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  • Search: subject:"ARCH-Modell"
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Year of publication
Subject
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ARCH-Modell 11,703 ARCH model 11,500 Volatilität 7,265 Volatility 7,198 Theorie 3,300 Theory 3,223 Schätzung 2,968 Estimation 2,916 Zeitreihenanalyse 2,383 Time series analysis 2,344 Börsenkurs 2,233 Kapitaleinkommen 2,208 Share price 2,200 Capital income 2,199 Prognoseverfahren 2,031 Forecasting model 2,002 Aktienmarkt 1,991 Stock market 1,978 Schätztheorie 1,535 Estimation theory 1,526 Risikomaß 1,134 Risk measure 1,129 Spillover-Effekt 1,123 Spillover effect 1,118 Welt 1,092 World 1,084 Wechselkurs 1,078 Exchange rate 1,064 GARCH 1,039 USA 995 Korrelation 968 Correlation 959 United States 958 Portfolio-Management 863 Portfolio selection 860 Aktienindex 829 Stock index 815 Risiko 805 Risk 804 Finanzmarkt 740
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Online availability
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Free 3,979 Undetermined 3,427 CC license 386
Type of publication
All
Article 7,823 Book / Working Paper 3,899
Type of publication (narrower categories)
All
Article in journal 7,490 Aufsatz in Zeitschrift 7,490 Working Paper 2,007 Graue Literatur 1,831 Non-commercial literature 1,831 Arbeitspapier 1,817 Aufsatz im Buch 273 Book section 273 Hochschulschrift 136 Thesis 106 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 Article 6 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 11,614 German 54 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 Chang, Chia-Lin 92 Gupta, Rangan 91 Hafner, Christian M. 72 Bauwens, Luc 67 Teräsvirta, Timo 66 Caporale, Guglielmo Maria 63 Engle, Robert F. 62 Caporin, Massimiliano 57 Karanasos, Menelaos 54 Conrad, Christian 51 Ma, Feng 51 Francq, Christian 46 Herwartz, Helmut 46 Rombouts, Jeroen V. K. 46 Bouri, Elie 45 Bollerslev, Tim 42 Asai, Manabu 41 Laurent, Sébastien 41 Paolella, Marc S. 41 Kang, Sang Hoon 39 Linton, Oliver 39 Rahbek, Anders 39 Zakoïan, Jean-Michel 38 Serletis, Apostolos 35 Ardia, David 34 Kumar, Dilip 33 McMillan, David G. 33 Saikkonen, Pentti 33 Christoffersen, Peter F. 32 Mittnik, Stefan 32 Allen, David E. 31 Degiannakis, Stavros 31 Koopman, Siem Jan 31 Silvennoinen, Annastiina 30 Hansen, Peter Reinhard 29 Spagnolo, Nicola 29 Lucas, André 28 Lütkepohl, Helmut 28 Diebold, Francis X. 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 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 269 Finance research letters 211 Journal of econometrics 173 Economic modelling 169 Applied economics 164 Journal of empirical finance 140 International review of economics & finance : IREF 139 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 122 Journal of banking & finance 117 Discussion paper / Tinbergen Institute 116 International journal of forecasting 112 Journal of forecasting 111 Journal of international financial markets, institutions & money 105 Applied financial economics 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 75 International Journal of Energy Economics and Policy : IJEEP 70 Econometric Institute research papers 69 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 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 Journal of international money and finance 50 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) 11,508 EconStor 199 USB Cologne (EcoSocSci) 9 OLC EcoSci 4 ArchiDok 2
Showing 1 - 10 of 11,722
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Dynamic impact of foreign exchange trading volume on foreign exchange volatility
Kang, Jong Woo; Cabaero, Carlos - 2025
Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...
Persistent link: https://www.econbiz.de/10015194391
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015195169
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The shifted GARCH model with affine variance : applications in pricing
Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015197067
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Trading VIX on volatility forecasts : another volatility puzzle?
Degiannakis, Stavros; Delis, Panagiotis; Filis, George; … - 2025
Persistent link: https://www.econbiz.de/10015197247
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Sovereign risk and stock market response to natural disasters in emerging economies
Bermúdez-Cespedes, Juan Pablo; Melo-Velandia, Luis Fernando - 2025
Persistent link: https://www.econbiz.de/10015326234
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Examining impact of inflation and inflation volatility on economic growth : evidence from European Union economies
Pappas, Anastasios; Boukas, Nikolaos - In: Economies : open access journal 13 (2025) 2, pp. 1-18
Examining the economies of the European Union from 2000 to 2023, we have found no strong evidence that the inflation rate has a negative impact on economic growth. In contrast, in line with conventional economic theory, higher interest rates are associated with lower economic growth. The results...
Persistent link: https://www.econbiz.de/10015210370
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015210877
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Shocked: Electricity Price Volatility Spillovers in Europe
Cevik, Serhan - 2025
European electricity markets are in the midst of unprecedented changes-caused by Russia's invasion of Ukraine and the rise of renewable sources of energy. Using high-frequency data, this paper investigates volatility spillovers across 24 countries in the European Union (EU) during the period...
Persistent link: https://www.econbiz.de/10015328189
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Oil price shocks and airlines stock return and volatility : a GFEVD analysis
Cai, Yifei; Zhang, Yahua; Zhang, Anming - In: Economics of Transportation : the official journal of … 41 (2025), pp. 1-12
Persistent link: https://www.econbiz.de/10015329608
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Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital
Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23
Persistent link: https://www.econbiz.de/10015327028
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