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Search: subject:"Autoregressive conditional heteroscedasticity"
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McAleer, Michael
223
Chang, Chia-Lin
91
Gupta, Rangan
90
Hafner, Christian M.
67
Bauwens, Luc
66
Engle, Robert F.
61
Teräsvirta, Timo
60
Caporale, Guglielmo Maria
59
Caporin, Massimiliano
57
Ma, Feng
51
Karanasos, Menelaos
50
Francq, Christian
46
Bouri, Elie
45
Rombouts, Jeroen V. K.
45
Herwartz, Helmut
42
Asai, Manabu
41
Conrad, Christian
41
Laurent, Sébastien
41
Bollerslev, Tim
40
Paolella, Marc S.
40
Kang, Sang Hoon
39
Linton, Oliver
39
Rahbek, Anders
39
Zakoïan, Jean-Michel
38
Serletis, Apostolos
36
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.
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National Bureau of Economic Research
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Ekonomiska forskningsinstitutet <Stockholm>
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Econometrisch Instituut <Rotterdam>
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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Federal Reserve Bank of San Francisco
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1
International Center for Financial Asset Management and Engineering
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
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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
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Journal of banking & finance
117
Discussion paper / Tinbergen Institute
116
International journal of forecasting
112
Journal of forecasting
111
Applied financial economics
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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
78
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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ECONIS (ZBW)
11,478
RePEc
9
EconStor
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1021
Dynamic spillover and connectedness in higher moments of European stock sector markets
Nekhili, Ramzi
;
Mensi, Walid
;
Vo Xuan Vinh
;
Kang, Sang Hoon
- In:
Research in international business and finance
68
(
2024
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014451818
Saved in:
1022
Spillovers of good and bad volatility in Asian emerging markets : insights from global and regional perspectives
Baba, Boubekeur
- In:
Journal of economics and finance : JEF
48
(
2024
)
4
,
pp. 1233-1274
Persistent link: https://www.econbiz.de/10015332757
Saved in:
1023
Asymmetric pricing of climate policy uncertainty under heterogeneous stocks market conditions in China : evidence from GARCH and quantile models
Shuaibu, Mohammed Isa
;
Mamman, Suleiman O.
;
Iliyasu, Jamilu
- In:
Letters in spatial and resource sciences : LSRS
17
(
2024
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015123527
Saved in:
1024
Endogenous volatility in the foreign exchange market
Bargigli, Leonardo
;
Cifarelli, Giulio
-
2024
Persistent link: https://www.econbiz.de/10015338752
Saved in:
1025
New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence
Ibragimov, Rustam Ju.
;
Pedersen, Rasmus Søndergaard
; …
-
2024
Persistent link: https://www.econbiz.de/10015338767
Saved in:
1026
Volatility shocks, leverage effects, and time-varying conditional skewness
Kirby, Chris
-
2024
Persistent link: https://www.econbiz.de/10015338835
Saved in:
1027
Exploiting intraday decompositions in realized volatility forecasting : a forecast reconciliation approach
Caporin, Massimiliano
;
Di Fonzo, Tommaso
;
Girolimetto, …
-
2024
Persistent link: https://www.econbiz.de/10015338837
Saved in:
1028
Forecasting the high-frequency volatility based on the LSTM-HIT model
Liu, Guangying
;
Zhuang, Ziyan
;
Wang, Min
- In:
Journal of forecasting
43
(
2024
)
5
,
pp. 1356-1373
Persistent link: https://www.econbiz.de/10015108388
Saved in:
1029
High frequency volatility of oil futures in China : components, modeling, and prediction
Hong, Yi
;
Xu, Xiaofan
;
Chen, Yang
- In:
Journal of forecasting
43
(
2024
)
8
,
pp. 3104-3127
Persistent link: https://www.econbiz.de/10015110604
Saved in:
1030
Generalized
autoregressive
conditional
heteroscedasticity
Huang, Yanhao
;
Ren, Ruibin
- In:
Journal of forecasting
43
(
2024
)
8
,
pp. 3177-3193
Persistent link: https://www.econbiz.de/10015110618
Saved in:
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