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  • Search: subject:"Conditional Volatility"
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Year of publication
Subject
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Volatilität 142 Volatility 139 conditional volatility 131 ARCH-Modell 110 ARCH model 108 Conditional volatility 103 Börsenkurs 56 Share price 54 Schätzung 40 Estimation 38 Capital income 36 Kapitaleinkommen 36 Stock market 34 Theorie 34 GARCH 33 Time series analysis 33 Zeitreihenanalyse 33 Aktienmarkt 32 Conditional Volatility 32 Theory 32 Welt 26 World 26 asymmetry 24 leverage 22 conditional volatility models 19 Forecasting model 17 Prognoseverfahren 17 Risk 15 Estimation theory 14 Exchange rate 14 Schätztheorie 14 Wechselkurs 14 Oil price 13 Portfolio selection 13 Portfolio-Management 13 Ölpreis 13 Multivariate GARCH 12 Risiko 12 Aktienindex 11 Conditional volatility models 11
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Online availability
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Free 172 Undetermined 127 CC license 5
Type of publication
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Article 197 Book / Working Paper 151 Other 2
Type of publication (narrower categories)
All
Article in journal 120 Aufsatz in Zeitschrift 120 Working Paper 47 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 22 Article 6 research-article 6 Conference paper 2 Konferenzbeitrag 2 Thesis 2 Aufsatz im Buch 1 Book section 1
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Language
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English 216 Undetermined 131 German 2 Portuguese 1
Author
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McAleer, Michael 74 Chang, Chia-Lin 40 Haas, Markus 10 Mittnik, Stefan 9 Hsu, Hui-Kuang 8 Hammoudeh, Shawkat 6 Chuffart, Thomas 5 Harris, Richard D. F. 5 Kumar, Rakesh 5 Ling, Shiqing 5 Paolella, Marc S. 5 Papadamou, Stephanos 5 Stagiannis, Apostolos 5 Tansuchat, Roengchai 5 Tong, Howell 5 Allen, David E. 4 Asai, Manabu 4 Chen, Meng-Gu 4 Dhankar, Raj S. 4 Hoti, Suhejla 4 Huang, Biing-Wen 4 Lim, Christine 4 Malik, Farooq 4 McAleer, M.J. 4 Murphy, David 4 Nonejad, Nima 4 Signori, Ombretta 4 Singh, Abhay K. 4 Baluga, Anthony 3 Baumöhl, Eduard 3 Belhachemi, Rachid 3 Chan, Felix 3 Chang, C-L. 3 Chebbi, Tarek 3 Coleman, Simeon 3 Cremers, Heinz 3 Degiannakis, Stavros 3 Dime, Roselle 3 Filis, George 3 Kollias, Christos 3
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 10 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 9 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Department of Economics and Finance, College of Business and Economics 7 Center for Financial Studies 6 Erasmus University Rotterdam, Econometric Institute 5 Tinbergen Instituut 4 Bank of Greece 3 Institute of Economic Research, Kyoto University 3 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 2 HAL 2 Suomen Pankki 2 Université Paris-Dauphine (Paris IX) 2 Banca d'Italia 1 Banco de México 1 Bank of England 1 Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti 1 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE), Instituto Superior de Economia e Gestão (ISEG) 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Charles H. Dyson School of Applied Economics and Management, Cornell University 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials 1 Department of Economics, Leicester University 1 Department of Economics, Tufts University 1 Department of Economics, University of Pennsylvania 1 EconWPA 1 Frankfurt School of Finance and Management 1 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 1 Hanken Svenska Handelshögskolan 1 Henley Business School, University of Reading 1 Hong Kong Monetary Authority 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 Institut für Volkswirtschaftslehre, Johannes-Kepler-Universität Linz 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 International Economics Section, The Graduate Institute of International and Development Studies 1 Nottingham Trent University, Nottingham Business School, Economics Division 1 Office of Regional Economic Integration, Asian Development Bank 1
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Published in...
All
Discussion paper / Tinbergen Institute 12 Tinbergen Institute Discussion Paper 12 Documentos de Trabajo del ICAE 10 Econometric Institute Research Papers 9 Finance research letters 9 MPRA Paper 9 International review of financial analysis 7 Research in international business and finance 7 Working Papers in Economics 7 CFS Working Paper Series 6 Econometrics 6 Mathematics and Computers in Simulation (MATCOM) 6 Econometric Institute Report 5 Economic modelling 4 Tinbergen Institute Discussion Papers 4 Applied economics 3 CFS Working Paper 3 Econometrics : open access journal 3 Economics Letters 3 International journal of economics and financial issues : IJEFI 3 International journal of finance & economics : IJFE 3 International review of economics & finance : IREF 3 KIER Working Papers 3 Working Papers / Bank of Greece 3 Asian Academy of Management Journal of Accounting and Finance 2 Borsa Istanbul Review 2 DFAEII Working Papers 2 Econometric Reviews 2 Economic Modelling 2 Economics Bulletin 2 Economics Papers from University Paris Dauphine 2 Economics letters 2 Energy economics 2 Frankfurt School - Working Paper Series 2 Global Business Review 2 International Journal of Economics and Business Research 2 International Journal of Energy Economics and Policy : IJEEP 2 International Journal of Monetary Economics and Finance 2 Istanbul Stock Exchange Review 2 Journal of International Financial Markets, Institutions and Money 2
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Source
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RePEc 165 ECONIS (ZBW) 144 EconStor 31 Other ZBW resources 6 BASE 4
Showing 121 - 130 of 350
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …
Persistent link: https://www.econbiz.de/10010405194
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The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...
Persistent link: https://www.econbiz.de/10010326144
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The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
Azis, Iwan J.; Mitra, Sabyasachi; Baluga, Anthony; … - 2013
This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth of individual bond markets in recent years has been...
Persistent link: https://www.econbiz.de/10010507534
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Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan
Chang, Chia-Lin; Hsu, Hui-Kuang - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the...
Persistent link: https://www.econbiz.de/10011110214
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Volatility and dynamic conditional correlations of European emerging stock markets
Baumohl, Eduard; Lyocsa, Stefan - Volkswirtschaftliche Fakultät, … - 2013
This study examines the relationship between time-varying correlations and conditional volatility among eight European …
Persistent link: https://www.econbiz.de/10011112735
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Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market
El GHINI, Ahmed; SAIDI, Youssef - Volkswirtschaftliche Fakultät, … - 2013
In this paper, we aim at the study of the contagion of the global financial crisis (2007-2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define...
Persistent link: https://www.econbiz.de/10011114049
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Cover Image
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...
Persistent link: https://www.econbiz.de/10010732584
Saved in:
Cover Image
The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
Azis, Iwan; Mitra, Sabyasachi; Baluga, Anthony; Dime, … - Office of Regional Economic Integration, Asian … - 2013
This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth of individual bond markets in recent years has been...
Persistent link: https://www.econbiz.de/10010841097
Saved in:
Cover Image
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; McAleer, Michael; Hsu, Hui-Kuang - Facultad de Ciencias Económicas y Empresariales, … - 2013
This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...
Persistent link: https://www.econbiz.de/10010862578
Saved in:
Cover Image
Selection Criteria in Regime Switching Conditional Volatility Models
Chuffart, Thomas - HAL - 2013
A large number of non linear conditional heteroskedastic models have been proposed in the literature and practitioners do not have always the tools to choose the correct specification. In this article, our main interest is to know if usual choice criteria lead them to choose the good...
Persistent link: https://www.econbiz.de/10010933939
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