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  • Search: subject:"ARCH-Modell"
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Year of publication
Subject
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ARCH-Modell 11,901 ARCH model 11,697 Volatilität 7,429 Volatility 7,361 Theorie 3,359 Theory 3,282 Schätzung 3,025 Estimation 2,973 Zeitreihenanalyse 2,434 Time series analysis 2,395 Börsenkurs 2,275 Kapitaleinkommen 2,249 Share price 2,242 Capital income 2,240 Prognoseverfahren 2,099 Forecasting model 2,070 Aktienmarkt 2,028 Stock market 2,015 Schätztheorie 1,562 Estimation theory 1,553 Risikomaß 1,158 Spillover-Effekt 1,153 Risk measure 1,152 Spillover effect 1,148 Welt 1,118 World 1,110 Wechselkurs 1,092 Exchange rate 1,078 GARCH 1,072 USA 1,005 Korrelation 988 Correlation 979 United States 968 Portfolio-Management 887 Portfolio selection 884 Aktienindex 843 Risiko 831 Risk 830 Stock index 829 Finanzmarkt 757
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Online availability
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Free 4,077 Undetermined 3,529 CC license 416
Type of publication
All
Article 8,008 Book / Working Paper 3,913
Type of publication (narrower categories)
All
Article in journal 7,659 Aufsatz in Zeitschrift 7,659 Working Paper 2,021 Graue Literatur 1,845 Non-commercial literature 1,845 Arbeitspapier 1,831 Aufsatz im Buch 281 Book section 281 Hochschulschrift 136 Thesis 106 Conference paper 47 Konferenzbeitrag 47 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 25 Sammelwerk 25 Aufsatzsammlung 15 Bibliografie enthalten 14 Bibliography included 14 Systematic review 12 Übersichtsarbeit 12 Konferenzschrift 10 Lehrbuch 9 Case study 8 Fallstudie 8 Textbook 8 Article 7 Dissertation u.a. Prüfungsschriften 6 Forschungsbericht 6 Rezension 4 Conference proceedings 3 Amtsdruckschrift 2 Doctoral Thesis 2 Government document 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1
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Language
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English 11,812 German 55 Spanish 23 French 13 Polish 6 Portuguese 4 Czech 2 Undetermined 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 228 Gupta, Rangan 101 Chang, Chia-Lin 92 Hafner, Christian M. 72 Bauwens, Luc 68 Teräsvirta, Timo 66 Caporale, Guglielmo Maria 63 Engle, Robert F. 63 Caporin, Massimiliano 58 Karanasos, Menelaos 55 Conrad, Christian 52 Ma, Feng 52 Bouri, Elie 50 Herwartz, Helmut 47 Francq, Christian 46 Rombouts, Jeroen V. K. 46 Bollerslev, Tim 42 Laurent, Sébastien 42 Asai, Manabu 41 Kang, Sang Hoon 41 Paolella, Marc S. 41 Linton, Oliver 39 Rahbek, Anders 39 Zakoïan, Jean-Michel 38 McMillan, David G. 35 Serletis, Apostolos 35 Ardia, David 34 Degiannakis, Stavros 34 Kumar, Dilip 33 Saikkonen, Pentti 33 Christoffersen, Peter F. 32 Mittnik, Stefan 32 Allen, David E. 31 Koopman, Siem Jan 31 Silvennoinen, Annastiina 30 Hansen, Peter Reinhard 29 Lucas, André 29 Salisu, Afees A. 29 Spagnolo, Nicola 29 Lütkepohl, Helmut 28
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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 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 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 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 Erasmus Research Institute of Management 1 Fachhochschule Stralsund / Fachbereich Wirtschaft 1 Federal Reserve Bank of San Francisco 1 HFDF <1, 1995, Zürich> 1 International Center for Financial Asset Management and Engineering 1 International Workshop on Statistics and Finance <1999, Hongkong> 1 Konjunkturinstitutet <Stockholm> 1 Leibniz-Institut für Agrarentwicklung in Transformationsökonomien 1
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Published in...
All
Energy economics 272 Finance research letters 218 Journal of econometrics 173 Applied economics 172 Economic modelling 170 International review of economics & finance : IREF 147 Journal of empirical finance 141 International review of financial analysis 139 Research in international business and finance 133 The North American journal of economics and finance : a journal of financial economics studies 128 Economics letters 127 Journal of forecasting 123 International journal of forecasting 122 Discussion paper / Tinbergen Institute 117 Journal of banking & finance 117 Journal of international financial markets, institutions & money 105 Applied financial economics 103 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 92 Journal of risk and financial management : JRFM 91 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 89 The journal of futures markets 89 Applied economics letters 85 The European journal of finance 84 Econometric theory 82 Working paper 77 Journal of financial econometrics : official journal of the Society for Financial Econometrics 75 International Journal of Energy Economics and Policy : IJEEP 74 Econometric Institute research papers 69 International journal of finance & economics : IJFE 59 Computational economics 57 Econometric reviews 54 CREATES research paper 53 International journal of economics and financial issues : IJEFI 52 Journal of international money and finance 52 Cogent economics & finance 51 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 Review of quantitative finance and accounting 48 Quantitative finance 47 International journal of economics and finance 46
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Source
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ECONIS (ZBW) 11,706 EconStor 200 USB Cologne (EcoSocSci) 9 OLC EcoSci 4 ArchiDok 2
Showing 1 - 10 of 11,921
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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - In: Risks : open access journal 13 (2025) 3, pp. 1-19
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, … - In: Risks : open access journal 13 (2025) 3, pp. 1-43
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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Volatility estimation through stochastic processes : evidence from cryptocurrencies
Harasheh, Murad; Bouteska, Ahmed - In: The North American journal of economics and finance : a … 75 (2025) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10015359903
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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; … - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-45
Persistent link: https://www.econbiz.de/10015371777
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Market broadening and future volatility : a study of Russell 2000 and S&P 500 equal weight ETFs
Valadkhani, Abbas; O'Mahony, Barry - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015372579
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Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information
Buyun, Xu; Wu, Zhimin - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-35
Persistent link: https://www.econbiz.de/10015372603
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Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications
Escobar, Marcos; Yang, Yu-Jung; Zagst, Rudi - In: The North American journal of economics and finance : a … 77 (2025), pp. 1-32
Persistent link: https://www.econbiz.de/10015374358
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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 - In: The North American journal of economics and finance : a … 77 (2025), pp. 1-16
Persistent link: https://www.econbiz.de/10015374491
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Shortages and machine-learning forecasting of oil returns volatility : 1900-2024
Polat, Onur; Somani, Dhanashree; Gupta, Rangan; … - In: Finance research letters 79 (2025), pp. 1-7
Persistent link: https://www.econbiz.de/10015420864
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Navigating crude oil volatility forecasts : assessing the contribution of geopolitical risk
Delis, Panagiotis; Degiannakis, Stavros; Filis, George - 2025
Persistent link: https://www.econbiz.de/10015422736
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