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subject:"Time series analysis"
~isPartOf:"Applied economics"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of financial econometrics"
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Search: subject_exact:"ARCH-Modell"
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Time series analysis
ARCH model
330
ARCH-Modell
330
Volatility
233
Volatilität
233
Estimation
116
Schätzung
116
Capital income
96
Kapitaleinkommen
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Blazsek, Szabolcs
3
Kim, Jong-Min
3
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2
Lazar, Emese
2
Licht, Adrian
2
Abuzayed, Bana
1
Al-Fayoumi, Nedal
1
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1
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Applied economics
International review of financial analysis
Journal of financial econometrics
Discussion paper / Tinbergen Institute
42
Journal of econometrics
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
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International journal of forecasting
29
Economics letters
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Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The North American journal of economics and finance : a journal of financial economics studies
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International Journal of Energy Economics and Policy : IJEEP
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Journal of time series econometrics
13
The econometrics journal
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Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Computational economics
11
Journal of international financial markets, institutions & money
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Journal of risk
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10
Econometric theory
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
CORE discussion papers : DP
8
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International journal of finance & economics : IJFE
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
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1
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
2
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
3
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:
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
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
8
Causality between volatility and the weekly economic index during COVID-19 : the predictive power of efficient markets and rational expectations
Cooray, Arusha
;
Gangopadhyay, Partha
;
Das, Narasingha
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467255
Saved in:
9
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
10
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
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