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~subject:"Markov-Kette"
~subject:"Volatilität"
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Search: subject_exact:"GARCH model"
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Markov-Kette
Volatilität
ARCH model
10,138
ARCH-Modell
10,138
Volatility
6,169
Schätzung
2,877
Estimation
2,874
Theorie
2,567
Theory
2,565
Capital income
2,222
Kapitaleinkommen
2,222
Börsenkurs
2,182
Share price
2,179
Aktienmarkt
1,958
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1,958
Zeitreihenanalyse
1,768
Time series analysis
1,764
Prognoseverfahren
1,702
Forecasting model
1,700
Estimation theory
1,034
Schätztheorie
1,034
Spillover effect
1,017
Spillover-Effekt
1,017
Risikomaß
996
Risk measure
996
USA
929
GARCH
924
United States
921
Exchange rate
919
Wechselkurs
917
Welt
827
World
827
Correlation
797
Korrelation
797
Oil price
696
Ölpreis
696
Portfolio selection
657
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657
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614
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612
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554
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6,274
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26
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McAleer, Michael
124
Chang, Chia-Lin
64
Ma, Feng
60
Gupta, Rangan
59
Bauwens, Luc
42
Bouri, Elie
36
Caporale, Guglielmo Maria
33
Kumar, Dilip
32
Zhang, Yaojie
30
Engle, Robert F.
28
Teräsvirta, Timo
26
Hansen, Peter Reinhard
25
McMillan, David G.
25
Hafner, Christian M.
23
Herwartz, Helmut
23
Bollerslev, Tim
22
Hammoudeh, Shawkat
22
Kang, Sang Hoon
22
Wang, Yudong
22
Wei, Yu
22
Caporin, Massimiliano
21
Liang, Chao
21
Serletis, Apostolos
21
Conrad, Christian
20
Silvennoinen, Annastiina
20
Tiwari, Aviral Kumar
20
Wu, Xinyu
20
Yoon, Seong-min
20
Laurent, Sébastien
19
Molnár, Peter
19
Spagnolo, Nicola
19
Diebold, Francis X.
18
Floros, Christos
18
Koopman, Siem Jan
18
Mittnik, Stefan
18
Paolella, Marc S.
18
Andersen, Torben
17
Degiannakis, Stavros
17
Hamori, Shigeyuki
17
Huang, Zhuo
17
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National Bureau of Economic Research
13
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
8
Ekonomiska forskningsinstitutet <Stockholm>
5
Centre for Analytical Finance <Århus>
4
University of Canterbury / Dept. of Economics and Finance
4
Instituto Valenciano de Investigaciones Económicas
3
Brown University / Department of Economics
2
Econometrisch Instituut <Rotterdam>
2
Federal Reserve Bank of St. Louis
2
Gottfried Wilhelm Leibniz Universität Hannover
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Center for Economic Research <Tilburg>
1
Centre for Quantitative Economics & Computing
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Deutschland / Bundesministerium für Wirtschaft
1
Deutschland <Bundesrepublik> / Auswärtiges Amt
1
Deutschland <Bundesrepublik> / Bundesminister der Finanzen
1
Deutschland <Bundesrepublik> / Bundesminister für den Marshallplan
1
Erasmus Research Institute of Management
1
European University Institute / Department of Economics
1
Federal Reserve Bank of San Francisco
1
HFDF <2, 1998, Zürich>
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
London School of Economics and Political Science
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Rodney L. White Center for Financial Research
1
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1
School of Accounting, Finance and Economics <Perth, Western Australia>
1
School of Economics and Finance <Brisbane>
1
School of Finance and Business Economics <Perth, Western Australia>
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Springer Fachmedien Wiesbaden
1
Svenska Handelshögskolan <Helsinki>
1
The Wharton Financial Institutions Center
1
University of Strathclyde / Department of Economics
1
Universität Bremen / Fachbereich Wirtschaftswissenschaft
1
Université de Genève / Institut de hautes études internationales
1
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Energy economics
213
Finance research letters
128
Economic modelling
110
Applied economics
108
International review of financial analysis
105
The North American journal of economics and finance : a journal of financial economics studies
103
Journal of empirical finance
94
Research in international business and finance
92
International review of economics & finance : IREF
87
Journal of international financial markets, institutions & money
75
Journal of risk and financial management : JRFM
69
Journal of econometrics
68
International journal of forecasting
63
Applied financial economics
60
Journal of forecasting
59
Journal of banking & finance
56
Economics letters
54
Discussion paper / Tinbergen Institute
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Applied economics letters
50
International Journal of Energy Economics and Policy : IJEEP
48
Journal of financial econometrics : official journal of the Society for Financial Econometrics
42
Econometric Institute research papers
40
The journal of futures markets
40
The European journal of finance
39
Working paper
39
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
38
International journal of finance & economics : IJFE
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
35
International journal of economics and finance
33
International journal of economics and financial issues : IJEFI
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
30
Cogent economics & finance
29
Review of quantitative finance and accounting
28
The empirical economics letters : a monthly international journal of economics
28
Journal of international money and finance
27
Pacific-Basin finance journal
27
Journal of financial econometrics
25
Quantitative finance
24
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ECONIS (ZBW)
6,317
EconStor
2
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1
A GARCH model to understand the volatility of the electricity spot price in Brazil
Leite, André Luis da Silva
;
Lima, Marcus Vinicius …
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
5
,
pp. 332-338
Persistent link: https://www.econbiz.de/10014380829
Saved in:
2
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
Rezitis, Anthony N.
;
Andrikopoulos, Panagiotis
;
Daglis, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 451-483
Persistent link: https://www.econbiz.de/10014475504
Saved in:
3
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:
4
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:
5
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
6
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:
7
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:
8
Long-span multi-layer spillovers between moments of advanced equity markets : the role of climate risks
Foglia, Matteo
;
Plakandaras, Vasilios
;
Gupta, Rangan
; …
-
2024
Persistent link: https://www.econbiz.de/10014515694
Saved in:
9
Comparative analysis of the volatility structures of the stock prices of energy companies traded on the Kazakhstan stock exchange and international gold and oil prices
Sultanova, Zamzagul
;
Pazilov, Galimzhan A.
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 21-30
Persistent link: https://www.econbiz.de/10014481247
Saved in:
10
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
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