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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.
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
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
6
Instituto Valenciano de Investigaciones Económicas
6
Shakai-Keizai-Kenkyūsho <Osaka>
6
Tinbergen Instituut
6
Tinbergen Institute
5
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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İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
3
Brown University / Department of Economics
2
Center for Economic Research <Tilburg>
2
Department of Economics, Oxford University
2
Erasmus University Rotterdam, Econometric Institute
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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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
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Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
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Queen Mary College / Department of Economics
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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
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
William Davidson Institute <Ann Arbor, Mich.>
2
African Association of Agricultural Economists - AAAE
1
Agricultural Economics Association of South Africa - AEASA
1
Agricultural and Applied Economics Association - AAEA
1
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1
Banca nazionale del lavoro / Ufficio studi
1
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
Economic modelling
169
Applied economics
164
Journal of empirical finance
140
International review of economics & finance : IREF
139
International review of financial analysis
139
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
Journal of international financial markets, institutions & money
105
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
85
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)
11,538
RePEc
58
EconStor
11
USB Cologne (EcoSocSci)
9
BASE
5
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10601
The inflation-output variability trade-off : OECD evidence
Lee, Jim
- In:
Contemporary economic policy : a journal of Western …
22
(
2004
)
3
,
pp. 344-356
Persistent link: https://www.econbiz.de/10002121518
Saved in:
10602
An examination of the introduction of options on the volatility of the underlying individual equity securities
Jubinski, Daniel
;
Tomljanovich, Marc
-
2004
Persistent link: https://www.econbiz.de/10002123346
Saved in:
10603
Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro
;
Manera, Matteo
;
McAleer, Michael
-
2004
Persistent link: https://www.econbiz.de/10002127352
Saved in:
10604
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
Fiorentini, Gabriele
;
Sentana, Enrique
;
Calzolari, Giorgio
- In:
Economics letters
83
(
2004
)
3
,
pp. 307-312
Persistent link: https://www.econbiz.de/10002049074
Saved in:
10605
Conditional covariances and direct central bank interventions in the foreign exchange markets
Beine, Michel
- In:
Journal of banking & finance
28
(
2004
)
6
,
pp. 1385-1411
Persistent link: https://www.econbiz.de/10002049613
Saved in:
10606
Public information arrival and volatility of intraday stock returns
Kalev, Petko S.
;
Liu, Wai-man
;
Pham, Peter Kien
; …
- In:
Journal of banking & finance
28
(
2004
)
6
,
pp. 1441-1467
Persistent link: https://www.econbiz.de/10002049619
Saved in:
10607
Modelling daily value-at-risk using realized volatility and ARCH type models
Giot, Pierre
;
Laurent, Sébastien
- In:
Journal of empirical finance
11
(
2004
)
3
,
pp. 379-398
Persistent link: https://www.econbiz.de/10002050367
Saved in:
10608
The performance of event study approaches using daily commodity futures returns
McKenzie, Andrew M.
;
Thomsen, Michael R.
;
Dixon, Bruce L.
- In:
The journal of futures markets
24
(
2004
)
6
,
pp. 533-555
Persistent link: https://www.econbiz.de/10002059371
Saved in:
10609
Noisy chaotic dynamics in commodity markets
Kyrtsou, Catherine
;
Labys, Walter C.
;
Terraza, Michel
- In:
Empirical economics : a journal of the Institute for …
29
(
2004
)
3
,
pp. 489-502
Persistent link: https://www.econbiz.de/10002222164
Saved in:
10610
The hedging effectiveness of constant and time-varying hedge ratios using three pacific basin stock futures
Choudhry, Taufiq
- In:
International review of economics & finance : IREF
13
(
2004
)
4
,
pp. 371-385
Persistent link: https://www.econbiz.de/10002222885
Saved in:
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