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~isPartOf:"Journal of financial econometrics"
~subject:"Börsenkurs"
~subject:"Multivariate Analyse"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
Multivariate Analyse
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Zeitreihenanalyse
ARCH model
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ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
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Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Bee, Marco
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Chorro, Christophe
1
De Nard, Gianluca
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Dimpfl, Thomas
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Dupuis, Debbie J.
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Erdemlioglu, Deniz
1
Fabozzi, Francesco A.
1
Francq, Christian
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Gorgi, P.
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Grønneberg, Steffen
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Huang, Haitao
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Huang, Zhuo
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Ibrushi, Denada
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Inoue, Atsushi
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Jach, Agnieszka
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Janus, Paweł
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Jiang, Yushuang
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Koopman, Siem Jan
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Lazar, Emese
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Ledoit, Olivier
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Leng, Xuan
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Liu, Qiang
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Liu, Xiaohui
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Maheu, John M.
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Marmi, Stefano
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McElroy, Tucker
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Pelletier, Denis
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Peng, Liang
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Qiu, Yue
1
Rahantamialisoa, H. Fanirisoa Zazaravaka
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Journal of financial econometrics
Energy economics
112
Finance research letters
100
Applied economics
97
Economic modelling
86
International review of economics & finance : IREF
79
The North American journal of economics and finance : a journal of financial economics studies
76
International review of financial analysis
75
Journal of empirical finance
75
Research in international business and finance
72
Journal of econometrics
71
Discussion paper / Tinbergen Institute
60
Journal of risk and financial management : JRFM
58
Journal of international financial markets, institutions & money
57
International journal of forecasting
54
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Applied economics letters
49
Economics letters
48
Journal of banking & finance
48
Journal of financial econometrics : official journal of the Society for Financial Econometrics
43
International Journal of Energy Economics and Policy : IJEEP
41
Econometric Institute research papers
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
Working paper
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Journal of forecasting
36
Applied financial economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
33
International journal of economics and financial issues : IJEFI
33
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
30
International journal of economics and finance
28
The European journal of finance
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International journal of finance & economics : IJFE
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Econometric reviews
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The journal of futures markets
26
CREATES research paper
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Cogent economics & finance
23
Computational economics
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Review of quantitative finance and accounting
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The empirical economics letters : a monthly international journal of economics
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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
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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
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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
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6
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:
7
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:
8
Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue
;
Xie, Tian
;
Yu, Jun
;
Zhou, Qiankun
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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9
Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
Chorro, Christophe
;
Rahantamialisoa, H. Fanirisoa Zazaravaka
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 902-941
Persistent link: https://www.econbiz.de/10013460032
Saved in:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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