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~isPartOf:"Applied financial economics"
~isPartOf:"Journal of empirical finance"
~subject:"Börsenkurs"
~subject:"Correlation"
~subject:"United States"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
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Conrad, Christian
2
Dark, Jonathan
2
Degiannakis, Stavros
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Fałdziński, Marcin
2
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2
Karanasos, Menelaos
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Mazouz, Khelifa
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Applied financial economics
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67
Finance research letters
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Energy economics
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International review of economics & finance : IREF
61
International review of financial analysis
61
Research in international business and finance
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Economic modelling
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Journal of international financial markets, institutions & money
54
The North American journal of economics and finance : a journal of financial economics studies
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Applied economics letters
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International journal of forecasting
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Review of quantitative finance and accounting
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Cogent economics & finance
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The empirical economics letters : a monthly international journal of economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Global business review
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Pacific-Basin finance journal
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ECONIS (ZBW)
85
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
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
Saved in:
3
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
4
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima
- In:
Journal of empirical finance
70
(
2023
),
pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
Saved in:
5
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
6
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
7
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
8
Oil price shocks and the US stock market : a nonlinear approach
Hwang, Inwook
;
Kim, Jaebeom
- In:
Journal of empirical finance
64
(
2021
),
pp. 23-36
Persistent link: https://www.econbiz.de/10013259395
Saved in:
9
Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection
Fang, Tong
;
Lee, Tae-hwy
;
Su, Zhi
- In:
Journal of empirical finance
58
(
2020
),
pp. 36-49
Persistent link: https://www.econbiz.de/10012430452
Saved in:
10
Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
54
(
2019
),
pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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