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  • Search: isPartOf:"Journal of Financial Econometrics"
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Year of publication
Subject
All
Theorie 237 Theory 237 Volatility 186 Volatilität 186 Estimation theory 146 Schätztheorie 146 Estimation 141 Schätzung 141 ARCH model 110 ARCH-Modell 110 Forecasting model 109 Prognoseverfahren 109 Time series analysis 106 Zeitreihenanalyse 106 Capital income 105 Kapitaleinkommen 105 Börsenkurs 86 Share price 86 Stochastic process 80 Stochastischer Prozess 80 Portfolio selection 70 Portfolio-Management 70 Risikomaß 65 Risk measure 65 CAPM 59 Statistical distribution 51 Statistische Verteilung 51 Correlation 49 Korrelation 49 Risikoprämie 46 Risk premium 46 Statistical test 39 Statistischer Test 39 Bayes-Statistik 38 Bayesian inference 38 Nichtparametrisches Verfahren 37 Nonparametric statistics 37 Yield curve 36 Zinsstruktur 36 Option pricing theory 35
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Online availability
All
Undetermined 513 Free 27
Type of publication
All
Article 841 Book / Working Paper 10
Type of publication (narrower categories)
All
Article in journal 567 Aufsatz in Zeitschrift 567 Collection of articles of several authors 5 Sammelwerk 5 Aufsatzsammlung 4 Festschrift 3 Conference proceedings 1 Konferenzschrift 1
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Language
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English 569 Undetermined 282
Author
All
Ghysels, Eric 22 Canopius, Adam 21 Garcia, René 16 Engle, Robert F. 15 Gouriéroux, Christian 14 Gagliardini, Patrick 13 Monfort, Alain 12 Gallant, A. Ronald 11 Renault, Eric 11 Audrino, Francesco 10 Härdle, Wolfgang 10 Lunde, Asger 10 Trojani, Fabio 10 Antoine, Bertille 9 Corsi, Fulvio 9 Hasbrouck, Joel 8 Hautsch, Nikolaus 8 Maheu, John M. 8 Almeida, Caio 7 Ardison, Kym 7 Barndorff-Nielsen, Ole E. 7 Gallo, Giampiero M. 7 Koopman, Siem Jan 7 Olmo, Jose 7 Ruiz, Esther 7 Timmermann, Allan 7 White, Halbert 7 Wu, Liuren 7 Caporin, Massimiliano 6 Kleibergen, Frank 6 Laurent, Sébastien 6 Paolella, Marc S. 6 Proulx, Kevin 6 Teräsvirta, Timo 6 Francq, Christian 5 Hansen, Peter Reinhard 5 Herwartz, Helmut 5 Horváth, Lajos 5 Jondeau, Eric 5 Kong, Lingwei 5
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Published in...
All
Journal of financial econometrics : official journal of the Society for Financial Econometrics 370 Journal of Financial Econometrics 278 Journal of financial econometrics 203
Source
All
ECONIS (ZBW) 569 RePEc 278 OLC EcoSci 4
Showing 71 - 80 of 851
Cover Image
Forecasting under long memory
Hassler, Uwe; Pohle, Marc-Oliver - In: Journal of financial econometrics 21 (2023) 3, pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
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An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan; Hugonnier, Julien; Mancini, Loriano - In: Journal of financial econometrics 21 (2023) 3, pp. 810-851
Persistent link: https://www.econbiz.de/10014314823
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A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan; Lindsay, Kenneth A.; Xu, Lina - In: Journal of financial econometrics 21 (2023) 3, pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
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Multivariate fractional components analysis
Hartl, Tobias; Jucknewitz, Roland - In: Journal of financial econometrics 21 (2023) 3, pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
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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
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Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - In: Journal of financial econometrics 21 (2023) 1, pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
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Risk reduction and efficiency increase in large portfolios : gross-exposure constraints and shrinkage of the covariance matrix
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - In: Journal of financial econometrics 21 (2023) 1, pp. 73-105
Persistent link: https://www.econbiz.de/10013542850
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Volatility estimation and forecasts based on price durations
Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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Option prices and the probability of success of cash mergers
Bester, C. Alan; Martinez, Victor H.; Roşu, Ioanid - In: Journal of financial econometrics 21 (2023) 1, pp. 145-186
Persistent link: https://www.econbiz.de/10013542856
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