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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of risk"
~subject:"Estimation"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Estimation
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ARCH model
74
ARCH-Modell
74
Volatility
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32
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Wu, Xinyu
3
Hansen, Peter Reinhard
2
Ledoit, Olivier
2
Wolf, Michael
2
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1
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1
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1
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Journal of financial econometrics
Journal of risk
Energy economics
141
Finance research letters
97
Applied economics
94
Journal of empirical finance
83
Economic modelling
78
Journal of econometrics
76
International review of financial analysis
72
The North American journal of economics and finance : a journal of financial economics studies
72
Research in international business and finance
68
International review of economics & finance : IREF
60
Journal of international financial markets, institutions & money
59
International journal of forecasting
58
Journal of banking & finance
56
Economics letters
51
Journal of risk and financial management : JRFM
50
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Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
39
The European journal of finance
39
Econometric theory
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Applied financial economics
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International Journal of Energy Economics and Policy : IJEEP
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International journal of finance & economics : IJFE
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The journal of futures markets
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International journal of economics and financial issues : IJEFI
28
Journal of applied econometrics
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Journal of international money and finance
26
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Review of quantitative finance and accounting
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International journal of economics and finance
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Quantitative finance
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The econometrics journal
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ECONIS (ZBW)
51
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1
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
5
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
6
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1680-1727
Persistent link: https://www.econbiz.de/10014444717
Saved in:
7
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
8
Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Shi, Yanlin
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1308-1345
Persistent link: https://www.econbiz.de/10014391461
Saved in:
9
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
Saved in:
10
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
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