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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH model"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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ARCH model
Option pricing theory
Stochastic process
Volatility
104
Volatilität
104
ARCH-Modell
45
Theorie
44
Theory
44
Estimation
42
Schätzung
42
Time series analysis
34
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34
Capital income
26
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26
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23
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stochastic volatility
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Blazsek, Szabolcs
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Chan, Jennifer So Kuen
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Chevallier, Julien
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Haas, Markus
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Kok Haur Ng
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Peiris, Shelton
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
256
Finance research letters
207
International journal of theoretical and applied finance
181
Journal of econometrics
166
Quantitative finance
140
Economic modelling
135
Journal of banking & finance
135
The North American journal of economics and finance : a journal of financial economics studies
135
Applied economics
132
International review of financial analysis
132
International review of economics & finance : IREF
125
Journal of empirical finance
124
The journal of futures markets
117
Discussion paper / Tinbergen Institute
103
Research in international business and finance
102
Applied mathematical finance
91
Journal of risk and financial management : JRFM
91
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
Economics letters
82
Applied financial economics
77
Journal of international financial markets, institutions & money
77
Working paper
77
International journal of forecasting
74
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
Computational economics
72
The journal of computational finance
72
The European journal of finance
71
Journal of forecasting
69
Applied economics letters
67
Journal of financial econometrics : official journal of the Society for Financial Econometrics
67
Journal of economic dynamics & control
64
Risks : open access journal
61
Finance and stochastics
60
Econometric reviews
59
Journal of mathematical finance
57
International journal of financial engineering
55
Review of derivatives research
55
European journal of operational research : EJOR
54
International Journal of Energy Economics and Policy : IJEEP
52
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ECONIS (ZBW)
65
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1
Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
Saved in:
2
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
Volatility and dependence in cryptocurrency and financial markets : a copula approach
Liu, Jinan
;
Serletis, Apostolos
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 119-149
Persistent link: https://www.econbiz.de/10014506890
Saved in:
5
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan
;
Kovačević, Jelena
;
Stankov, Biljana
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
Saved in:
8
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
9
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
10
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
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