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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"ARCH model"
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Volatility
Zeitreihenanalyse
ARCH model
287
ARCH-Modell
287
Volatilität
199
Estimation
95
Schätzung
95
Capital income
82
Kapitaleinkommen
82
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77
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Huang, Zhuo
4
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4
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4
Kumar, Dilip
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3
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3
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2
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2
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2
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2
Fałdziński, Marcin
2
Fiszeder, Piotr
2
Gallo, Giampiero M.
2
Gupta, Rangan
2
Ho, Kin-Yip
2
Huo, Rui
2
Jayawardena, Nirodha I.
2
Joëts, Marc
2
Karanasos, Menelaos
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Li, Bin
2
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2
Lin, Xiaoqiang
2
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2
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2
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2
Min, Hong-ghi
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Molnár, Peter
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2
Shi, Yanlin
2
Stentoft, Lars
2
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2
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2
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2
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2
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HFDF <2, 1998, Zürich>
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Economic modelling
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213
Finance research letters
135
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114
International review of financial analysis
106
The North American journal of economics and finance : a journal of financial economics studies
106
Research in international business and finance
96
International review of economics & finance : IREF
88
Journal of econometrics
86
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73
International journal of forecasting
67
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61
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58
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56
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46
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
39
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39
International journal of finance & economics : IJFE
38
The journal of futures markets
38
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
36
International journal of economics and financial issues : IJEFI
36
International journal of economics and finance
35
CREATES research paper
30
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
30
The empirical economics letters : a monthly international journal of economics
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Cogent economics & finance
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Pacific-Basin finance journal
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Econometric reviews
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ECONIS (ZBW)
214
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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
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
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
The effects of economic uncertainty on financial volatility : a comprehensive investigation
Tong, Chen
;
Huang, Zhuo
;
Wang, Tianyi
;
Zhang, Cong
- In:
Journal of empirical finance
73
(
2023
),
pp. 369-389
Persistent link: https://www.econbiz.de/10014477040
Saved in:
5
The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants
Pan, Beier
- In:
Economic modelling
124
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463273
Saved in:
6
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:
7
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:
8
Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals
Stindl, Tom
- In:
Journal of empirical finance
70
(
2023
),
pp. 182-198
Persistent link: https://www.econbiz.de/10014423627
Saved in:
9
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:
10
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
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