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~isPartOf:"The econometrics journal"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatilität"
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Zeitreihenanalyse
Volatility
30
Volatilität
30
ARCH model
13
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13
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13
Stochastic process
12
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Abadir, Karim Maher
1
Asai, Manabu
1
Barigozzi, Matteo
1
Berg, Andreas
1
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1
Götz, Thomas B.
1
Hallin, Marc
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1
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1
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1
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1
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The econometrics journal
Journal of econometrics
100
Discussion paper / Tinbergen Institute
76
Energy economics
67
International journal of forecasting
58
Economic modelling
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Journal of empirical finance
47
Finance research letters
39
Economics letters
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Journal of forecasting
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Applied economics
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Econometric reviews
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The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
28
International review of financial analysis
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Journal of financial econometrics
27
CREATES research paper
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Working paper
25
Journal of banking & finance
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
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Research in international business and finance
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17
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13
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12
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International Journal of Energy Economics and Policy : IJEEP
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ECONIS (ZBW)
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
3
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
4
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
Saved in:
5
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
6
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun
;
Perron, Pierre
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
Saved in:
7
Non-stationary non-parametric volatility model
Han, Heejoon
;
Zhang, Shen
- In:
The econometrics journal
15
(
2012
)
2
,
pp. 204-225
Persistent link: https://www.econbiz.de/10009614928
Saved in:
8
Testing for volatility interactions in the constant conditional correlation GARCH model
Nakatani, Tomoaki
;
Teräsvirta, Timo
- In:
The econometrics journal
12
(
2009
)
1
,
pp. 147-163
Persistent link: https://www.econbiz.de/10003841983
Saved in:
9
Multivariate stochastic volatility, leverage and news impact surfaces
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 292-309
Persistent link: https://www.econbiz.de/10003875671
Saved in:
10
Distinguishing short and long memory volatility specifications
Pong, Shiuyan
;
Shackleton, Mark B.
;
Taylor, Stephen
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10003802446
Saved in:
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