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~isPartOf:"Journal of financial econometrics"
~subject:"Estimation theory"
~subject:"GARCH"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Estimation theory
GARCH
Theorie
Welt
ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
Capital income
18
Kapitaleinkommen
18
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17
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14
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realized volatility
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26
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Ledoit, Olivier
2
Wolf, Michael
2
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1
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1
Catania, Leopoldo
1
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1
Cenesizoglu, Tolga
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of financial econometrics
Energy economics
120
Journal of econometrics
108
Finance research letters
101
Applied economics
83
Journal of empirical finance
82
International journal of forecasting
66
Economics letters
63
Econometric theory
62
The North American journal of economics and finance : a journal of financial economics studies
60
Economic modelling
59
International review of economics & finance : IREF
58
Journal of banking & finance
57
Journal of forecasting
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Research in international business and finance
55
Journal of risk and financial management : JRFM
52
International review of financial analysis
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
The European journal of finance
44
Journal of international financial markets, institutions & money
41
Econometric reviews
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
38
Applied economics letters
35
International Journal of Energy Economics and Policy : IJEEP
35
The econometrics journal
34
Computational economics
29
Journal of applied econometrics
25
International journal of finance & economics : IJFE
24
Journal of international money and finance
24
International journal of economics and financial issues : IJEFI
23
Journal of risk
23
Risks : open access journal
23
Cogent economics & finance
22
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Journal of time series econometrics
21
Quantitative finance
21
Applied financial economics
20
Econometrics : open access journal
19
Journal of economic dynamics & control
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ECONIS (ZBW)
26
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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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