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  • Search: subject:"Conditional Volatility Models"
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Year of publication
Subject
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conditional volatility models 21 asymmetry 20 leverage 16 Volatility 13 Volatilität 13 ARCH model 12 ARCH-Modell 12 Conditional volatility models 11 Tourism 9 random coefficient complex nonlinear moving average process 9 Conditional Volatility Models 7 Time series analysis 7 Zeitreihenanalyse 7 random coefficient autoregressive processes 7 Asymmetry 6 firm size 6 volatility size effects 6 DJIA 5 Sentiment Scores 5 TRNA 5 Theorie 5 Theory 5 stock returns 5 Börsenkurs 4 Estimation 4 Firm size 4 Schätzung 4 Share price 4 Stochastic process 4 Stochastischer Prozess 4 joining the WTO 4 moment conditions 4 tourism policy reform 4 Brazilian Amazon 3 Capital income 3 EGARCH 3 Hog prices 3 Kapitaleinkommen 3 Modellierung 3 Risk 3
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Online availability
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Free 32 Undetermined 8
Type of publication
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Book / Working Paper 32 Article 12
Type of publication (narrower categories)
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Working Paper 13 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article in journal 6 Aufsatz in Zeitschrift 6 Article 1
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Language
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English 24 Undetermined 20
Author
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McAleer, Michael 35 Chang, Chia-Lin 23 Hsu, Hui-Kuang 8 Allen, David E. 4 Chen, Meng-Gu 4 Huang, Biing-Wen 4 Singh, Abhay K. 4 Divino, Jose Angelo 2 Hsu, Shu-Han 2 Li, Yiying 2 Allen, David Edmund 1 Caporin, Massimiliano 1 Chan, Felix 1 Chang, C-L. 1 Chen, Chen, M-G. 1 Chen, M.-G. 1 Costola, Michele 1 Divino, Divino, J.A. 1 Divino, J. A. 1 Hoti, Suhejla 1 Hsu, Hsu, H-K. 1 Huang, B-W. 1 Huang, Huang, B-W. 1 Lin, Weidong 1 Mazzeu, João H. G. 1 McAleer, M.J. 1 Mendes, Fernando Henrique de Paula e Silva 1 Olmo, Jose 1 Singh, Abhay Kumar 1 Taamouti, Abderrahim 1 Turatti, Douglas Eduardo 1
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Department of Economics and Finance, College of Business and Economics 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Tinbergen Instituut 3 Erasmus University Rotterdam, Econometric Institute 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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Discussion paper / Tinbergen Institute 6 Tinbergen Institute Discussion Paper 6 Documentos de Trabajo del ICAE 5 Working Papers in Economics 4 Econometric Institute Research Papers 3 Mathematics and Computers in Simulation (MATCOM) 3 Tinbergen Institute Discussion Papers 3 Econometric Institute Report 2 Econometrics 2 MPRA Paper 2 Applied economics 1 Econometric Institute research papers 1 Econometrics : open access journal 1 Economics letters 1 International review of economics & finance : IREF 1 Journal of forecasting 1 Journal of money, credit and banking : JMCB 1 The North American Journal of Economics and Finance 1
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Source
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RePEc 24 ECONIS (ZBW) 13 EconStor 7
Showing 41 - 44 of 44
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Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO
Chang, Chia-Lin; Huang, Biing-Wen; Chen, Meng-Gu; … - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1491-1506
Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999...
Persistent link: https://www.econbiz.de/10010870263
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Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
Chang, Chia-Lin; Huang, Biing-Wen; Chen, Meng-Gu; … - Department of Economics and Finance, College of … - 2010
Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999...
Persistent link: https://www.econbiz.de/10008568099
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Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
Huang, Biing-Wen; Chen, Meng-Gu; Chang, Chia-Lin; … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 5, pp. 1472-1487
volatility models all fit the data extremely well. The empirical second moment and log-moment conditions also support the …, their logarithms and their growth rates are stationary, and that the estimated symmetric and asymmetric conditional …
Persistent link: https://www.econbiz.de/10010748643
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Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
Hoti, Suhejla; McAleer, Michael; Chan, Felix - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 1, pp. 46-56
Atmospheric carbon dioxide concentrations (ACDC) are critical to the global temperature control system and climate change, with ACDC levels having increased rapidly since the start of the industrial revolution in the late 1700s, and the climate having become quite unstable with significant...
Persistent link: https://www.econbiz.de/10010870018
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