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~isPartOf:"Computational economics"
~isPartOf:"Journal of econometrics"
~language:"eng"
~subject:"ARCH-Modell"
~subject:"Statistische Verteilung"
~subject:"United States"
~type_genre:"Article in journal"
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ARCH-Modell
Statistische Verteilung
United States
Theorie
2,120
Theory
2,120
Estimation theory
1,708
Schätztheorie
1,708
Time series analysis
791
Zeitreihenanalyse
791
Nichtparametrisches Verfahren
565
Nonparametric statistics
565
Estimation
540
Schätzung
533
Regression analysis
492
Regressionsanalyse
492
Forecasting model
427
Prognoseverfahren
427
Volatility
425
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425
Statistical test
335
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324
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USA
256
Method of moments
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209
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205
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195
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195
Monte Carlo simulation
191
Monte-Carlo-Simulation
190
ARCH model
182
Cointegration
174
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172
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172
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171
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614
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4
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Francq, Christian
12
Bollerslev, Tim
10
Park, Joon Y.
9
Zakoïan, Jean-Michel
9
Slottje, Daniel Jonathan
8
Corradi, Valentina
7
McAleer, Michael
7
Dufour, Jean-Marie
6
Linton, Oliver
6
Zhu, Ke
6
Diebold, Francis X.
5
Dijk, Herman K. van
5
Ghysels, Eric
5
Ling, Shiqing
5
Maheu, John M.
5
Meddahi, Nour
5
Swanson, Norman R.
5
Chen, Cathy W. S.
4
Chen, Xiaohong
4
Engle, Robert F.
4
Hong, Yongmiao
4
Lewbel, Arthur
4
Paolella, Marc S.
4
Patton, Andrew J.
4
Renault, Eric
4
Sentana, Enrique
4
Steel, Mark F. J.
4
Todorov, Viktor
4
White, Halbert
4
Xiu, Dacheng
4
Zaffaroni, Paolo
4
Amengual, Dante
3
Andreou, Elena
3
Asai, Manabu
3
Aït-Sahalia, Yacine
3
Boutahar, Mohamed
3
Chang, Chia-Lin
3
Chang, Yoosoon
3
Fabozzi, Frank J.
3
Fiorentini, Gabriele
3
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National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Computational economics
Journal of econometrics
The American economic review
2,015
The review of economics and statistics
1,419
Applied economics
1,351
The review of financial studies
1,345
The journal of finance : the journal of the American Finance Association
1,311
American journal of agricultural economics
1,280
Economics letters
1,025
Journal of banking & finance
1,016
Economic review
924
Journal of financial economics
855
Economic inquiry : journal of the Western Economic Association International
846
Monthly labor review : MLR
845
National tax journal
840
The journal of futures markets
836
Journal of financial and quantitative analysis : JFQA
816
Southern economic journal
799
Journal of human resources : JHR
764
Journal of money, credit and banking : JMCB
708
The journal of economic perspectives : EP ; a journal of the American Economic Association
701
Energy economics
692
Journal of political economy
675
The journal of law & economics
638
The quarterly journal of economics
625
American economic journal : a journal of the American Economic Association
604
Challenge
600
ILR review : the journal of work and policy
591
Health affairs : at the intersection of health, health care, and policy
588
European journal of operational research : EJOR
587
Applied economics letters
575
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
560
Journal of labor economics
544
Journal of monetary economics
523
Journal of urban economics
519
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
515
Review / Federal Reserve Bank of St. Louis
506
Journal of economic issues : jei
498
Business economics : the journal of the National Association for Business Economists
492
Applied financial economics
481
Public choice
479
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ECONIS (ZBW)
614
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1
Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm
Liang, Rubing
;
Qin, Binbin
;
Xia, Qiang
- In:
Computational economics
63
(
2024
)
1
,
pp. 193-220
Persistent link: https://www.econbiz.de/10014472071
Saved in:
2
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
3
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
4
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
5
CO2 emission allowances risk prediction with gas and GARCH models
Trabelsi, Nader
;
Tiwari, Aviral Kumar
- In:
Computational economics
61
(
2023
)
2
,
pp. 775-805
Persistent link: https://www.econbiz.de/10014228462
Saved in:
6
Comparing out-of-sample performance of machine learning methods to forecast U.S. GDP growth
Chu, Ba
;
Qureshi, Shafiullah
- In:
Computational economics
62
(
2023
)
4
,
pp. 1567-1609
Persistent link: https://www.econbiz.de/10014437505
Saved in:
7
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
8
CRPS learning
Berrisch, Jonathan
;
Ziel, Florian
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014471798
Saved in:
9
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
10
DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha
;
Shin, Minchul
;
Tan, Fei
- In:
Computational economics
61
(
2023
)
1
,
pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
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