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type:"article"
type_genre:"Article in journal"
~accessRights:"restricted"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
4,612
Schätztheorie
4,612
Estimation
1,117
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1,096
Time series analysis
882
Zeitreihenanalyse
882
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849
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Francq, Christian
9
Kumar, Dilip
8
Ardia, David
5
Sucarrat, Genaro
5
Zakoïan, Jean-Michel
5
Kim, Jong-Min
4
Li, Dong
4
Ling, Shiqing
4
Rahbek, Anders
4
Zhu, Ke
4
Arvanitis, Stelios
3
Bauwens, Luc
3
Blazsek, Szabolcs
3
Carnero, M. Angeles
3
Escribano, Álvaro
3
Hafner, Christian M.
3
Jung, Hojin
3
Kim, Donggyu
3
Li, Guodong
3
Licht, Adrian
3
Luger, Richard
3
Lütkepohl, Helmut
3
Otranto, Edoardo
3
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3
Teräsvirta, Timo
3
Wu, Xinyu
3
Zhang, Rongmao
3
Ñíguez, Trino-Manuel
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2
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2
Bluteau, Keven
2
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2
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2
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2
Engle, Robert F.
2
Escobar, Marcos
2
Gozgor, Giray
2
Hoogerheide, Lennart
2
Irungu, Irene W.
2
Jiang, Feiyu
2
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Journal of econometrics
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Economics letters
13
International journal of forecasting
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Finance research letters
11
Econometric reviews
10
Journal of risk
10
Journal of time series econometrics
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics
7
Journal of mathematical finance
7
Journal of empirical finance
6
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5
Econometric theory
5
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4
Journal of forecasting
4
The econometrics journal
4
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4
Theoretical economics letters
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3
Journal of economic dynamics & control
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of international financial markets, institutions & money
3
The European journal of finance
3
Annals of financial economics
2
Applied economics letters
2
Energy economics
2
Insurance / Mathematics & economics
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International journal of economics and finance
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International journal of finance & economics : IJFE
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International review of economics & finance : IREF
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Journal of international trade & commerce
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Journal of risk : JOR
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Research in international business and finance
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Review of Pacific Basin financial markets and policies
2
South Asian journal of macroeconomics and public finance
2
The journal of prediction markets
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
280
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
5
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
6
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
7
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
8
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
9
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
10
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
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