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~isPartOf:"Journal of financial econometrics"
~subject:"CAPM"
~subject:"Theorie"
~subject:"Volatility"
~subject:"Welt"
~type_genre:"Article in journal"
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Search: subject_exact:"ARCH-Modell"
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CAPM
Theorie
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Welt
ARCH model
34
ARCH-Modell
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25
Capital income
18
Kapitaleinkommen
18
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Hansen, Peter Reinhard
2
Ledoit, Olivier
2
Wolf, Michael
2
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1
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1
Catania, Leopoldo
1
Cavicchioli, Maddalena
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1
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Journal of financial econometrics
Energy economics
241
Finance research letters
173
Applied economics
129
International review of financial analysis
126
Economic modelling
124
Journal of empirical finance
115
The North American journal of economics and finance : a journal of financial economics studies
109
Research in international business and finance
108
International review of economics & finance : IREF
104
Journal of econometrics
99
Journal of international financial markets, institutions & money
87
Journal of banking & finance
84
International journal of forecasting
81
Journal of risk and financial management : JRFM
75
Economics letters
72
Applied financial economics
70
Journal of forecasting
70
Applied economics letters
58
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
The European journal of finance
55
International Journal of Energy Economics and Policy : IJEEP
54
Journal of financial econometrics : official journal of the Society for Financial Econometrics
52
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
47
The journal of futures markets
47
International journal of finance & economics : IJFE
44
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
41
Econometric theory
40
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Journal of international money and finance
38
Econometric reviews
36
International journal of economics and financial issues : IJEFI
35
Cogent economics & finance
34
International journal of economics and finance
34
Computational economics
33
Review of quantitative finance and accounting
33
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
32
Journal of applied econometrics
31
Pacific-Basin finance journal
31
Quantitative finance
31
The empirical economics letters : a monthly international journal of economics
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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
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
5
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:
6
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
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
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:
10
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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