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~subject:"Börsenkurs"
~subject:"Zeitreihenanalyse"
~isPartOf:"Journal of financial econometrics"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
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Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
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Cenesizoglu, Tolga
1
Dimpfl, Thomas
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Erdemlioglu, Deniz
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Fabozzi, Francesco A.
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Francq, Christian
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Grønneberg, Steffen
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Journal of financial econometrics
Finance research letters
72
Energy economics
69
Applied economics
65
International review of economics & finance : IREF
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Economic modelling
59
Journal of empirical finance
58
The North American journal of economics and finance : a journal of financial economics studies
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International journal of economics and financial issues : IJEFI
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Econometric reviews
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of economics and finance
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International journal of finance & economics : IJFE
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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1
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
5
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
6
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
7
Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue
;
Xie, Tian
;
Yu, Jun
;
Zhou, Qiankun
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
Saved in:
8
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
9
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
10
Forecasting VIX using filtered historical simulation
Jiang, Yushuang
;
Lazar, Emese
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 655-680
Persistent link: https://www.econbiz.de/10013349149
Saved in:
11
Dynamics of equity factor returns and asset pricing
Stoyanov, Stoyan V.
;
Fabozzi, Francesco A.
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 178-201
Persistent link: https://www.econbiz.de/10012504326
Saved in:
12
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
13
Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
Saved in:
14
Nonparametric dynamic conditional beta
Maheu, John M.
;
Zamenjani, Azam Shamsi
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 583-613
Persistent link: https://www.econbiz.de/10012654975
Saved in:
15
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
16
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao
;
Leng, Xuan
;
Liu, Xiaohui
;
Peng, Liang
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
Saved in:
17
A quantile regression approach to estimate the variance of financial returns
Baur, Dirk G.
;
Dimpfl, Thomas
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 616-644
Persistent link: https://www.econbiz.de/10012152237
Saved in:
18
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
19
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
Saved in:
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