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~isPartOf:"Journal of banking & finance"
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Search: subject:"Zeitreihenanalyse"
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ARCH model
Time series analysis
107
Zeitreihenanalyse
107
Theorie
49
Theory
49
Volatility
34
Volatilität
34
Estimation
29
Schätzung
29
Forecasting model
24
Prognoseverfahren
24
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23
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22
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Hallin, Marc
6
Barigozzi, Matteo
3
Alj, Abdelkamel
1
Aramonte, Sirio
1
Audrino, Francesco
1
Azrak, Rajae
1
Barone-Adesi, Giovanni
1
Berger, Tino
1
Chen, Yi-Hsuan
1
Chiang, Thomas C.
1
Christiansen, Charlotte
1
Fernandez-Perez, Adrian
1
Giudice Rodriguez, Marius del
1
Green, Rikard
1
Hamori, Shigeyuki
1
Hilal, Sawsan
1
Hotta, Luiz K.
1
Härdle, Wolfgang
1
Indriawan, Ivan
1
Kourtis, Apostolos
1
La Vecchia, Davide
1
Larsson, Karl
1
Lunina, Veronika
1
Markellos, Raphaēl N.
1
Mazzeu, João H. G.
1
Mélard, Guy
1
Nilsson, Birger
1
Okimoto, Tatsuyoshi
1
Pereira, Pedro L. Valls
1
Perote, Javier
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1
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1
Sbrana, Giacomo
1
Silvestrini, Andrea
1
Symeonidis, Lazaros
1
Symitsi, Efthymia
1
Tawn, Jonathan
1
Tian, Shuairu
1
Trucios, Carlos
1
Trucíos, Carlos
1
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Journal of banking & finance
ECARES working paper
Discussion paper / Tinbergen Institute
42
Journal of econometrics
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
29
International journal of forecasting
29
Applied economics
27
Economics letters
26
Finance research letters
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
21
CREATES research paper
19
International review of financial analysis
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of forecasting
18
Working paper
18
Journal of risk and financial management : JRFM
17
Research in international business and finance
16
Econometric Institute research papers
15
Econometric reviews
15
International review of economics & finance : IREF
15
International Journal of Energy Economics and Policy : IJEEP
13
Journal of time series econometrics
13
The econometrics journal
13
Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Journal of financial econometrics
12
Computational economics
11
Journal of international financial markets, institutions & money
11
Journal of risk
11
Applied financial economics
10
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
CORE discussion papers : DP
8
International journal of finance & economics : IJFE
8
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
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ECONIS (ZBW)
22
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1
Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian
;
Indriawan, Ivan
;
Tse, Yiuman
; …
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
Saved in:
2
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
3
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
4
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
-
2018
Persistent link: https://www.econbiz.de/10012064840
Saved in:
5
VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi
;
Wang, Zerong
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
Saved in:
6
FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry
-
2015
Persistent link: https://www.econbiz.de/10011289172
Saved in:
7
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
-
2015
Persistent link: https://www.econbiz.de/10011289224
Saved in:
8
Semiparametrically efficient R-estimation for dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
-
2014
Persistent link: https://www.econbiz.de/10010418928
Saved in:
9
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
-
2014
Persistent link: https://www.econbiz.de/10010483698
Saved in:
10
On conditions in central limit theorems for martingale difference arrays long version
Alj, Abdelkamel
;
Azrak, Rajae
;
Mélard, Guy
-
2014
Persistent link: https://www.econbiz.de/10010378427
Saved in:
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