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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Applied economics"
~subject:"Monte Carlo simulation"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Monte Carlo simulation
Time series analysis
Estimation theory
49
Schätztheorie
49
Estimation
15
Schätzung
15
Zeitreihenanalyse
11
ARCH model
7
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7
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6
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Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
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Blazsek, Szabolcs
2
Kim, Jong-Min
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Licht, Adrian
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Andor, Mark Andreas
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Ayala, Astrid Loretta
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Bampinas, Georgios
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Applied economics
Journal of econometrics
203
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
74
Econometric reviews
65
Economics letters
59
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
58
International journal of forecasting
44
Econometric theory
43
Journal of time series econometrics
39
Computational economics
37
Economic modelling
27
Finance research letters
24
Applied economics letters
21
The econometrics journal
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Journal of financial econometrics
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of empirical finance
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European journal of operational research : EJOR
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The North American journal of economics and finance : a journal of financial economics studies
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8
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7
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7
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6
International journal of economics and finance
6
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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
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The journal of computational finance
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
International journal of computational economics and econometrics : IJCEE
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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
Variation in standard errors in event-study design : insights from empirical studies and simulations
Li, Yang
- In:
Applied economics
55
(
2023
)
5
,
pp. 518-530
Persistent link: https://www.econbiz.de/10013494437
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Pseudolikelihood estimation of the stochastic frontier model
Andor, Mark Andreas
;
Parmeter, Christopher F.
- In:
Applied economics
49
(
2017
)
55
,
pp. 5651-5661
Persistent link: https://www.econbiz.de/10011845285
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