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isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"CREATES research paper"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Review of quantitative finance and accounting
CREATES research paper
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Energy economics
253
Finance research letters
176
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160
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155
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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21
On the pernicious effects of oil price uncertainty on US real economic activities
Charles, Amélie
;
Chua, Chew Lian
;
Darné, Olivier
; …
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
6
,
pp. 2689-2715
Persistent link: https://www.econbiz.de/10012498637
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22
Conditional dependence in post-crisis markets : dispersion and correlation skew trades
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
55
(
2020
)
2
,
pp. 389-426
Persistent link: https://www.econbiz.de/10012303884
Saved in:
23
Volatility and asymmetric dependence in Central and East European stock markets
Joseph, Nathan Lael
;
Vo, Thi Thuy Anh
;
Mobarek, Asma
; …
- In:
Review of quantitative finance and accounting
55
(
2020
)
4
,
pp. 1241-1303
Persistent link: https://www.econbiz.de/10012304151
Saved in:
24
Another look at value and momentum : volatility spillovers
Grobys, Klaus
;
Vähämaa, Sami
- In:
Review of quantitative finance and accounting
55
(
2020
)
4
,
pp. 1459-1479
Persistent link: https://www.econbiz.de/10012304196
Saved in:
25
Inflation volatility and inflation in the wake of the great recession
Çekin, Semih Emre
;
Valcarcel, Victor J.
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
4
,
pp. 1997-2015
Persistent link: https://www.econbiz.de/10012304370
Saved in:
26
Volatility discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
27
Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
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28
A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
29
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2015
Persistent link: https://www.econbiz.de/10010464687
Saved in:
30
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
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