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Search: subject:"Autoregressive conditional heteroskedasticity"
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McAleer, Michael
224
Chang, Chia-Lin
91
Gupta, Rangan
91
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68
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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
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Lütkepohl, Helmut
28
Salisu, Afees A.
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Banca nazionale del lavoro / Ufficio studi
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Bank of Canada
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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
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Journal of banking & finance
117
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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
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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
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11271
Mesokurtic conditional heteroskedasticity with implications for policy analysis
Moursi, Tarek A.
- In:
The Middle East business and economic review
12
(
2000
)
2
,
pp. 21-45
Persistent link: https://www.econbiz.de/10001554130
Saved in:
11272
Stock market exuberance : linkages between the US and the European markets
Cifarelli, Giulio
;
Paladino, Giovanna
-
2000
Persistent link: https://www.econbiz.de/10001604060
Saved in:
11273
Estimating the leverage effect using panel data with a large number of stock issues over a short-run daily period focus on the Tokyo Stock Exchange
Kitazawa, Yoshitsugu
- In:
Journal of financial management and analysis : …
13
(
2000
)
2
,
pp. 21-27
Persistent link: https://www.econbiz.de/10001581578
Saved in:
11274
Financial variables as leading indicators : evidence from the G7 Countries
De Siano, Rita
- In:
Studi economici : rivista quadrimestrale
55
(
2000
)
3
,
pp. 73-104
Persistent link: https://www.econbiz.de/10001583095
Saved in:
11275
Exchange rate volatility and intra-EMS trade
Laopodis, Nikiforos
- In:
Journal of foreign exchange and international finance : …
13
(
2000
)
4
,
pp. 305-324
Persistent link: https://www.econbiz.de/10001583464
Saved in:
11276
GARCH modeling of individual stock data : the impact of censoring, firm size and trading volume
Brooks, Robert
;
Faff, Robert W.
;
Fry, Tim R. L.
- In:
Papers in efficiency, effectiveness and international …
,
(pp. 141-151)
.
2000
Persistent link: https://www.econbiz.de/10001586273
Saved in:
11277
Estimation of tail-related risk measures for heteroscedastic financial time series : an extreme value approach
McNeil, Alexander J.
;
Frey, Rüdiger
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 271-300
Persistent link: https://www.econbiz.de/10001557719
Saved in:
11278
Volatility dynamics under duration-dependent mixing
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
Saved in:
11279
Diagnosing and treating the fat tails in financial returns data
Mittnik, Stefan
;
Paolella, Marc S.
;
Račev, Svetlozar T.
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 389-416
Persistent link: https://www.econbiz.de/10001558281
Saved in:
11280
Price clustering in the Nikkei 225 stock index futures contract on the SIMEX : an intraday empirical analysis
Chueh, Horace
- In:
Review of Pacific Basin financial markets and policies
3
(
2000
)
4
,
pp. 519-533
Persistent link: https://www.econbiz.de/10001561953
Saved in:
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