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~isPartOf:"Journal of financial econometrics"
~subject:"Estimation theory"
~subject:"Theorie"
~subject:"Welt"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Estimation theory
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ARCH model
34
ARCH-Modell
34
Volatility
25
Volatilität
25
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18
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18
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Ledoit, Olivier
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Journal of financial econometrics
Journal of econometrics
105
Energy economics
100
Journal of empirical finance
74
Finance research letters
71
Applied economics
67
Econometric theory
62
International journal of forecasting
61
Economics letters
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Economic modelling
55
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of forecasting
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Journal of banking & finance
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The North American journal of economics and finance : a journal of financial economics studies
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Research in international business and finance
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International review of financial analysis
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International review of economics & finance : IREF
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Econometric reviews
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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The European journal of finance
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Journal of international financial markets, institutions & money
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The econometrics journal
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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 applied econometrics
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Journal of risk
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Journal of international money and finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
20
Applied financial economics
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International journal of economics and financial issues : IJEFI
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International journal of finance & economics : IJFE
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Journal of economic dynamics & control
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Journal of time series econometrics
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Econometrics : open access journal
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Risks : open access journal
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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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