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  • Search: subject:"Autoregressive conditional heteroskedasticity"
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Year of publication
Subject
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ARCH-Modell 11,501 ARCH model 11,498 Volatilität 7,206 Volatility 7,203 Theorie 3,240 Theory 3,238 Estimation 2,931 Schätzung 2,930 Zeitreihenanalyse 2,357 Time series analysis 2,352 Börsenkurs 2,210 Share price 2,209 Capital income 2,204 Kapitaleinkommen 2,204 Prognoseverfahren 2,006 Forecasting model 2,003 Aktienmarkt 1,983 Stock market 1,981 Schätztheorie 1,532 Estimation theory 1,531 Risikomaß 1,129 Risk measure 1,129 Spillover effect 1,118 Spillover-Effekt 1,118 Welt 1,086 World 1,084 Wechselkurs 1,070 Exchange rate 1,069 GARCH 1,001 USA 968 United States 963 Correlation 960 Korrelation 960 Portfolio selection 861 Portfolio-Management 861 Aktienindex 819 Stock index 818 Risk 806 Risiko 800 Financial market 728
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Online availability
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Free 3,834 Undetermined 3,441 CC license 386
Type of publication
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Article 7,845 Book / Working Paper 3,774 Other 1
Type of publication (narrower categories)
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Article in journal 7,496 Aufsatz in Zeitschrift 7,496 Graue Literatur 1,834 Non-commercial literature 1,834 Working Paper 1,832 Arbeitspapier 1,821 Aufsatz im Buch 273 Book section 273 Hochschulschrift 151 Thesis 121 Conference paper 46 Konferenzbeitrag 46 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 25 Sammelwerk 25 Aufsatzsammlung 15 Bibliografie enthalten 15 Bibliography included 15 Systematic review 11 Übersichtsarbeit 11 Konferenzschrift 10 Lehrbuch 10 Case study 9 Fallstudie 9 Textbook 9 Dissertation u.a. Prüfungsschriften 6 Forschungsbericht 6 Rezension 4 Conference proceedings 3 Amtsdruckschrift 2 Government document 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1 Festschrift 1 Floppy disk 1
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Language
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English 11,453 German 59 Undetermined 56 Spanish 22 French 13 Polish 6 Portuguese 4 Czech 2 Bulgarian 1 Hungarian 1 Indonesian 1 Italian 1 Romanian 1 Swedish 1 Turkish 1 Chinese 1
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Author
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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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Institution
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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 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 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 2 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> 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 Banca nazionale del lavoro / Ufficio scenari economici 1 Banca nazionale del lavoro / Ufficio studi 1 Bank of Canada 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1
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Published in...
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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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Source
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ECONIS (ZBW) 11,537 RePEc 58 EconStor 11 USB Cologne (EcoSocSci) 9 BASE 5
Showing 11 - 20 of 11,620
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Examining impact of inflation and inflation volatility on economic growth : evidence from European Union economies
Pappas, Anastasios; Boukas, Nikolaos - In: Economies : open access journal 13 (2025) 2, pp. 1-18
Examining the economies of the European Union from 2000 to 2023, we have found no strong evidence that the inflation rate has a negative impact on economic growth. In contrast, in line with conventional economic theory, higher interest rates are associated with lower economic growth. The results...
Persistent link: https://www.econbiz.de/10015210370
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015210877
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Shocked: Electricity Price Volatility Spillovers in Europe
Cevik, Serhan - 2025
European electricity markets are in the midst of unprecedented changes-caused by Russia's invasion of Ukraine and the rise of renewable sources of energy. Using high-frequency data, this paper investigates volatility spillovers across 24 countries in the European Union (EU) during the period...
Persistent link: https://www.econbiz.de/10015328189
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Oil price shocks and airlines stock return and volatility : a GFEVD analysis
Cai, Yifei; Zhang, Yahua; Zhang, Anming - In: Economics of Transportation : the official journal of … 41 (2025), pp. 1-12
Persistent link: https://www.econbiz.de/10015329608
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Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital
Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23
Persistent link: https://www.econbiz.de/10015327028
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Dynamic conditional correlation between green and grey energy ETF markets using cDCC-MGARCH model
Algarhi, Amr Saber - In: Applied economics letters 32 (2025) 6, pp. 835-842
Persistent link: https://www.econbiz.de/10015329872
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Are there other fish in the sea? : exploring the hedge, diversifier and safe-haven features of ESG investments
Pedini, Luca; Severini, Sabrina - In: Studies in economics and finance 42 (2025) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10015199632
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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - 2025
) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models …
Persistent link: https://www.econbiz.de/10015358886
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Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models
Gherghina, Ştefan Cristian; Constantinescu, … - 2025
The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia-Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by...
Persistent link: https://www.econbiz.de/10015358888
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Twitter-based market uncertainty and global stock volatility predictability
Ma, Yong; Li, Shuaibing; Zhou, Mingtao - 2025
Persistent link: https://www.econbiz.de/10015337993
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