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  • Search: subject:"Autoregressive conditional heteroskedasticity"
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Year of publication
Subject
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ARCH-Modell 11,500 ARCH model 11,497 Volatilität 7,206 Volatility 7,203 Theorie 3,240 Theory 3,238 Estimation 2,930 Schätzung 2,929 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 1,000 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 3,833 Undetermined 3,441 CC license 386
Type of publication
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Article 7,845 Book / Working Paper 3,773 Other 1
Type of publication (narrower categories)
All
Article in journal 7,496 Aufsatz in Zeitschrift 7,496 Graue Literatur 1,833 Non-commercial literature 1,833 Working Paper 1,831 Arbeitspapier 1,820 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 11,452 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) 11,536 RePEc 58 EconStor 11 USB Cologne (EcoSocSci) 9 BASE 5
Showing 61 - 70 of 11,619
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015179565
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Unconditional volatility framework : theoretical and empirical insights
Rey, Sebastián A. - In: Annals of financial economics 19 (2024) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10015323532
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Oil price uncertainty and consumer sentiment in advanced economies
Azad, Nahiyan Faisal; Serletis, Apostolos - In: The energy journal 45 (2024) 6, pp. 159-175
Persistent link: https://www.econbiz.de/10015323984
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Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015326256
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What fuels the volatility of electricity prices?
Saretto, Alessio; Shcherbakova, Anastasia; Lin, Jeremy - 2024
Persistent link: https://www.econbiz.de/10015206937
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Does regime-dependent volatility drive dynamism in investor herding?
Jindal, Komal; Bamba, Meera; Aggarwal, Mamta - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 54-79
Persistent link: https://www.econbiz.de/10015210672
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Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method
Agarwal, Archana; Dhankhar, Nidhi; Mehla, Sunita - In: Colombo business journal : international journal of … 15 (2024) 2, pp. 162-189
Persistent link: https://www.econbiz.de/10015210715
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Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication
Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015211784
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Collateral, output growth, mortgage spread volatility and subsidies in Colombia
López, Martha; Sarmiento Gómez, Eduardo - 2024
Persistent link: https://www.econbiz.de/10015145548
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Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies : evidence from major contagions
Kamesh Anand K; Mishra, Aswini Kumar - In: Borsa Istanbul Review 24 (2024) 6, pp. 1248-1262
The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly...
Persistent link: https://www.econbiz.de/10015152679
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