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  • Search: subject:"Conditional Heteroskedasticity"
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Year of publication
Subject
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ARCH-Modell 11,505 ARCH model 11,498 Volatilität 7,222 Volatility 7,217 Theorie 3,254 Theory 3,248 Estimation 2,939 Schätzung 2,939 Zeitreihenanalyse 2,367 Time series analysis 2,360 Börsenkurs 2,214 Share price 2,213 Capital income 2,208 Kapitaleinkommen 2,208 Prognoseverfahren 2,015 Forecasting model 2,010 Aktienmarkt 1,984 Stock market 1,982 Schätztheorie 1,548 Estimation theory 1,546 Risikomaß 1,131 Risk measure 1,131 Spillover effect 1,118 Spillover-Effekt 1,118 Welt 1,091 World 1,089 Wechselkurs 1,073 Exchange rate 1,071 GARCH 1,021 USA 973 United States 965 Correlation 960 Korrelation 960 Portfolio selection 861 Portfolio-Management 861 Aktienindex 821 Stock index 819 Risk 808 Risiko 802 Financial market 731
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Online availability
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Free 3,980 Undetermined 3,502 CC license 387
Type of publication
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Article 7,930 Book / Working Paper 3,924 Other 1
Type of publication (narrower categories)
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Article in journal 7,518 Aufsatz in Zeitschrift 7,518 Working Paper 1,885 Graue Literatur 1,849 Non-commercial literature 1,849 Arbeitspapier 1,836 Aufsatz im Buch 273 Book section 273 Hochschulschrift 151 Thesis 122 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 Article 5 Rezension 4 Conference proceedings 3 research-article 3 Amtsdruckschrift 2 Government document 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1
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Language
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English 11,581 Undetermined 160 German 59 Spanish 23 French 14 Polish 6 Portuguese 4 Czech 3 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 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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Institution
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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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Published in...
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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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Source
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ECONIS (ZBW) 11,574 RePEc 208 EconStor 54 USB Cologne (EcoSocSci) 9 BASE 7 Other ZBW resources 3
Showing 11,851 - 11,855 of 11,855
Cover Image
The impacts of kurtosis on risk stationarity : some empirical evidence
Lee, Cheng F. - In: The financial review : the official publication of the … 20 (1985) 4, pp. 263-269
Persistent link: https://www.econbiz.de/10001014875
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Estimates of the variance of U.S. inflation based upon the ARCH model
Engle", Robert F. - 1980
Persistent link: https://www.econbiz.de/10002140817
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Testing for Predictability in Conditionally Heteroskedastic Stock Returns
Westerlund, Joakim; Narayan, Paresh Kumar - Deakin University, Faculty of Business and Law, School …
The difficulty of predicting stock returns has recently motivated researchers to start looking for more powerful tests, and the current paper takes a step in this direction. Unlike existing tests, the test proposed here exploits the information contained in the heteroskedasticity of returns,...
Persistent link: https://www.econbiz.de/10010741270
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Cover Image
Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998
Olga, Kryukovskaya - EERC Research Network, Russia and CIS
expectations hypothesis are analyzed. The model with conditional heteroskedasticity with several regimes for unconditional variance …
Persistent link: https://www.econbiz.de/10005187712
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Properties of western larch and their relation to uses of the wood
Johnsen, R. P. A.; Bradner, M. I. - 1932
Persistent link: https://www.econbiz.de/10000672166
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