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Search: subject:"Autoregressive conditional heteroscedasticity"
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ARCH model
11,478
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11,478
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7,173
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3,211
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3,211
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2,200
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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.
27
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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
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2
William Davidson Institute <Ann Arbor, Mich.>
2
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1
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1
Bank of Canada
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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
HAL
1
HFDF <1, 1995, Zürich>
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
122
Journal of banking & finance
117
Discussion paper / Tinbergen Institute
116
International journal of forecasting
112
Journal of forecasting
111
Applied financial economics
103
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
3
BASE
1
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10,951
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10951
Forecasting daily exchange rate volatility using intraday returns
Martens, Martin
- In:
Journal of international money and finance
20
(
2001
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10001546106
Saved in:
10952
Financial econometrics: past developments and future challenges
Bollerslev, Tim
- In:
Journal of econometrics
100
(
2001
)
1
,
pp. 41-51
Persistent link: https://www.econbiz.de/10001546139
Saved in:
10953
Benchmarks and the accuracy of GARCH model estimation
Brooks, Chris
;
Burke, Simon P.
;
Persand, Gita
- In:
International journal of forecasting
17
(
2001
)
1
,
pp. 45-56
Persistent link: https://www.econbiz.de/10001549775
Saved in:
10954
Month of the year effect and January effect in pre-WWI stock returns : evidence from a non-linear GARCH model
Choudhry, Taufiq
- In:
International journal of finance & economics : IJFE
6
(
2001
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10001550186
Saved in:
10955
Time transformations, intraday data, and volatility models
Giot, Pierre
- In:
The journal of computational finance
4
(
2000/2001
)
2
,
pp. 31-62
Persistent link: https://www.econbiz.de/10001553932
Saved in:
10956
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
Saved in:
10957
A multivariate GARCH analysis of equity returns and volatility in Asian equity markets
Worthington, Andrew Charles
;
Higgs, Helen
-
2001
Persistent link: https://www.econbiz.de/10001601635
Saved in:
10958
A flexible parametric GARCH model with an application to exchange rates
Wang, Kai-li
(
contributor
)
- In:
Journal of applied econometrics
16
(
2001
)
4
,
pp. 521-536
Persistent link: https://www.econbiz.de/10001601907
Saved in:
10959
Time varying risk premia for real estate investment trusts : a GARCH-M model
Devaney, Michael
- In:
The quarterly review of economics and finance : journal …
41
(
2001
)
3
,
pp. 335-346
Persistent link: https://www.econbiz.de/10001602991
Saved in:
10960
Is the covariance of international stock market returns regime dependent?
Jochum, Christian
- In:
The European journal of finance
7
(
2001
)
3
,
pp. 247-268
Persistent link: https://www.econbiz.de/10001603505
Saved in:
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