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  • Search: subject:"Conditional variance"
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Year of publication
Subject
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conditional variance 67 Volatility 42 ARCH-Modell 38 Conditional variance 38 ARCH model 37 Volatilität 34 Conditional Variance 24 Capital income 21 Kapitaleinkommen 21 Schätzung 21 Estimation 19 Börsenkurs 18 GARCH 17 Share price 17 Aktienmarkt 16 Stock market 16 Forecasting model 14 Prognoseverfahren 14 Schätztheorie 14 Estimation theory 13 Theorie 13 Time series analysis 12 Zeitreihenanalyse 12 Theory 11 China 9 asymptotic theory 9 Analysis of variance 8 MIDAS 8 Varianzanalyse 8 volatility 8 CAPM 7 DCC-GARCH model 7 stationarity conditions 7 Cointegration 6 Conditional mean 6 Exchange rate 6 Inflation 6 Risiko 6 Risk 6 Financial crisis 5
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Online availability
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Free 76 Undetermined 48 CC license 2
Type of publication
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Article 88 Book / Working Paper 78 Other 2
Type of publication (narrower categories)
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Article in journal 50 Aufsatz in Zeitschrift 50 Working Paper 20 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 research-article 4 Article 3 Conference paper 1 Konferenzbeitrag 1
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Language
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English 100 Undetermined 66 Polish 1 Portuguese 1
Author
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McAleer, Michael 7 Caporin, Massimiliano 6 Faldzinski, Marcin 6 Balcerzak, Adam P. 5 He, Changli 5 Pietrzak, Michal Bernard 5 Audrino, Francesco 4 Meluzin, Tomas 4 Razzak, Weshah 4 Teräsvirta, Timo 4 Zinecker, Marek 4 Chiang, Thomas C. 3 Coffie, William 3 Cserna, Balázs 3 Diongue, Abdou Kâ 3 Ghysels, Eric 3 Girardin, Eric 3 Guérin, Pierre 3 Joyeux, Roselyne 3 Marcellino, Massimiliano 3 Palandri, Alessandro 3 SULEIMANN, Ryan 3 Sharma, Prateek 3 Vignal, Bertrand 3 Addison, John T. 2 Amanjot Singh 2 Bailey, Ralph W. 2 Banerjee, Prashanta K. 2 Belasco, Eric J. 2 Brunhart, Andreas 2 Chebbi, Tarek 2 Chen, Xiaoyu 2 Dang, Justin 2 Dette, Holger 2 Dimitriou, Dimitrios 2 Emran, M. Shahe 2 Entezarkheir, Mahdiyeh 2 Ghassan, Hassan B. 2 Goodwin, Barry K. 2 Guegan, Dominique 2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 5 EconWPA 4 C.E.P.R. Discussion Papers 2 Department of Economics and Finance, College of Business and Economics 2 HAL 2 School of Economics and Political Science, Universität St. Gallen 2 Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 1 Asociación Española de Economía y Finanzas Internacionales - AEEFI 1 Bank of Greece 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews 1 Cowles Foundation for Research in Economics, Yale University 1 Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro 1 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1 Department of Economics, University of Birmingham 1 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 Département de Sciences Économiques, Université de Montréal 1 Econometric Society 1 Economics and Econometrics Research Institute (EERI) 1 Erasmus University Rotterdam, Econometric Institute 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Finance Discipline Group, Business School 1 Fundación BBVA 1 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 1 Hanken Svenska Handelshögskolan 1 IESE Business School, Universidad de Navarra 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 1 Institute of Economic Research, Kyoto University 1 Institutionen för Nationalekonomi, Umeå Universitet 1 Instituto Complutense de Estudios Internacionales (ICEI), Facultad de Ciencias Económicas y Empresariales 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Reserve Bank of Australia 1 School of Business, Edith Cowan University 1 School of Economics and Management, University of Aarhus 1 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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MPRA Paper 7 Institute of Economic Research Working Papers 6 Econometrics 5 SSE/EFI Working Paper Series in Economics and Finance 5 Finance research letters 3 CEPR Discussion Papers 2 EERI Research Paper Series 2 Iranian Economic Review 2 Istanbul Stock Exchange Review 2 Journal of Empirical Finance 2 Journal of empirical finance 2 Metrika 2 Post-Print / HAL 2 Review of quantitative finance and accounting 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 Working Papers in Economics 2 "Marco Fanno" Working Papers 1 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 1 Acta Universitatis Danubius. OEconomica 1 Agricultural economics : the journal of the International Association of Agricultural Economists 1 Annals of the Institute of Statistical Mathematics 1 Applied economics 1 Applied economics letters 1 Atlantic Economic Journal 1 Atlantic economic journal : AEJ 1 BAFFI CAREFIN Centre Research Paper 1 CREATES Research Papers 1 CRIEFF Discussion Papers 1 Cahiers de recherche 1 Central European journal of economic modelling and econometrics 1 China economic review : an international journal 1 Cowles Foundation Discussion Papers 1 DFAEII Working Papers 1 Department of Economics, Working Paper Series 1 Discussion Paper 1 Discussion Paper Series 1 Discussion Papers / Department of Economics, University of Birmingham 1 Discussion paper series / University of Heidelberg, Department of Economics 1 Discussion papers / Department of Economics, The University of Birmingham 1 Documentos de Trabajo del ICAE 1
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Source
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RePEc 88 ECONIS (ZBW) 56 EconStor 17 Other ZBW resources 4 BASE 3
Showing 121 - 130 of 168
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The relationships among interest rate, exchange rate and stock price : a BEKK- MGARCH approach
Türkyılmaz, Serpil; Balıbey, Mesut - In: International journal of economics, finance and … 1 (2013) 3, pp. 166-174
Persistent link: https://www.econbiz.de/10010251806
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Macro fundamentals as a source of stock market volatility in China : a GARCH-MIDAS approach
Girardin, Eric; Joyeux, Roselyne - In: Economic modelling 34 (2013), pp. 59-68
Persistent link: https://www.econbiz.de/10010360615
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Predicting instability
Razzak, Weshah A. - In: Applied economics 45 (2013) 22/24, pp. 3305-3315
Persistent link: https://www.econbiz.de/10010345431
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The Relationship between Risk and Expected Return in Europe
Rubio Irigoyen, Gonzalo; León, Angel; Nave, Juan - Departamento de Fundamentos del Análisis Económico … - 2005
Persistent link: https://www.econbiz.de/10004972676
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The Relationship between Risk and Expected Return in Europe
León Valle, León Valle Ángel; Nave Pineda, Nave … - Fundación BBVA - 2005
conditional variance. We also find that asymmetric specifications of the variance process within the MIDAS framework improve the …
Persistent link: https://www.econbiz.de/10008684737
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Influence of the American financial market on other markets during the subprime crisis
Płuciennik, Piotr - In: Folia oeconomica Stetinensia : FOS 12 (2012) 2, pp. 19-30
Persistent link: https://www.econbiz.de/10010241690
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Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach
Égert, Balázs; Koubaa, Yosra - 2004
This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 …
Persistent link: https://www.econbiz.de/10009476868
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Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model
Milunovich, George - Econometric Society - 2004
A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...
Persistent link: https://www.econbiz.de/10005063659
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Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach
Égert, Balázs; Koubaa, Yosra - William Davidson Institute, University of Michigan - 2004
This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 …
Persistent link: https://www.econbiz.de/10005652670
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M.; Meyer, Katharina M. M. - 2003
logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained …
Persistent link: https://www.econbiz.de/10010266138
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