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source:"edz"
~language:"eng"
~source:"econis"
~subject:"Prognoseverfahren"
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Search: subject_exact:"ARCH-Modell"
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Prognoseverfahren
ARCH model
10,037
ARCH-Modell
10,037
Volatilität
6,117
Volatility
6,115
Estimation
2,848
Schätzung
2,847
Theorie
2,516
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2,516
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2,219
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2,219
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2,161
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2,161
Aktienmarkt
1,947
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1,947
Zeitreihenanalyse
1,756
Time series analysis
1,753
Forecasting model
1,689
Estimation theory
1,033
Schätztheorie
1,033
Spillover effect
1,017
Spillover-Effekt
1,017
Risikomaß
979
Risk measure
979
GARCH
924
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916
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910
Exchange rate
907
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907
Welt
819
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819
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795
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794
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694
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694
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649
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649
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599
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599
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Ma, Feng
56
Gupta, Rangan
42
Zhang, Yaojie
30
McAleer, Michael
28
Liang, Chao
20
Wei, Yu
19
Wang, Yudong
18
Caporin, Massimiliano
17
Degiannakis, Stavros
15
Kumar, Dilip
15
Molnár, Peter
15
Ardia, David
13
Chen, Cathy W. S.
13
Wu, Xinyu
13
Lu, Xinjie
12
Nonejad, Nima
12
Paolella, Marc S.
12
Ñíguez, Trino-Manuel
12
Catania, Leopoldo
11
Liu, Jing
11
Lux, Thomas
11
Wang, Jiqian
11
Blazsek, Szabolcs
10
Bouri, Elie
10
Li, Yan
10
Trojani, Fabio
10
Wahab, M. I. M.
10
Audrino, Francesco
9
Barigozzi, Matteo
9
Engle, Robert F.
9
Hallin, Marc
9
McMillan, David G.
9
Mittnik, Stefan
9
Ravazzolo, Francesco
9
Salisu, Afees A.
9
Segnon, Mawuli
9
Bollerslev, Tim
8
Chlebus, Marcin
8
Degiannakis, Stavros Antonios
8
Gallo, Giampiero M.
8
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Gottfried Wilhelm Leibniz Universität Hannover
2
Instituto Valenciano de Investigaciones Económicas
2
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1
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Federal Reserve Bank of San Francisco
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International Workshop on Statistics and Finance <1999, Hongkong>
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1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Westfälische Wilhelms-Universität Münster
1
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International journal of forecasting
77
Journal of forecasting
71
Energy economics
70
Finance research letters
50
The North American journal of economics and finance : a journal of financial economics studies
38
Applied economics
37
International review of financial analysis
37
Journal of empirical finance
33
International review of economics & finance : IREF
29
Economic modelling
26
Applied economics letters
21
Journal of econometrics
20
Journal of international financial markets, institutions & money
19
Applied financial economics
18
Journal of banking & finance
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Discussion paper / Tinbergen Institute
15
Economics letters
15
Department of Economics working paper series
14
International journal of finance & economics : IJFE
14
Quantitative finance
14
Research in international business and finance
14
The European journal of finance
14
Journal of risk and financial management : JRFM
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Computational economics
12
Journal of financial econometrics
11
Pacific-Basin finance journal
11
Risks : open access journal
11
Working paper
11
Working papers
11
Econometric Institute research papers
10
International Journal of Energy Economics and Policy : IJEEP
10
Journal of risk
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
International journal of economics and finance
8
Journal of applied econometrics
8
Journal of commodity markets
8
Econometric reviews
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ArchiDok
ECONIS (ZBW)
EconStor
27
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Improving volatility forecasts : evidence from range-based models
Fałdziński, Marcin
;
Fiszeder, Piotr
;
Molnár, Peter
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014445632
Saved in:
3
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
4
Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014505054
Saved in:
5
Bond indices maturities and changing macroeconomic conditions : evidence from South Africa
Moodley, Fabian
- In:
Journal of Economics and Financial Analysis
8
(
2024
)
1
,
pp. 57-73
Persistent link: https://www.econbiz.de/10014486924
Saved in:
6
The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Sheng, Lin Wen
;
Uddin, Mohammed Gazi Salah
;
Sen, Ding
; …
- In:
International review of financial analysis
91
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014446963
Saved in:
7
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
8
Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014521267
Saved in:
9
Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana
;
Russel, Edwin
;
Alam, Iskandar Ali
;
Widiarti
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
Saved in:
10
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Zhang, Yihuang
;
Cucuringu, Mihai
;
Qian, …
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
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