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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"ARCH-Modell"
~subject:"Schätzung"
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ARCH-Modell
Schätzung
Correlation
67
Korrelation
67
Estimation theory
35
Schätztheorie
35
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25
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25
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19
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19
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Engle, Robert F.
3
Tsay, Ruey S.
3
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2
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1
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Finance research letters
39
Economic modelling
38
Journal of empirical finance
29
Research in international business and finance
28
International review of economics & finance : IREF
26
Journal of banking & finance
26
Journal of econometrics
26
Applied economics
24
Economics letters
22
International review of financial analysis
22
Applied economics letters
21
Energy economics
21
Journal of international financial markets, institutions & money
20
Journal of international money and finance
17
Discussion paper / Tinbergen Institute
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15
The North American journal of economics and finance : a journal of financial economics studies
15
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14
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13
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The journal of futures markets
12
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11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
11
Computational economics
10
Econometric reviews
10
CREATES research paper
9
Cambridge working papers in economics
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of forecasting
9
Quantitative finance
9
The European journal of finance
9
Working paper / National Bureau of Economic Research, Inc.
9
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8
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
31
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1
Structural breaks in interactive effects panels and the stock market reaction to COVID-19
Karavias, Yiannis
;
Narayan, Paresh Kumar
;
Westerlund, Joakim
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 653-666
Persistent link: https://www.econbiz.de/10014448426
Saved in:
2
The incidental parameters problem in testing for remaining cross-section correlation
Juodis, Artūras
;
Reese, Simon
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1191-1203
Persistent link: https://www.econbiz.de/10013539484
Saved in:
3
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
4
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
Saved in:
5
A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
Saved in:
6
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
8
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
9
Change‐point detection in the conditional correlation structure of multivariate volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
Saved in:
10
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
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