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Search: subject:"Autoregressive conditional heteroscedasticity"
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McAleer, Michael
224
Chang, Chia-Lin
91
Gupta, Rangan
91
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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Ekonomiska forskningsinstitutet <Stockholm>
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Econometrisch Instituut <Rotterdam>
8
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Shakai-Keizai-Kenkyūsho <Osaka>
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Brown University / Department of Economics
2
Center for Economic Research <Tilburg>
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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
2
HFDF <2, 1998, Zürich>
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London School of Economics and Political Science
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Queen Mary College / Department of Economics
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School of Finance and Business Economics <Perth, Western Australia>
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
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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
210
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
104
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
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)
11,486
RePEc
9
EconStor
3
BASE
1
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10,811
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10811
An empirical examination of the relation between futures spreads volatility, volume, and open interest
Girma, Paul Berhanu
;
Mougoué, Mbodja
- In:
The journal of futures markets
22
(
2002
)
11
,
pp. 1083-11102
Persistent link: https://www.econbiz.de/10001713578
Saved in:
10812
Ainda os modelos GARCH
De-Losso, Rodrigo
- In:
Economia aplicada : EA
6
(
2002
)
2
,
pp. 367-409
Persistent link: https://www.econbiz.de/10001715785
Saved in:
10813
The relationship between energy spot and futures prices : evidence from the Australian electricity market
Worthington, Andrew Charles
;
Higgs, Helen
-
2002
Persistent link: https://www.econbiz.de/10001715952
Saved in:
10814
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
10815
An assessment of empirical model performance when financial market transactions are observed at different data frequencies : an application to East Asian exchange rates
Wang, Kai-Li
;
Fawson, Christopher
;
Barrett, Christopher B.
- In:
Review of quantitative finance and accounting
19
(
2002
)
2
,
pp. 111-129
Persistent link: https://www.econbiz.de/10001719971
Saved in:
10816
Intraday return volatility process : evidence from NASDAQ stocks
Rahman, Shafiqur
;
Lee, Cheng F.
;
Ang, Kian Ping
- In:
Review of quantitative finance and accounting
19
(
2002
)
2
,
pp. 155-180
Persistent link: https://www.econbiz.de/10001719974
Saved in:
10817
Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination
Brooks, Chris
;
Burke, Simon P.
- In:
The Manchester School
70
(
2002
)
6
,
pp. 747-767
Persistent link: https://www.econbiz.de/10001720409
Saved in:
10818
The temporal relationship between large- and small-capitalization stock returns : evidence from the UK
Grieb, Terrance
;
Reyes, Mario Gabriel Carpio
- In:
Review of financial economics : RFE
11
(
2002
)
2
,
pp. 109-118
Persistent link: https://www.econbiz.de/10001720459
Saved in:
10819
Measuring common cyclical features during financial turmoil
Candelon, Bertrand
;
Hecq, Alain W. J.
;
Verschoor, …
-
2002
Persistent link: https://www.econbiz.de/10001720545
Saved in:
10820
Return, volatility and short-term capital inflows : a test of "return-chasing" hypothesis in Asia-Pacific equity markets
Tu, Anthony H.
;
Chen, Shen-yuan
- In:
Review of Pacific Basin financial markets and policies
5
(
2002
)
3
,
pp. 321-342
Persistent link: https://www.econbiz.de/10001721001
Saved in:
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