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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>
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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>
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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>
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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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William Davidson Institute <Ann Arbor, Mich.>
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1
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)
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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921
Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
Xu, Yongdeng
- In:
Journal of time series econometrics
16
(
2024
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10015052951
Saved in:
922
Asymmetric price volatility spillover between capture fisheries and aquaculture markets
Deb, Prokash
;
Li, Wenying
- In:
Aquaculture economics & management : official journal …
28
(
2024
)
1
,
pp. 56-81
Persistent link: https://www.econbiz.de/10015053126
Saved in:
923
Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries
Wu, Fei
;
Ji, Qiang
;
Ma, Yan-Ran
;
Zhang, Dayong
- In:
Journal of the Asia Pacific economy
29
(
2024
)
3
,
pp. 1257-1283
Persistent link: https://www.econbiz.de/10015053452
Saved in:
924
The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation : evidence from India
Rastogi, Shailesh
;
Kanoujiya, Jagjeevan
- In:
South Asian journal of business studies
13
(
2024
)
2
,
pp. 180-200
Persistent link: https://www.econbiz.de/10015053653
Saved in:
925
Modelling sustainable market co-movement between Nigeria (NSE) and South Africa stock markets (JSE)
Kalu, Ebere Ume
;
Arize, Augustine Chuck
;
Guru-Gharana, …
- In:
World review of entrepreneurship, management and …
20
(
2024
)
2
,
pp. 235-255
Persistent link: https://www.econbiz.de/10015055517
Saved in:
926
Modelling prices and volatilities in the sharing economy
Pérez Rodríguez, Jorge V.
;
Hernández, Juan M.
; …
- In:
Tourism economics : the business and finance of tourism …
30
(
2024
)
5
,
pp. 1189-1215
Persistent link: https://www.econbiz.de/10015056859
Saved in:
927
Asymmetric volatility of the US dollar index in the stock and cryptocurrency market during the Russia-Ukraine war
Velip, Suraj
;
Jambotkar, Mrunali
- In:
International journal of banking, accounting and …
14
(
2024
)
1
,
pp. 97-112
Persistent link: https://www.econbiz.de/10015057210
Saved in:
928
Volatility forecasts by clustering : applications for VaR estimation
Wang, Zijin
;
Chen, Peimin
;
Liu, Peng
;
Wu, Chunchi
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014582647
Saved in:
929
Asymmetric effect of trading volume on realized volatility
Maki, Daiki
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014582773
Saved in:
930
Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets : an asymmetric volatility spillover study
Eissa, Mohamed Abdelaziz
;
Al Refai, Hisham M.
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014583429
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