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  • Search: subject:"Autoregressive conditional heteroscedasticity"
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Year of publication
Subject
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ARCH model 11,478 ARCH-Modell 11,478 Volatilität 7,176 Volatility 7,173 Theorie 3,211 Theory 3,211 Estimation 2,909 Schätzung 2,908 Zeitreihenanalyse 2,338 Time series analysis 2,335 Börsenkurs 2,200 Share price 2,200 Capital income 2,195 Kapitaleinkommen 2,195 Prognoseverfahren 1,994 Forecasting model 1,993 Aktienmarkt 1,975 Stock market 1,975 Estimation theory 1,518 Schätztheorie 1,518 Risikomaß 1,127 Risk measure 1,127 Spillover effect 1,117 Spillover-Effekt 1,117 Welt 1,083 World 1,083 Exchange rate 1,060 Wechselkurs 1,060 GARCH 996 USA 961 Correlation 956 Korrelation 956 United States 956 Portfolio selection 855 Portfolio-Management 855 Aktienindex 814 Stock index 814 Risk 800 Risiko 793 Financial market 723
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Online availability
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Free 3,774 Undetermined 3,424 CC license 378
Type of publication
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Article 7,805 Book / Working Paper 3,686
Type of publication (narrower categories)
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Article in journal 7,473 Aufsatz in Zeitschrift 7,473 Graue Literatur 1,827 Non-commercial literature 1,827 Arbeitspapier 1,813 Working Paper 1,813 Aufsatz im Buch 273 Book section 273 Hochschulschrift 131 Thesis 104 Conference paper 46 Konferenzbeitrag 46 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 23 Sammelwerk 23 Aufsatzsammlung 14 Bibliografie enthalten 11 Bibliography included 11 Systematic review 11 Übersichtsarbeit 11 Konferenzschrift 9 Lehrbuch 9 Case study 8 Fallstudie 8 Textbook 8 Forschungsbericht 6 Rezension 4 Amtsdruckschrift 2 Article 2 Conference proceedings 2 Government document 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1 Festschrift 1 Floppy disk 1
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Language
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English 11,388 German 44 Spanish 22 French 13 Undetermined 8 Polish 6 Portuguese 4 Czech 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 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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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 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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Published in...
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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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Source
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ECONIS (ZBW) 11,478 RePEc 9 EconStor 3 BASE 1
Showing 871 - 880 of 11,491
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Relationships between inflation, output growth, and uncertainty in the era of inflation stabilization : a multicountry study
Chowdhury, Kushal Banik - In: Empirical economics : a quarterly journal of the … 66 (2024) 2, pp. 623-650
Persistent link: https://www.econbiz.de/10014519704
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Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity : evidence from the quantile vector autoregressive connectedness approach
Ben Haddad, Hedi; Mezghani, Imed; Medhioub, Imed; … - In: Empirical economics : a quarterly journal of the … 66 (2024) 2, pp. 829-858
Persistent link: https://www.econbiz.de/10014519714
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Inflation uncertainty
Serletis, Apostolos; Xu, Libo - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
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Uncertainty indices and stock market volatility predictability during the global pandemic : evidence from G7 countries
Fameliti, Stavroula P.; Skintz, Vasiliki D. - In: Applied economics 56 (2024) 19, pp. 2315-2336
Persistent link: https://www.econbiz.de/10014520768
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Diversification benefits and cross-volatility effects in cryptocurrency portfolios : a diagonal BEKK model perspective on Bitcoin and Bitgreen
Gupta, Muskan; Bhatnagar, Mukul; Kumar, Pawan; Taneja, … - In: Artificial intelligence and machine learning-powered …, (pp. 1-22). 2024
Persistent link: https://www.econbiz.de/10014524934
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Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
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Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
Bohn Nielsen, Heino; Rahbek, Anders - In: The econometrics journal 27 (2024) 1, pp. 107-125
Persistent link: https://www.econbiz.de/10014528095
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Doubly multiplicative error models with long- and short-run components
Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014528556
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Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link
Montero, José-María; Naimy, Viviane; Farraj, Nermeen Abi - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014528750
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Pricing CBOE VIX in non-affine GARCH models with variance risk premium
Tong, Chen - In: Finance research letters 62 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014530825
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