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~isPartOf:"Journal of empirical finance"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Zeitreihenanalyse"
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ARCH-Modell
Börsenkurs
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Statistical distribution
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Antypas, Antonios
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Journal of empirical finance
Journal of econometrics
46
Discussion paper / Tinbergen Institute
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International journal of forecasting
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Journal of forecasting
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Applied economics
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Economic modelling
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Finance research letters
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The European journal of finance
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Swiss Finance Institute Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
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Economics letters
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International review of financial analysis
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International journal of theoretical and applied finance
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Journal of international financial markets, institutions & money
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Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]
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Journal of economic dynamics & control
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Pacific-Basin finance journal
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Quantitative finance
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Risks : open access journal
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The econometrics journal
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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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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
2
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
3
Do financial variables help predict the conditional distribution of the market portfolio?
Zamenjani, Azam Shamsi
- In:
Journal of empirical finance
62
(
2021
),
pp. 327-345
Persistent link: https://www.econbiz.de/10012693441
Saved in:
4
Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits
Ji, Jingru
;
Wang, Donghua
;
Xu, Dinghai
;
Xu, Chi
- In:
Journal of empirical finance
57
(
2020
),
pp. 52-70
Persistent link: https://www.econbiz.de/10012430436
Saved in:
5
New evidence on asymmetric return-volume dependence and extreme movements
Wang, Yi-Chiuan
;
Wu, Jyh-lin
;
Lai, Yi-Hao
- In:
Journal of empirical finance
45
(
2018
),
pp. 212-227
Persistent link: https://www.econbiz.de/10012102448
Saved in:
6
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka
- In:
Journal of empirical finance
49
(
2018
),
pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Saved in:
7
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
8
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Saved in:
9
Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong
;
Li, Youwei
- In:
Journal of empirical finance
31
(
2015
),
pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
Saved in:
10
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
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