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~isPartOf:"Journal of financial econometrics"
~subject:"Börsenkurs"
~subject:"Zeitreihenanalyse"
~subject:"realized volatility"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
Zeitreihenanalyse
realized volatility
ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
18
Kapitaleinkommen
18
Theorie
17
Theory
17
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14
Time series analysis
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Estimation theory
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Schätztheorie
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Portfolio selection
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Analysis of variance
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value-at-risk
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Aktienmarkt
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Measurement
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Multivariate Analyse
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Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Bee, Marco
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Cucuringu, Mihai
1
Dimpfl, Thomas
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Fabozzi, Francesco A.
1
Francq, Christian
1
Gorgi, P.
1
Grønneberg, Steffen
1
Hansen, Anne Lundgaard
1
Huang, Haitao
1
Huang, Zhuo
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Janus, Paweł
1
Jiang, Yushuang
1
Koopman, Siem Jan
1
Lazar, Emese
1
Leng, Xuan
1
Lilla, Francesca
1
Liu, Qiang
1
Liu, Xiaohui
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Liu, Zhi
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Livieri, Giulia
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Lu, Jin
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Maheu, John M.
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Mancino, Maria Elvira
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Marmi, Stefano
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McElroy, Tucker
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Pelletier, Denis
1
Peng, Liang
1
Qian, Zhongmin
1
Qiu, Yue
1
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Journal of financial econometrics
Finance research letters
74
Applied economics
69
Energy economics
69
International review of economics & finance : IREF
60
Economic modelling
59
Journal of empirical finance
58
The North American journal of economics and finance : a journal of financial economics studies
57
Journal of econometrics
54
Research in international business and finance
54
Discussion paper / Tinbergen Institute
50
International review of financial analysis
49
Journal of risk and financial management : JRFM
46
International journal of forecasting
41
Journal of international financial markets, institutions & money
41
Economics letters
37
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
37
Journal of forecasting
35
Applied economics letters
33
Journal of banking & finance
32
International Journal of Energy Economics and Policy : IJEEP
29
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Working paper
24
International journal of economics and financial issues : IJEFI
23
Econometric Institute research papers
22
CREATES research paper
21
Applied financial economics
19
Cogent economics & finance
19
Econometric reviews
19
International journal of economics and finance
19
International journal of finance & economics : IJFE
19
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
18
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
18
Econometrics : open access journal
16
Review of quantitative finance and accounting
16
The European journal of finance
16
Computational economics
15
Global business review
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ECONIS (ZBW)
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1
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Zhang, Yihuang
;
Cucuringu, Mihai
;
Qian, …
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
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
Volatility bursts : a discrete-time option model with multiple volatility components
Lilla, Francesca
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 678-713
Persistent link: https://www.econbiz.de/10014314782
Saved in:
9
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:
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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