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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"Korrelation"
~subject:"Schätztheorie"
~subject:"Share price"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Korrelation
Schätztheorie
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ARCH model
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ARCH-Modell
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Volatilität
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Estimation
42
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Engle, Robert F.
3
Chen, Yi-ting
2
Francq, Christian
2
Horváth, Lajos
2
Ur Rehman, Mobeen
2
Zakoïan, Jean-Michel
2
Ahoniemi, Katja
1
Al Rababa'a, Abdel Razzaq
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Al-Yahyaee, Khamis Hamed
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Alkhataybeh, Ahmad
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Alomari, Mohammad
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Apergēs, Nikolaos
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Audrino, Francesco
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Awartani, Basel
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Azhar Mohamad
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Bohl, Martin T.
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Boughrara, Adel
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Bourdeau-Brien, Michael
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Bouri, Elie
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Caldeira, João F.
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Caporin, Massimiliano
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Cappiello, Lorenzo
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Carnero, M. Angeles
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Chaiechi, Taha
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Chatzitzisi, Evanthia
1
Christoffersen, Peter F.
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Conrad, Christian A.
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Dahmene, Meriam
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Di, Jianing
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Dreassi, Alberto
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Durham, Garland
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Eagle, Lynne C.
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El-Nader, Ghaith
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Essid, Badye
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Fountas, Stilianos
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Fuertes, Ana María
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Gangopadhyay, Ashis
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Geweke, John
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Goeij, Peter de
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Finance research letters
75
Journal of econometrics
65
Applied economics
62
Research in international business and finance
61
International review of economics & finance : IREF
60
Energy economics
59
Journal of empirical finance
54
Economic modelling
52
International review of financial analysis
52
The North American journal of economics and finance : a journal of financial economics studies
48
Journal of international financial markets, institutions & money
45
Discussion paper / Tinbergen Institute
40
Economics letters
40
Journal of risk and financial management : JRFM
40
Econometric theory
38
Journal of banking & finance
37
Applied economics letters
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
35
International journal of forecasting
34
International Journal of Energy Economics and Policy : IJEEP
29
Journal of forecasting
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
International journal of economics and financial issues : IJEFI
22
The European journal of finance
22
Journal of financial econometrics
20
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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CREATES research paper
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Journal of risk
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Cogent economics & finance
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Computational economics
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Review of quantitative finance and accounting
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The empirical economics letters : a monthly international journal of economics
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Global business review
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The econometrics journal
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Applied financial economics
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1
Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets
Mensi, Walid
;
Ur Rehman, Mobeen
;
Maitra, Debasish
; …
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 139-157
Persistent link: https://www.econbiz.de/10014461547
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2
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
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3
Financial contagion in the futures markets amidst global geo-economic events
Zainudin, Ahmad Danial
;
Azhar Mohamad
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 288-308
Persistent link: https://www.econbiz.de/10012656295
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4
Geopolitical risk and volatility spillovers in oil and stock markets
Smales, L. A.
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 358-366
Persistent link: https://www.econbiz.de/10012655491
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5
Volatility spillover between exchange rate and stock returns under volatility shifts
Malik, Farooq
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 605-613
Persistent link: https://www.econbiz.de/10012655581
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6
Another look at calendar anomalies
Chatzitzisi, Evanthia
;
Fountas, Stilianos
; …
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 823-840
Persistent link: https://www.econbiz.de/10012655712
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7
Housing price dynamics : the impact of stock market sentiment and the spillover effect
Zheng, Yao
;
Osmer, Eric
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 854-867
Persistent link: https://www.econbiz.de/10012655714
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8
Correlations and volatility spillovers between China and Southeast Asian stock markets
Zhong, Yi
;
Liu, Jiapeng
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 57-69
Persistent link: https://www.econbiz.de/10012656194
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9
Examining the effects of news and media sentiments on volatility and correlation : evidence from the UK
Alomari, Mohammad
;
Al Rababa'a, Abdel Razzaq
;
El-Nader, …
- In:
The quarterly review of economics and finance : journal …
82
(
2021
),
pp. 280-297
Persistent link: https://www.econbiz.de/10013258478
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10
Dynamics and determinants of spillovers across the option-implied volatilities of US equities
Bouri, Elie
;
Lucey, Brian M.
;
Roubaud, David
- In:
The quarterly review of economics and finance : journal …
75
(
2020
),
pp. 257-264
Persistent link: https://www.econbiz.de/10012416566
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