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  • Search: subject:"ARCH models"
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Year of publication
Subject
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ARCH models 57 Volatility 21 ARCH-Modell 20 ARCH model 19 Volatilität 15 ARCH Models 9 Estimation 9 Estimation theory 9 Schätztheorie 9 Schätzung 9 Börsenkurs 8 Share price 8 Time series analysis 8 Zeitreihenanalyse 8 volatility 7 Aktienmarkt 6 Stock market 6 Arch Models 4 Bootstrap 4 Capital income 4 GARCH models 4 Kapitaleinkommen 4 Theorie 4 Theory 4 Correlation 3 Financial market 3 Finanzmarkt 3 Forecasting 3 Forecasting model 3 GDP volatility 3 India 3 Indien 3 Korrelation 3 Markov chain 3 Markov regime switching models 3 Markov switching ARCH models 3 Prognoseverfahren 3 asymmetry 3 beta estimation 3 composite likelihood 3
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Online availability
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Free 49 Undetermined 26 CC license 1
Type of publication
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Article 45 Book / Working Paper 43
Type of publication (narrower categories)
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Article in journal 18 Aufsatz in Zeitschrift 18 Working Paper 10 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 2 Conference paper 1 Konferenzbeitrag 1
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Language
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English 44 Undetermined 44
Author
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Shephard, Neil 7 Sheppard, Kevin 7 Giraitis, Liudas 5 Teyssière, Gilles 5 Taylor, Stephen J. 4 Yadav, Pradeep K. 4 Zhang, Yuanyuan 4 Ehrmann, Michael 3 Kokoszka, Piotr 3 Leipus, Remigijus 3 Pakel, Cavit 3 Rashid, Abdul 3 Talmi, Jonathan 3 Bohn Nielsen, Heino 2 Brüggemann, Imke 2 Engle, Robert F. 2 Francq, Christian 2 Gajdka, Jerzy 2 Gürtler, Marc 2 Ibrahim, Sikiru O. 2 Kocaaslan, Ozge Kandemir 2 Nautz, Dieter 2 Rahbek, Anders 2 Rauh, Ronald 2 Schabek, Tomasz 2 Sucarrat, Genaro 2 Öner, Hakan 2 Öner, Selma 2 ANDRADE, MARINHO G. 1 Achibane, Khalid 1 Adcock, C. J. 1 Angelidis, Timotheos 1 Armitage, Seth 1 Ashley, Richard 1 Ashley, Richard A. 1 Beran, Jan 1 Brzeszczynski, Janusz 1 Brzeszczyński, Janusz 1 CATALÁN, BEATRIZ 1 Caetano, Sidney Martins 1
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Institution
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London School of Economics (LSE) 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Finance Research Centre, Oxford University 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 3 Department of Economics, Oxford University 2 Economics Group, Nuffield College, University of Oxford 2 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig 1 Department of Economics, University of Crete 1 Department of Economics, Virginia Polytechnic Institute and State University (Virginia Tech) 1 Département de Sciences Économiques, Université de Montréal 1 EconWPA 1 Econometric Society 1 European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ. 1 School of Accounting, Economics, and Finance, University of Wollongong 1 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 1 Society for Computational Economics - SCE 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 University of Bonn, Germany 1
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Published in...
All
Estudios de Economía Aplicada 4 LSE Research Online Documents on Economics 4 MPRA Paper 4 OFRC Working Papers Series 3 SFB 373 Discussion Paper 3 SFB 373 Discussion Papers 3 CFR Working Papers 2 CFR working paper 2 Economics Papers / Economics Group, Nuffield College, University of Oxford 2 Economics Series Working Papers / Department of Economics, Oxford University 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 The European Journal of Finance 2 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 1 Annals of the Institute of Statistical Mathematics 1 Applied Financial Economics 1 Applied economics letters 1 Asia-Pacific financial markets 1 Brazilian Journal of Rural Economy and Sociology (RESR) 1 Bulletin of the Czech Econometric Society 1 CBN Journal of Applied Statistics 1 CBN journal of applied statistics 1 CEPR Financial Markets Paper 1 CORE Discussion Papers 1 Cahiers de recherche 1 CoFE discussion papers 1 Computing in Economics and Finance 2006 1 Discussion Paper Serie B 1 ECB Working Paper 1 Econometric Reviews 1 Econometric Society 2004 Far Eastern Meetings 1 Econometrics 1 Economics Bulletin 1 Economics Working Papers / School of Accounting, Economics, and Finance, University of Wollongong 1 Emerging Markets Finance and Trade 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Finance and Stochastics 1 Financial Internet Quarterly 1 Financial internet quarterly 1 Giornale degli Economisti 1
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Source
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RePEc 58 ECONIS (ZBW) 21 EconStor 9
Showing 1 - 10 of 88
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Analysis of the correlation between China's soybean futures prices and import prices
Wang, Xinhua; Fuqiang, Guo - In: Applied economics letters 32 (2025) 19, pp. 2783-2788
Soybeans play a critical role in China's food system and hold significant importance in ensuring national food security. This study explores the correlation between soybean futures prices and international soybean import prices. It employs a time-series model to analyse the volatility of the...
Persistent link: https://www.econbiz.de/10015509083
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Network log-ARCH models for forecasting stock market volatility
Mattera, Raffaele; Otto, Philipp - In: International journal of forecasting 40 (2024) 4, pp. 1539-1555
Persistent link: https://www.econbiz.de/10015438451
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Symmetric and asymmetric volatility: Forecasting the Borsa Istanbul 100 index return volatility
Öner, Selma; Öner, Hakan - In: Financial Internet Quarterly 19 (2023) 1, pp. 48-56
The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric models cannot fully explain this vol- atility,...
Persistent link: https://www.econbiz.de/10015471875
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Symmetric and asymmetric volatility : forecasting the Borsa Istanbul 100 index return volatility
Öner, Selma; Öner, Hakan - In: Financial internet quarterly 19 (2023) 1, pp. 48-56
The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric models cannot fully explain this vol- atility,...
Persistent link: https://www.econbiz.de/10014281313
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Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
Bohn Nielsen, Heino; Rahbek, Anders - In: The econometrics journal 27 (2024) 1, pp. 107-125
Persistent link: https://www.econbiz.de/10014528095
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Volatility estimation when the zero-process is nonstationary
Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
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Conditional asymmetry in ARCH models
Royer, Julien - 2020
Persistent link: https://www.econbiz.de/10012429896
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Pedersen, … - In: Journal of econometrics 227 (2022) 1, pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
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Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model
Kumar, G. K. Chetan; Rangappa, K. B.; Suchitra S - In: Theoretical and applied economics : GAER review 29 (2022) 2/631, pp. 151-164
Persistent link: https://www.econbiz.de/10014325374
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