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~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Laurent, Sébastien"
~subject:"ARCH-Modell"
~type_genre:"Article in journal"
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ARCH-Modell
Theorie
98
Theory
98
Portfolio selection
77
Portfolio-Management
77
USA
43
United States
43
Volatility
41
Volatilität
41
Option pricing theory
35
Optionspreistheorie
35
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29
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29
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26
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26
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26
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Fabozzi, Frank J.
Laurent, Sébastien
Ma, Feng
60
McAleer, Michael
49
Gupta, Rangan
41
Bouri, Elie
31
Kumar, Dilip
31
Zhang, Yaojie
30
McMillan, David G.
28
Serletis, Apostolos
27
Kang, Sang Hoon
26
Hammoudeh, Shawkat
24
Tiwari, Aviral Kumar
24
Wang, Yudong
24
Degiannakis, Stavros
23
Francq, Christian
23
Hamori, Shigeyuki
23
Wei, Yu
23
Yoon, Seong-min
23
Hafner, Christian M.
21
Liang, Chao
21
Nguyen, Duc Khuong
21
Zakoïan, Jean-Michel
20
Floros, Christos
19
Teräsvirta, Timo
19
Wu, Xinyu
19
Caporin, Massimiliano
18
Chiang, Thomas C.
18
Guesmi, Khaled
18
Mensi, Walid
18
Xuan Vinh Vo
18
Brooks, Robert
17
Chevallier, Julien
17
Choudhry, Taufiq
17
Engle, Robert F.
17
Karanasos, Menelaos
17
Hsing, Yu
16
Huang, Zhuo
16
Malik, Farooq
16
Asai, Manabu
15
Bauwens, Luc
15
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Journal of applied econometrics
3
Journal of banking & finance
3
Journal of econometrics
3
Computational economics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Annals of economics and finance
1
Econometric theory
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
European economic review : EER
1
European financial management : the journal of the European Financial Management Association
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic dynamics & control
1
Journal of economic surveys
1
Journal of empirical finance
1
Journal of time series econometrics
1
The journal of fixed income
1
The journal of futures markets
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ECONIS (ZBW)
29
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1
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1
Quasi score-driven models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
2
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
3
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
4
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
5
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
6
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
Saved in:
7
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
- In:
Econometric theory
33
(
2017
)
3
,
pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
Saved in:
8
On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.
;
Laurent, Sébastien
;
Palm, Franz C.
- In:
Journal of time series econometrics
8
(
2016
)
2
,
pp. 91-113
Persistent link: https://www.econbiz.de/10011582755
Saved in:
9
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
2
,
pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
Saved in:
10
On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
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