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subject:"Risk measure"
~isPartOf:"Journal of financial econometrics"
~subject:"Schätzung"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
Schätzung
ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
18
Kapitaleinkommen
18
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realized volatility
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Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Bee, Marco
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Cenesizoglu, Tolga
1
Chorro, Christophe
1
Dimpfl, Thomas
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Francq, Christian
1
Gorgi, P.
1
Grønneberg, Steffen
1
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1
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1
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Inoue, Atsushi
1
Jach, Agnieszka
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Janus, Paweł
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Kim, Minjoo
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Koopman, Siem Jan
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Liu, Jinjing
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Livieri, Giulia
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Lu, Jin
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Mancino, Maria Elvira
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Marmi, Stefano
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McElroy, Tucker
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Pelletier, Denis
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Peng, Shige
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Rahantamialisoa, H. Fanirisoa Zazaravaka
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Shin, Yongcheol
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Stander, Julian
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Sucarrat, Genaro
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Tong, Chen
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Toscano, Giacomo
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Trapin, Luca
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Wang, Tianyi
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Journal of financial econometrics
Energy economics
86
Applied economics
70
Finance research letters
69
Economic modelling
67
Journal of empirical finance
61
The North American journal of economics and finance : a journal of financial economics studies
59
International review of economics & finance : IREF
53
International review of financial analysis
53
Journal of international financial markets, institutions & money
43
Journal of risk and financial management : JRFM
42
Journal of banking & finance
41
International journal of forecasting
40
Research in international business and finance
40
Applied economics letters
35
Journal of econometrics
35
Journal of risk
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Discussion paper / Tinbergen Institute
30
Applied financial economics
29
International journal of economics and financial issues : IJEFI
27
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
The journal of futures markets
24
Journal of forecasting
23
Review of quantitative finance and accounting
22
The European journal of finance
22
Working paper
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Econometric Institute research papers
21
International journal of economics and finance
21
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
21
International journal of finance & economics : IJFE
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Economics letters
19
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
18
International Journal of Energy Economics and Policy : IJEEP
17
The journal of risk model validation
17
Working papers
17
Computational economics
16
Pacific-Basin finance journal
16
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ECONIS (ZBW)
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1
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
5
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
6
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
7
Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Shi, Yanlin
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1308-1345
Persistent link: https://www.econbiz.de/10014391461
Saved in:
8
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
9
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
10
Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
Chorro, Christophe
;
Rahantamialisoa, H. Fanirisoa Zazaravaka
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 902-941
Persistent link: https://www.econbiz.de/10013460032
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