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subject:"Kapitaleinkommen"
~person:"Kumar, Dilip"
~subject:"Time series analysis"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Kapitaleinkommen
Time series analysis
ARCH model
32
ARCH-Modell
32
Volatility
32
Volatilität
32
Estimation
20
Schätzung
20
Capital income
18
Forecasting model
15
Prognoseverfahren
15
Estimation theory
12
Schätztheorie
12
Zeitreihenanalyse
9
Aktienmarkt
7
Ausreißer
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Forecast evaluation
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Outliers
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Stock market
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Structural break
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Strukturbruch
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Börsenkurs
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India
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Indien
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Share price
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Spillover effect
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Spillover-Effekt
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Volatility modeling
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Oil price
5
Theorie
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Theory
5
Volatility forecasting
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Ölpreis
5
Bias
4
Exchange rate
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4
Risk measure
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Structural breaks
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Systematischer Fehler
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Kumar, Dilip
McAleer, Michael
62
Gupta, Rangan
46
Teräsvirta, Timo
34
Engle, Robert F.
26
Bauwens, Luc
24
Caporin, Massimiliano
23
Ma, Feng
21
Bouri, Elie
20
Lütkepohl, Helmut
20
Chang, Chia-Lin
18
Huang, Zhuo
18
Koopman, Siem Jan
18
Allen, David E.
16
Lucas, André
16
Saikkonen, Pentti
16
Hafner, Christian M.
15
Hansen, Peter Reinhard
15
Paolella, Marc S.
15
Chiang, Thomas C.
14
Asai, Manabu
13
Conrad, Christian
13
Francq, Christian
13
Mittnik, Stefan
13
Silvennoinen, Annastiina
13
Zhang, Yaojie
13
Ardia, David
12
Bollerslev, Tim
12
Nielsen, Morten Ørregaard
12
Rodriguez, Gabriel
12
Rombouts, Jeroen V. K.
12
Sheppard, Kevin
12
Brooks, Robert
11
Elyasiani, Elyas
11
Floros, Christos
11
Haas, Markus
11
Hallin, Marc
11
Lanne, Markku
11
Laurent, Sébastien
11
Medeiros, Marcelo C.
11
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Economic modelling
3
International review of economics & finance : IREF
3
Global business review
2
IIMB management review
2
Journal of quantitative economics
2
The journal of prediction markets
2
Theoretical economics letters
2
American journal of finance and accounting
1
Decision
1
International review of financial analysis
1
Margin: the journal of applied economic research
1
Paradigm : the journal of Institute of Management Technology
1
Review of accounting & finance
1
Studies in economics and finance
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
24
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1
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
2
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
3
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
4
Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect : an individual stock level study with economic sig...
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
The quarterly review of economics and finance : journal …
77
(
2020
),
pp. 271-285
Persistent link: https://www.econbiz.de/10012431113
Saved in:
5
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
6
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
8
Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator
Kumar, Dilip
;
Maheswaran, Srinivasan
- In:
Studies in economics and finance
34
(
2017
)
4
,
pp. 506-526
Persistent link: https://www.econbiz.de/10011961097
Saved in:
9
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Kumar, Dilip
- In:
IIMB management review
29
(
2017
)
4
,
pp. 294-310
Persistent link: https://www.econbiz.de/10011879691
Saved in:
10
Realized volatility transmission from crude oil to equity sectors : a study with economic significance analysis
Kumar, Dilip
- In:
International review of economics & finance : IREF
49
(
2017
),
pp. 149-167
Persistent link: https://www.econbiz.de/10011748390
Saved in:
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