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  • Search: subject:"ARCH model"
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Year of publication
Subject
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ARCH model 11,483 ARCH-Modell 11,462 Volatilität 7,168 Volatility 7,167 Theorie 3,215 Theory 3,215 Estimation 2,910 Schätzung 2,910 Zeitreihenanalyse 2,343 Time series analysis 2,338 Börsenkurs 2,194 Share price 2,194 Capital income 2,193 Kapitaleinkommen 2,193 Prognoseverfahren 1,991 Forecasting model 1,990 Aktienmarkt 1,971 Stock market 1,971 Estimation theory 1,523 Schätztheorie 1,523 Risikomaß 1,126 Risk measure 1,126 Spillover effect 1,114 Spillover-Effekt 1,114 Welt 1,081 World 1,081 Exchange rate 1,059 Wechselkurs 1,059 GARCH 996 USA 962 United States 957 Correlation 953 Korrelation 953 Portfolio selection 854 Portfolio-Management 854 Aktienindex 812 Stock index 812 Risk 798 Risiko 791 Financial market 722
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Online availability
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Free 3,786 Undetermined 3,420 CC license 374
Type of publication
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Article 7,798 Book / Working Paper 3,724
Type of publication (narrower categories)
All
Article in journal 7,459 Aufsatz in Zeitschrift 7,459 Graue Literatur 1,828 Non-commercial literature 1,828 Working Paper 1,818 Arbeitspapier 1,815 Aufsatz im Buch 273 Book section 273 Hochschulschrift 136 Thesis 107 Conference paper 46 Konferenzbeitrag 46 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 25 Sammelwerk 25 Aufsatzsammlung 15 Bibliografie enthalten 13 Bibliography included 13 Systematic review 11 Übersichtsarbeit 11 Konferenzschrift 10 Lehrbuch 9 Case study 8 Fallstudie 8 Textbook 8 Dissertation u.a. Prüfungsschriften 6 Forschungsbericht 6 Rezension 4 Conference proceedings 3 Amtsdruckschrift 2 Article 2 Government document 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1 Festschrift 1
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Language
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English 11,392 German 51 Undetermined 28 Spanish 22 French 13 Polish 6 Portuguese 4 Czech 2 Bulgarian 1 Hungarian 1 Italian 1 Romanian 1 Swedish 1 Turkish 1 Chinese 1
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Author
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McAleer, Michael 223 Chang, Chia-Lin 91 Gupta, Rangan 89 Hafner, Christian M. 68 Bauwens, Luc 66 Engle, Robert F. 63 Teräsvirta, Timo 60 Caporale, Guglielmo Maria 59 Caporin, Massimiliano 57 Ma, Feng 51 Karanasos, Menelaos 50 Francq, Christian 47 Rombouts, Jeroen V. K. 45 Bouri, Elie 44 Herwartz, Helmut 42 Asai, Manabu 41 Bollerslev, Tim 41 Conrad, Christian 41 Laurent, Sébastien 41 Paolella, Marc S. 40 Kang, Sang Hoon 39 Linton, Oliver 39 Rahbek, Anders 39 Zakoïan, Jean-Michel 38 Serletis, Apostolos 35 Kumar, Dilip 33 McMillan, David G. 33 Ardia, David 32 Degiannakis, Stavros 31 Allen, David E. 30 Christoffersen, Peter F. 30 Koopman, Siem Jan 29 Saikkonen, Pentti 29 Spagnolo, Nicola 29 Hansen, Peter Reinhard 28 Lucas, André 28 Lütkepohl, Helmut 28 Mittnik, Stefan 28 Silvennoinen, Annastiina 28 Salisu, Afees A. 27
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Institution
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National Bureau of Economic Research 21 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 16 Ekonomiska forskningsinstitutet <Stockholm> 14 Centre for Analytical Finance <Århus> 10 Econometrisch Instituut <Rotterdam> 8 University of Canterbury / Dept. of Economics and Finance 8 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Instituto Valenciano de Investigaciones Económicas 6 Shakai-Keizai-Kenkyūsho <Osaka> 6 European University Institute / Department of Economics 3 National Institute of Economic and Social Research 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Brown University / Department of Economics 2 Center for Economic Research <Tilburg> 2 Econometric Society 2 Federal Reserve Bank of St. Louis 2 Gottfried Wilhelm Leibniz Universität Hannover 2 HFDF <2, 1998, Zürich> 2 London School of Economics and Political Science 2 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 2 Queen Mary College / Department of Economics 2 School of Finance and Business Economics <Perth, Western Australia> 2 Springer Fachmedien Wiesbaden 2 Svenska Handelshögskolan <Helsinki> 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2 Université de Montréal / Département de sciences économiques 2 William Davidson Institute <Ann Arbor, Mich.> 2 Banca nazionale del lavoro / Ufficio scenari economici 1 Banca nazionale del lavoro / Ufficio studi 1 Bank of Canada 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Deakin University 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, University of Waterloo 1 Economic Growth Center, Economics Department 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 Erasmus Research Institute of Management 1
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Published in...
All
Energy economics 269 Finance research letters 209 Journal of econometrics 173 Economic modelling 169 Applied economics 164 International review of economics & finance : IREF 139 International review of financial analysis 139 Journal of empirical finance 138 Research in international business and finance 133 The North American journal of economics and finance : a journal of financial economics studies 128 Economics letters 122 Journal of banking & finance 117 Discussion paper / Tinbergen Institute 116 International journal of forecasting 112 Journal of forecasting 111 Applied financial economics 103 Journal of international financial markets, institutions & money 103 Journal of risk and financial management : JRFM 91 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 87 Applied economics letters 84 The European journal of finance 84 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 83 Econometric theory 80 The journal of futures markets 79 Journal of financial econometrics : official journal of the Society for Financial Econometrics 75 Working paper 74 Econometric Institute research papers 69 International Journal of Energy Economics and Policy : IJEEP 68 Computational economics 57 International journal of finance & economics : IJFE 55 Econometric reviews 54 CREATES research paper 53 International journal of economics and financial issues : IJEFI 52 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 51 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 51 Journal of international money and finance 50 Cogent economics & finance 49 Review of quantitative finance and accounting 48 International journal of economics and finance 46 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 44
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Source
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ECONIS (ZBW) 11,472 RePEc 32 USB Cologne (EcoSocSci) 9 EconStor 5 BASE 2 ArchiDok 2
Showing 21 - 30 of 11,522
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When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall
Luo, Yi; Xue, Xiaohan; Izzeldin, Marwan - 2025
Persistent link: https://www.econbiz.de/10015339158
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2025
Persistent link: https://www.econbiz.de/10015339180
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Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications
Escobar, Marcos; Yang, Yu-Jung; Zagst, Rudi - 2025
Persistent link: https://www.econbiz.de/10015374358
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The implications of non-synchronous trading in G-7 financial markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025
Persistent link: https://www.econbiz.de/10015337909
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Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information
Buyun, Xu; Wu, Zhimin - 2025
Persistent link: https://www.econbiz.de/10015372603
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A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures
Liu, Junjie; Zhou, Qingnan; Chen, Zhenlong - 2025
Persistent link: https://www.econbiz.de/10015374491
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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - 2025
This paper studies the volatility of electricity spot prices in the Nordic market (Sweden, Finland, Denmark, and Norway) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, we provide strong evidence of nonlinear regime...
Persistent link: https://www.econbiz.de/10015358886
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Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models
Gherghina, Ştefan Cristian; Constantinescu, … - 2025
The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia-Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by...
Persistent link: https://www.econbiz.de/10015358888
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Twitter-based market uncertainty and global stock volatility predictability
Ma, Yong; Li, Shuaibing; Zhou, Mingtao - 2025
Persistent link: https://www.econbiz.de/10015337993
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Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions
Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025
Persistent link: https://www.econbiz.de/10015371777
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