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isPartOf:"The econometrics journal"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Markov chain"
~subject:"Schätztheorie"
~subject:"Statistischer Test"
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Search: subject_exact:"ARCH-Modell"
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Markov chain
Schätztheorie
Statistischer Test
ARCH model
163
ARCH-Modell
163
Volatility
114
Volatilität
114
Estimation
49
Schätzung
49
Capital income
48
Kapitaleinkommen
48
Börsenkurs
41
Share price
41
Forecasting model
40
Prognoseverfahren
40
Theorie
40
Theory
40
Aktienmarkt
34
Stock market
34
Time series analysis
34
Zeitreihenanalyse
34
Spillover effect
32
Spillover-Effekt
32
Risikomaß
27
Risk measure
27
Estimation theory
23
GARCH
23
Welt
19
World
19
Portfolio selection
18
Portfolio-Management
18
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16
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China
13
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12
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38
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English
38
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Chen, Cathy W. S.
2
Hafner, Christian M.
2
Preminger, Arie
2
Čížek, Pavel
2
Abadir, Karim Maher
1
Alañón Pardo, Ángel
1
Ardia, David
1
Arellano, Miguel Ataurima
1
Arvanitis, Stelios
1
Auer, Benjamin R.
1
Bauwens, Luc
1
Chang, Kuang-Liang
1
Chuang, Wen-i
1
Coudin, Elise
1
Degenhardt, Thomas
1
Dellaportas, P.
1
Du, Zaichao
1
Dufour, Jean-Marie
1
Díaz-Mendoza, Ana-Carmen
1
Dēmos, Antōnēs A.
1
Guillén, Montserrat
1
Hammoudeh, Shawkat
1
Herwartz, Helmut
1
Ho, Kin-Yip
1
Horváth, Roman
1
Huang, Da
1
Huang, Teng-ching
1
Hubner, Stefan
1
Härdle, Wolfgang
1
Jiang, Yong
1
Khalifa, Ahmed A. A.
1
Kheifets, Igor L.
1
Koh, You-Beng
1
Lee, Sangyeol
1
Li, Leon
1
Li, Mingge
1
Lin, Bing-huei
1
Lin, Ling
1
Lin, Tsai-Yu
1
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1
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The econometrics journal
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
58
Econometric theory
42
Economics letters
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
International journal of forecasting
27
Journal of empirical finance
24
Energy economics
22
Applied economics
21
Discussion paper / Tinbergen Institute
21
Econometric reviews
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Economic modelling
20
Finance research letters
20
Journal of forecasting
18
CREATES research paper
17
Journal of banking & finance
16
CORE discussion papers : DP
13
Journal of risk
13
Applied economics letters
12
Journal of financial econometrics
12
The European journal of finance
12
International journal of economics and financial issues : IJEFI
11
International review of economics & finance : IREF
11
Journal of risk and financial management : JRFM
11
Journal of time series econometrics
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Computational economics
10
Econometrics : open access journal
9
International Journal of Energy Economics and Policy : IJEEP
9
International review of financial analysis
8
Journal of economic dynamics & control
8
Journal of mathematical finance
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International journal of economics and finance
7
Quantitative finance
7
SFB 649 discussion paper
7
The journal of risk model validation
7
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ECONIS (ZBW)
38
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
A novel estimation of time-varying quantile correlation for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
Saved in:
4
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
5
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
Saved in:
6
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
7
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
8
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
Saved in:
9
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
10
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
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