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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Applied economics"
~language:"eng"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Estimation theory
49
Schätztheorie
49
Estimation
15
Schätzung
15
Zeitreihenanalyse
11
ARCH model
7
ARCH-Modell
7
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Nichtparametrisches Verfahren
6
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3
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Tobit model
3
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Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
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Article in journal
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Blazsek, Szabolcs
2
Kim, Jong-Min
2
Licht, Adrian
2
Ahmad, Yamin
1
Ayala, Astrid Loretta
1
Bampinas, Georgios
1
Chen, W. D.
1
Emirmahmutoglu, Furkan
1
Hwang, Sun Young
1
Jung, Hojin
1
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1
Lo, Ming Chien
1
Lopes, Artur C. B. da Silva
1
Malloch, H.
1
Moosa, Imad A.
1
Omay, Tolga
1
Panagiōtidēs, Theodōros
1
Philip, R.
1
Qin, Li
1
Satchell, Stephen
1
Shahzad, Syed Jawad Hussain
1
Staveley-O'Carroll, Olena M.
1
Zsurkis, Gabriel Florin
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Applied economics
Journal of econometrics
189
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
Econometric reviews
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Economics letters
51
International journal of forecasting
44
Econometric theory
43
Journal of time series econometrics
38
Computational economics
29
Economic modelling
23
Finance research letters
23
The econometrics journal
20
Applied economics letters
18
Journal of empirical finance
16
Journal of financial econometrics
16
Journal of forecasting
14
Quantitative finance
14
The North American journal of economics and finance : a journal of financial economics studies
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Journal of quantitative economics
12
Energy economics
10
European journal of operational research : EJOR
8
Journal of banking & finance
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of computational economics and econometrics : IJCEE
6
International journal of economics and finance
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of international financial markets, institutions & money
6
Journal of risk
6
Research in international business and finance
6
Theoretical economics letters
6
Finance and stochastics
5
Insurance / Mathematics & economics
5
The journal of risk model validation
5
International journal of financial engineering
4
International journal of production economics
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1
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:
2
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
3
Comparison of optimization algorithms for selecting the fractional frequency in Fourier form unit root tests
Omay, Tolga
;
Emirmahmutoglu, Furkan
;
Shahzad, Syed …
- In:
Applied economics
53
(
2021
)
7
,
pp. 761-780
Persistent link: https://www.econbiz.de/10012416087
Saved in:
4
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
5
Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva
;
Zsurkis, Gabriel Florin
- In:
Applied economics
51
(
2019
)
22
,
pp. 2355-2376
Persistent link: https://www.econbiz.de/10012196696
Saved in:
6
Nonlinearities in the real exchange rates : new evidence from developed and developing countries
Ahmad, Yamin
;
Lo, Ming Chien
;
Staveley-O'Carroll, Olena M.
- In:
Applied economics
51
(
2019
)
25
,
pp. 2731-2743
Persistent link: https://www.econbiz.de/10012196737
Saved in:
7
A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios
;
Ladopoulos, Konstantinos
; …
- In:
Applied economics
50
(
2018
)
34/35
,
pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
Saved in:
8
Blaming suicide on NASA and divorce on margarine : the hazard of using cointegration to derive inference on spurious correlation
Moosa, Imad A.
- In:
Applied economics
49
(
2017
)
15
,
pp. 1483-1490
Persistent link: https://www.econbiz.de/10011813612
Saved in:
9
Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min
;
Jung, Hojin
;
Qin, Li
- In:
Applied economics
48
(
2016
)
16/18
,
pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
Saved in:
10
Decomposing the bias in time-series estimates of CAPM betas
Malloch, H.
;
Philip, R.
;
Satchell, Stephen
- In:
Applied economics
48
(
2016
)
43/45
,
pp. 4291-4298
Persistent link: https://www.econbiz.de/10011640063
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