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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
65
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
5
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
6
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
Exceedance correlation tests for financial returns
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
Saved in:
9
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
10
Component-wise representations of long-memory models and volatility prediction
Proietti, Tommaso
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 668-692
Persistent link: https://www.econbiz.de/10011623820
Saved in:
11
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
12
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
13
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
14
Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
Saved in:
15
Asymptotic properties of GARCH-X processes
Han, Heejoon
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
Saved in:
16
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
17
Long memory and periodicity in intraday volatility
Rossi, Eduardo
;
Fantazzini, Dean
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 922-961
Persistent link: https://www.econbiz.de/10011417840
Saved in:
18
One-step semiparametric estimation of the GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
Saved in:
19
Improving asset price prediction when all models are false
Durham, Garland
;
Geweke, John
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
Saved in:
20
The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
Saved in:
21
Component-driven regime-switching volatility
Fleming, Jeff
;
Kirby, Chris
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 263-301
Persistent link: https://www.econbiz.de/10009745892
Saved in:
22
Volatility threshold dynamic conditional correlations : an international analysis
Kasch-Haroutounian, Maria
;
Caporin, Massimiliano
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
4
,
pp. 706-742
Persistent link: https://www.econbiz.de/10010233862
Saved in:
23
GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji
;
Zhang, Jin E.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
3
,
pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
Saved in:
24
Statistical surveillance of volatility forecasting models
Golosnoy, Vasyl
;
Okhrin, Irena
;
Schmid, Wolfgang
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 513-543
Persistent link: https://www.econbiz.de/10009571510
Saved in:
25
Revisiting several popular GARCH models with leverage effect : differences and similarities
Rodríguez, María José
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 637-668
Persistent link: https://www.econbiz.de/10009671894
Saved in:
26
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
27
Forecasting intraday volatility in the US equity market : multiplicative component GARCH
Engle, Robert F.
;
Sokalska, Magdalena E.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 54-83
Persistent link: https://www.econbiz.de/10009519713
Saved in:
28
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
29
A new approach for the dynamics of ultra-high-frequency data : the model with uncertainty zones
Robert, Christian Yann
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 344-366
Persistent link: https://www.econbiz.de/10009125119
Saved in:
30
Robust value at risk prediction
Mancini, Loriano
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
Saved in:
31
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
32
Robust backtesting tests for value-at-risk models
Escanciano, J. Carlos
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 132-161
Persistent link: https://www.econbiz.de/10009125151
Saved in:
33
MCMC estimation of the COGARCH (1,1) model
Müller, Gernot
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
4
,
pp. 481-510
Persistent link: https://www.econbiz.de/10008665744
Saved in:
34
Shifts in individual parameters of a GARCH model
Galeano, Pedro
;
Tsay, Ruey S.
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 122-153
Persistent link: https://www.econbiz.de/10003997359
Saved in:
35
Structural conditional correlation
Weber, Enzo
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
Saved in:
36
Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 373-411
Persistent link: https://www.econbiz.de/10003907524
Saved in:
37
A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
Saved in:
38
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
39
The impact of shocks on higher moments
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
Saved in:
40
American option pricing using GARCH models and the normal inverse Gaussian distribution
Stentoft, Lars
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 540-582
Persistent link: https://www.econbiz.de/10003778987
Saved in:
41
Parameterizing unconditional skewness in models for financial time series
He, Changli
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 208-230
Persistent link: https://www.econbiz.de/10003687850
Saved in:
42
Detecting ARCH effects in non-Gaussian time series
Raunig, Burkhard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 271-289
Persistent link: https://www.econbiz.de/10003687945
Saved in:
43
A simple test for GARCH against a stochastic volatility model
Franses, Philip Hans
;
Leij, Marco van der
;
Paap, Richard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
3
,
pp. 291-306
Persistent link: https://www.econbiz.de/10003748059
Saved in:
44
Are there structural breaks in realized volatility?
Liu, Chun
;
Maheu, John M.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
3
,
pp. 326-360
Persistent link: https://www.econbiz.de/10003748061
Saved in:
45
A discrete and a continuous-time model based on a technical trading rule
Nicolau, João
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
2
,
pp. 266-284
Persistent link: https://www.econbiz.de/10003518341
Saved in:
46
Model-free versus model-based volatility prediction
Politis, Dimitris N.
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 358-389
Persistent link: https://www.econbiz.de/10003518495
Saved in:
47
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
4
,
pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
Saved in:
48
Dynamic asymmetric GARCH
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 385-412
Persistent link: https://www.econbiz.de/10003354083
Saved in:
49
Inequality constraints in the fractionally integrated GARCH model
Conrad, Christian A.
;
Haag, Berthold R.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 413-449
Persistent link: https://www.econbiz.de/10003354107
Saved in:
50
Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo
;
Engle, Robert F.
;
Sheppard, Kevin
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 537-572
Persistent link: https://www.econbiz.de/10003565737
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