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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Korrelation"
~subject:"Share price"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
63
Research in international business and finance
59
International review of economics & finance : IREF
58
Energy economics
57
Applied economics
56
International review of financial analysis
50
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48
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48
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The North American journal of economics and finance : a journal of financial economics studies
45
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Journal of econometrics
32
Applied economics letters
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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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International journal of forecasting
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Discussion paper / Tinbergen Institute
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of forecasting
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of economics and financial issues : IJEFI
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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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Journal of financial econometrics
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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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
11
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:
12
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:
13
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:
14
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:
15
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
Saved in:
16
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 211-250
Persistent link: https://www.econbiz.de/10002214262
Saved in:
17
Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach
Goeij, Peter de
;
Marquering, Wessel A.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
4
,
pp. 531-564
Persistent link: https://www.econbiz.de/10002349838
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