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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.
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
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Instituto Valenciano de Investigaciones Económicas
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Shakai-Keizai-Kenkyūsho <Osaka>
6
European University Institute / Department of Economics
3
National Institute of Economic and Social Research
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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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>
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Springer Fachmedien Wiesbaden
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Svenska Handelshögskolan <Helsinki>
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Université de Montréal / Département de sciences économiques
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William Davidson Institute <Ann Arbor, Mich.>
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Banca nazionale del lavoro / Ufficio studi
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Bank of Canada
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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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
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1261
Economic policy uncertainty in US and Europe : time-varying Granger causality
Mladenovic, Zorica
- In:
Applied economics letters
30
(
2023
)
20
,
pp. 2913-2920
Persistent link: https://www.econbiz.de/10014414040
Saved in:
1262
An analytical study on volatility and impact of selected sectoral indices on national stock exchange during Covid-19
Lekha Shree.S
;
Kanniammal, K.
- In:
Finance India : the quarterly journal of Indian …
37
(
2023
)
1
,
pp. 267-279
Persistent link: https://www.econbiz.de/10014414209
Saved in:
1263
Forecasting base metal prices with an international stock index
Bentancor, Andrea
;
Hardy, Nicolás
;
Henrriquez, Cristobal
; …
- In:
Finance a úvěr
73
(
2023
)
3
,
pp. 277-302
Persistent link: https://www.econbiz.de/10014416104
Saved in:
1264
Volatility puzzle : long memory or antipersistency
Shi, Shuping
;
Yu, Jun
- In:
Management science : journal of the Institute for …
69
(
2023
)
7
,
pp. 3861-3883
Persistent link: https://www.econbiz.de/10014338293
Saved in:
1265
Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula : evidence from GAS models
Mili, Mehdi
;
Bouteska, Ahmed
- In:
The journal of risk finance : JRF
24
(
2023
)
4
,
pp. 464-482
Persistent link: https://www.econbiz.de/10014338629
Saved in:
1266
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
1267
Does herding effect help forecast market volatility? : evidence from the Chinese stock market
Wang, Yide
;
Yu, Chao
;
Zhao, Xujie
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1275-1290
Persistent link: https://www.econbiz.de/10014338876
Saved in:
1268
Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data
Niu, Zibo
;
Demirer, Rıza
;
Suleman, Muhammad Tahir
; …
- In:
Journal of forecasting
42
(
2023
)
6
,
pp. 1309-1328
Persistent link: https://www.econbiz.de/10014338888
Saved in:
1269
Bi-directional causality between volatility in output growth and price growth : evidence from rice production in India using ARCH/GARCH and panel VECM approach
Pal, Dipyaman
;
Chakraborty, Chandrima
- In:
Risks and Resilience of Emerging Economies : Essays in …
,
(pp. 71-90)
.
2023
Persistent link: https://www.econbiz.de/10014339164
Saved in:
1270
Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Afzal, Fahim
;
Choudhury, Tonmoy
;
Kamran, Muhammad
- In:
International journal of Islamic and Middle Eastern …
16
(
2023
)
1
,
pp. 59-80
Persistent link: https://www.econbiz.de/10014339621
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