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~isPartOf:"Journal of financial econometrics"
~subject:"Börsenkurs"
~subject:"Multivariate Analyse"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
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ARCH model
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Volatility
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Capital income
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Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
De Nard, Gianluca
1
Dimpfl, Thomas
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Erdemlioglu, Deniz
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Fabozzi, Francesco A.
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Francq, Christian
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Grønneberg, Steffen
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Sucarrat, Genaro
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Journal of financial econometrics
Finance research letters
74
Energy economics
72
Applied economics
68
Journal of econometrics
64
Economic modelling
61
International review of economics & finance : IREF
61
Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Research in international business and finance
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Discussion paper / Tinbergen Institute
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International review of financial analysis
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Journal of risk and financial management : JRFM
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International journal of forecasting
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Journal of international financial markets, institutions & money
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Economics letters
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Journal of banking & finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Applied economics letters
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International Journal of Energy Economics and Policy : IJEEP
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of forecasting
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Econometric Institute research papers
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Working paper
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CREATES research paper
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Econometric reviews
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International journal of economics and financial issues : IJEFI
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Applied financial economics
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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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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Cogent economics & finance
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Computational economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Econometric theory
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Econometrics : open access journal
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Review of quantitative finance and accounting
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ECONIS (ZBW)
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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 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
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
Saved in:
8
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
Saved in:
9
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
10
Forecasting VIX using filtered historical simulation
Jiang, Yushuang
;
Lazar, Emese
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 655-680
Persistent link: https://www.econbiz.de/10013349149
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