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Search: subject:"Autoregressive conditional heteroskedasticity"
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McAleer, Michael
224
Chang, Chia-Lin
91
Gupta, Rangan
91
Hafner, Christian M.
68
Teräsvirta, Timo
67
Bauwens, Luc
66
Engle, Robert F.
62
Caporale, Guglielmo Maria
60
Caporin, Massimiliano
57
Ma, Feng
51
Karanasos, Menelaos
50
Francq, Christian
46
Bouri, Elie
45
Rombouts, Jeroen V. K.
45
Herwartz, Helmut
42
Koopman, Siem Jan
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
Saikkonen, Pentti
35
Serletis, Apostolos
35
Kumar, Dilip
34
Lucas, André
33
McMillan, David G.
33
Ardia, David
32
Allen, David E.
31
Degiannakis, Stavros
31
Christoffersen, Peter F.
30
Silvennoinen, Annastiina
30
Mittnik, Stefan
29
Spagnolo, Nicola
29
Hansen, Peter Reinhard
28
Lütkepohl, Helmut
28
Salisu, Afees A.
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National Bureau of Economic Research
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Ekonomiska forskningsinstitutet <Stockholm>
14
Centre for Analytical Finance <Århus>
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Econometrisch Instituut <Rotterdam>
8
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Instituto Valenciano de Investigaciones Económicas
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Shakai-Keizai-Kenkyūsho <Osaka>
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Tinbergen Instituut
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National Institute of Economic and Social Research
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
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Brown University / Department of Economics
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Center for Economic Research <Tilburg>
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Erasmus University Rotterdam, Econometric Institute
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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London School of Economics and Political Science
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Agricultural and Applied Economics Association - AAEA
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1
Banca nazionale del lavoro / Ufficio studi
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Bank of Canada
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Energy economics
269
Finance research letters
211
Journal of econometrics
173
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169
Applied economics
164
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140
International review of economics & finance : IREF
139
International review of financial analysis
139
Research in international business and finance
133
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128
Economics letters
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117
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116
International journal of forecasting
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111
Journal of international financial markets, institutions & money
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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
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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
79
Journal of financial econometrics : official journal of the Society for Financial Econometrics
75
Working paper
75
International Journal of Energy Economics and Policy : IJEEP
73
Econometric Institute research papers
69
Computational economics
57
International journal of finance & economics : IJFE
55
Econometric reviews
54
International journal of economics and financial issues : IJEFI
54
CREATES research paper
53
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)
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RePEc
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EconStor
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USB Cologne (EcoSocSci)
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BASE
5
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1031
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
1032
Dynamic dependence of futures basis between the Chinese and international grains markets
Wang, Hao
;
Dong, Yizhe
;
Sun, Mingli
;
Shi, Baofeng
;
Ji, Hao
- In:
Economic modelling
130
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014451147
Saved in:
1033
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
1034
The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets : evidence from the pre- and post-COVID-19 periods
Tarchella, Salma
;
Khalfaoui, Rabeh
;
Hammoudeh, Shawkat
- In:
Research in international business and finance
67
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451553
Saved in:
1035
Dynamic spillover and connectedness in higher moments of European stock sector markets
Nekhili, Ramzi
;
Mensi, Walid
;
Vo Xuan Vinh
;
Kang, Sang Hoon
- In:
Research in international business and finance
68
(
2024
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014451818
Saved in:
1036
Spillovers of good and bad volatility in Asian emerging markets : insights from global and regional perspectives
Baba, Boubekeur
- In:
Journal of economics and finance : JEF
48
(
2024
)
4
,
pp. 1233-1274
Persistent link: https://www.econbiz.de/10015332757
Saved in:
1037
Asymmetric pricing of climate policy uncertainty under heterogeneous stocks market conditions in China : evidence from GARCH and quantile models
Shuaibu, Mohammed Isa
;
Mamman, Suleiman O.
;
Iliyasu, Jamilu
- In:
Letters in spatial and resource sciences : LSRS
17
(
2024
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015123527
Saved in:
1038
Endogenous volatility in the foreign exchange market
Bargigli, Leonardo
;
Cifarelli, Giulio
-
2024
Persistent link: https://www.econbiz.de/10015338752
Saved in:
1039
New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence
Ibragimov, Rustam Ju.
;
Pedersen, Rasmus Søndergaard
; …
-
2024
Persistent link: https://www.econbiz.de/10015338767
Saved in:
1040
Volatility shocks, leverage effects, and time-varying conditional skewness
Kirby, Chris
-
2024
Persistent link: https://www.econbiz.de/10015338835
Saved in:
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