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Search: subject:"Conditional Heteroskedasticity"
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ARCH-Modell
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McAleer, Michael
243
Chang, Chia-Lin
94
Gupta, Rangan
91
Teräsvirta, Timo
81
Hafner, Christian M.
68
Bauwens, Luc
66
Engle, Robert F.
62
Caporale, Guglielmo Maria
60
Caporin, Massimiliano
57
Ma, Feng
51
Karanasos, Menelaos
50
Francq, Christian
49
Rahbek, Anders
46
Bouri, Elie
45
Rombouts, Jeroen V. K.
45
Lütkepohl, Helmut
43
Herwartz, Helmut
42
Koopman, Siem Jan
42
Allen, David E.
41
Asai, Manabu
41
Conrad, Christian
41
Laurent, Sébastien
41
Bollerslev, Tim
40
Linton, Oliver
40
Paolella, Marc S.
40
Zakoïan, Jean-Michel
40
Kang, Sang Hoon
39
Serletis, Apostolos
38
Saikkonen, Pentti
35
Kumar, Dilip
34
Lucas, André
33
McMillan, David G.
33
Ardia, David
32
Degiannakis, Stavros
31
Christoffersen, Peter F.
30
Silvennoinen, Annastiina
30
Mittnik, Stefan
29
Spagnolo, Nicola
29
Hansen, Peter Reinhard
28
Wolf, Michael
28
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National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
16
Ekonomiska forskningsinstitutet <Stockholm>
14
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
11
Centre for Analytical Finance <Århus>
10
Tinbergen Instituut
9
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
9
Cowles Foundation for Research in Economics, Yale University
8
Econometrisch Instituut <Rotterdam>
8
University of Canterbury / Dept. of Economics and Finance
8
Instituto Valenciano de Investigaciones Económicas
6
Shakai-Keizai-Kenkyūsho <Osaka>
6
Tinbergen Institute
5
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
4
Department of Economics, Boston University
4
Instituto Valenciano de Investigaciones Económicas (IVIE)
4
School of Economics and Management, University of Aarhus
4
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
3
Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG)
3
Department of Economics and Finance, College of Business and Economics
3
European University Institute / Department of Economics
3
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
National Institute of Economic and Social Research
3
Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho
3
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
3
Brown University / Department of Economics
2
CESifo
2
Center for Economic Research <Tilburg>
2
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
Department of Economics, Oxford University
2
Erasmus University Rotterdam, Econometric Institute
2
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
2
Federal Reserve Bank of St. Louis
2
Gottfried Wilhelm Leibniz Universität Hannover
2
HFDF <2, 1998, Zürich>
2
Institute for the Study of Labor (IZA)
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
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Energy economics
269
Finance research letters
211
Journal of econometrics
177
Economic modelling
170
Applied economics
164
Journal of empirical finance
142
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
123
Discussion paper / Tinbergen Institute
119
Journal of banking & finance
117
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
93
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Applied economics letters
85
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
84
The European journal of finance
84
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
74
Econometric Institute research papers
69
Computational economics
57
International journal of finance & economics : IJFE
55
CREATES research paper
54
Econometric reviews
54
International journal of economics and financial issues : IJEFI
54
Journal of international money and finance
52
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
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)
11,574
RePEc
208
EconStor
54
USB Cologne (EcoSocSci)
9
BASE
7
Other ZBW resources
3
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11501
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:
11502
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:
11503
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:
11504
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:
11505
Smooth transition ARCH models . estimation and testing
Lee, Junsoo
;
DeGennaro, Ramon P.
- In:
Review of quantitative finance and accounting
15
(
2000
)
1
,
pp. 5-20
Persistent link: https://www.econbiz.de/10001520697
Saved in:
11506
A GARCH model of inflation and inflation uncertainty with simultaneous feedback
Fountas, Stilianos
;
Karanasos, Menelaos
;
Karanassou, Marika
-
2000
Persistent link: https://www.econbiz.de/10001520927
Saved in:
11507
Yield spreads as predictors of industrial production : expectations on short rates or term premia?
Hejazi, Walid
- In:
Applied economics
32
(
2000
)
8
,
pp. 945-951
Persistent link: https://www.econbiz.de/10001522337
Saved in:
11508
Stock returns and exchange rate risk : evidence from Asian stock markets based in a bivariate GARCH model
Chiang, Thomas C.
;
Yang, Sheng Y.
;
Wang, Tse S.
- In:
International journal of business
5
(
2000
)
2
,
pp. 97-117
Persistent link: https://www.econbiz.de/10001522451
Saved in:
11509
Historical volatility distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 417
Persistent link: https://www.econbiz.de/10001522909
Saved in:
11510
Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
Boscher, Hans
;
Fronk, Eva-Maria
;
Pigeot, Iris
- In:
Statistical papers
41
(
2000
)
4
,
pp. 409-422
Persistent link: https://www.econbiz.de/10001523628
Saved in:
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