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~isPartOf:"Journal of econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~language:"eng"
~subject:"Schätzung"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Schätzung
ARCH model
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Zakoïan, Jean-Michel
5
Francq, Christian
4
Kim, Donggyu
3
Rombouts, Jeroen V. K.
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Bollerslev, Tim
2
Dufays, Arnaud
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Polak, Pawel
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Bu, Ruijun
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Journal of econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
66
Applied economics
58
Finance research letters
54
Economic modelling
52
International review of economics & finance : IREF
46
International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of empirical finance
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36
Research in international business and finance
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Discussion paper / Tinbergen Institute
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International journal of forecasting
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of banking & finance
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The journal of futures markets
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Working paper
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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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Journal of risk
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Review of quantitative finance and accounting
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Econometric Institute research papers
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International Journal of Energy Economics and Policy : IJEEP
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The European journal of finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of financial econometrics
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Cogent economics & finance
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Journal of economics and finance
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Pacific-Basin finance journal
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CBN journal of applied statistics
12
Emerging markets, finance and trade : EMFT
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ECONIS (ZBW)
57
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1
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:
2
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
3
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
4
Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan
;
Kovačević, Jelena
;
Stankov, Biljana
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
Saved in:
5
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
6
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
7
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
8
Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Dhaoui, Abderrazak
;
Chevallier, Julien
;
Ma, Feng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012507450
Saved in:
9
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
10
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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