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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
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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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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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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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
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2
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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)
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RePEc
58
EconStor
11
USB Cologne (EcoSocSci)
9
BASE
5
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11261
Value-at-Risk: a multivariate switching regime approach
Billio, Monica
;
Pelizzon, Loriana
- In:
Journal of empirical finance
7
(
2000
)
5
,
pp. 531-554
Persistent link: https://www.econbiz.de/10001545287
Saved in:
11262
Volatility and information flows in emerging equity market : a case of the Korean Stock Exchange
Pyun, Chong-soo
;
Lee, Sa Young
;
Nam, Kiseok
- In:
International review of financial analysis
9
(
2000
)
4
,
pp. 405-420
Persistent link: https://www.econbiz.de/10001545828
Saved in:
11263
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
- In:
The econometrics journal
3
(
2000
)
2
,
pp. 177-197
Persistent link: https://www.econbiz.de/10001546181
Saved in:
11264
Value at risk estimates for Brady bond portfolios
D'Vari, Ron
;
Sosa, Juan C.
- In:
The journal of fixed income
10
(
2000
)
3
,
pp. 7-23
Persistent link: https://www.econbiz.de/10001549788
Saved in:
11265
Stability issues in German money multiplier forecasts
Gottschling, Andreas
;
Polster, Rainer
- In:
European Monetary Union, emerging markets and …
,
(pp. 17-35)
.
2000
Persistent link: https://www.econbiz.de/10001549867
Saved in:
11266
Stationarity and memory of ARCH models
Zaffaroni, Paolo
-
2000
Persistent link: https://www.econbiz.de/10001551010
Saved in:
11267
Whittle estimation of ARCH models
Giraitis, Liudas
;
Robinson, Peter M.
-
2000
Persistent link: https://www.econbiz.de/10001551057
Saved in:
11268
GARCH estimation and discrete stock prices
Amilon, Henrik
- In:
Essays on financial models
,
(pp. 61-74)
.
2000
Persistent link: https://www.econbiz.de/10001551219
Saved in:
11269
Comparison of mean-variance and exact utility maximization in stock portfolio selection
Amilon, Henrik
- In:
Essays on financial models
,
(pp. 101-116)
.
2000
Persistent link: https://www.econbiz.de/10001551224
Saved in:
11270
The impact of the introduction of index futures contracts on the price volatility in the underlying stock market
Hsu, Philip
-
2000
Persistent link: https://www.econbiz.de/10001552786
Saved in:
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