagan, Adrian R.
1
Palandri, Alessandro
1
Paolella, Marc S.
1
Patton, Andrew J.
1
Polak, Pawel
1
Quaedvlieg, Rogier
1
Shen, Haipeng
1
Shephard, Neil G.
1
Sheppard, Kevin
1
So, Mike Ka-pui
1
Tse, Yiu Kuen
1
Walker, Patrick S.
1
Wang, Dong
1
Wese Simen, Chardin
1
Xia, Yin
1
Xiu, Dacheng
1
Yan, Xu
1
Yang, Dan
1
Zhang, Lan
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Journal of econometrics
Finance research letters
41
Economic modelling
37
Journal of empirical finance
32
Research in international business and finance
28
International review of economics & finance : IREF
27
Journal of banking & finance
26
Applied economics
25
International review of financial analysis
25
Economics letters
22
Energy economics
22
Applied economics letters
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Journal of international financial markets, institutions & money
19
The North American journal of economics and finance : a journal of financial economics studies
19
Discussion paper / Tinbergen Institute
15
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
Computational economics
13
Journal of international money and finance
13
The journal of futures markets
13
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of risk and financial management : JRFM
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Working paper
11
CREATES research paper
10
Journal of economic dynamics & control
9
Journal of financial econometrics
9
Journal of financial economics
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NBER Working Paper
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CESifo working papers
8
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8
The European journal of finance
8
The empirical economics letters : a monthly international journal of economics
8
CORE discussion papers : DP
7
Discussion paper / Centre for Economic Policy Research
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International journal of forecasting
7
Journal of financial markets
7
Review of quantitative finance and accounting
7
Working paper series / University of Zurich, Department of Economics
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ECONIS (ZBW)
16
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1
Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin
;
Yang, Dan
;
Yan, Xu
;
Xia, Yin
;
Wang, Dong
; …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
Saved in:
2
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:
3
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:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
5
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
6
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:
7
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:
8
A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Ikeda, Shin S.
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 203-214
Persistent link: https://www.econbiz.de/10011704791
Saved in:
9
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin
;
Maheu, John M.
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
Saved in:
10
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
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