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~institution:"EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)"
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Search: subject:"GARCH"
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GARCH
4
Bond market
2
DCC-GARCH
2
EU ETS
2
European crisis
2
contagion
2
multivariate GARCH models
2
Asymmetric Multivariate GARCH
1
Bank fragility
1
CO2 Price
1
Commodities
1
Conditional correlation
1
Counterparty risk
1
Emerging Markets
1
Emissions Markets
1
Endogenous Structural Break Detection
1
Event study
1
Extreme co-movements
1
Financial crises
1
Forecasting
1
Futures Trading
1
GARCH models
1
HAR-RV
1
Hedge Fund
1
ICAPM
1
International asset pricing
1
Intraday data
1
Macroeconomic announcements
1
Monetary policy
1
Monte Carlo simulation
1
Multivariate GARCH
1
Option prices
1
Realized Volatility
1
Rolling Estimation
1
Value at Risk
1
Volatility
1
correlations
1
emerging markets
1
equity risk premium
1
event study
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English
4
Undetermined
4
French
3
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Chevallier, Julien
2
Sévi, Benoît
2
Audigé, Henri
1
BOURAOUI, Taoufik
1
Belgacem, Aymen
1
Creti, Anna
1
GUESMI, Khaled
1
Guesmi, Khaled
1
Henri Audigé
1
Joëts, Marc
1
Khanniche, Sabrina
1
Mignon, Valérie
1
Nguyen, Duc Khuong
1
Pen, Yannick Le
1
Rahman, Dima
1
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
231
EconWPA
48
HAL
41
School of Economics and Management, University of Aarhus
41
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
34
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
32
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
26
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
25
Erasmus University Rotterdam, Econometric Institute
25
Society for Computational Economics - SCE
23
Tinbergen Instituut
23
Institut für Schweizerisches Bankwesen <Zürich>
22
Center for Financial Studies
21
Econometric Society
21
Institut de Préparation à l'Administration et à la Gestion (IPAG)
21
National Bureau of Economic Research
21
CESifo
19
Henley Business School, University of Reading
17
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Tinbergen Institute
17
Agricultural and Applied Economics Association - AAEA
16
Ekonomiska forskningsinstitutet <Stockholm>
15
European Central Bank
15
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
14
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
13
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
13
Université Paris-Dauphine (Paris IX)
13
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
12
Department of Economics, National University of Ireland
11
Tilburg University, Center for Economic Research
11
Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
11
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
10
Centre for Analytical Finance <Århus>
10
Department of Economics and Finance, College of Business and Economics
10
Department of Economics and Related Studies, University of York
10
Finance Discipline Group, Business School
10
Institute of Economic Research, Kyoto University
10
Institut für Weltwirtschaft (IfW)
9
Institutionen för Nationalekonomi, Umeå Universitet
9
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EconomiX Working Papers
11
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RePEc
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1
A new approach of contagion based on smooth transition conditional correlation
GARCH
models: An empirical application to the Greek crisis
Audigé, Henri
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2013
Transition Conditional Correlation
GARCH
models (STCC-
GARCH
). Our results highlight the existence of contagion and “wake-up call …
Persistent link: https://www.econbiz.de/10010992421
Saved in:
2
A new approach of contagion based on smooth transition conditional correlation
GARCH
models: An empirical application to the Greek crisis
Henri Audigé
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2013
Transition Conditional Correlation
GARCH
models (STCC-
GARCH
). Our results highlight the existence of contagion and â …
Persistent link: https://www.econbiz.de/10010610178
Saved in:
3
On the links between stock and commodity markets' volatility
Joëts, Marc
;
Mignon, Valérie
;
Creti, Anna
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2012
correlation (DCC)
GARCH
methodology, we show that the correlations between commodity and stock markets evolve through time and are …
Persistent link: https://www.econbiz.de/10010992390
Saved in:
4
How strong is the global integration of emerging market regions? An empirical assessment
GUESMI, Khaled
;
Nguyen, Duc Khuong
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2011
Asset Pricing Model (ICAPM) with DCC-
GARCH
parameters that allows for dynamic changes in the degree of market integration …
Persistent link: https://www.econbiz.de/10008867995
Saved in:
5
Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI
Guesmi, Khaled
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2009
stock markets integration. To address this issue, we apply the asymmetric multivariate version of
GARCH
-BEKK with structural …
Persistent link: https://www.econbiz.de/10008556924
Saved in:
6
Evaluation of Hedge Fund Returns Value at Risk Using
GARCH
Models
Khanniche, Sabrina
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2009
The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using
GARCH
models. To perform the … phenomenon is pointed out. These features suggest the use of
GARCH
models to model the volatility of hedge fund return indexes …. Hedge fund return conditional variances are estimated by using linear models (
GARCH
) and non-linear asymmetric models …
Persistent link: https://www.econbiz.de/10008556926
Saved in:
7
Options introduction and volatility in the EU ETS
Chevallier, Julien
;
Pen, Yannick Le
;
Sévi, Benoît
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2009
instrumenting various
GARCH
models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008479209
Saved in:
8
Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements
Rahman, Dima
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2009
. Second, we estimate a multivariate Dynamic Conditional Correlation-
GARCH
(DCC-
GARCH
) model, and demonstrate significant ARCH … and
GARCH
effects, as well as time-varying correlations in CDS spreads variations. Our overall analysis rejects the …
Persistent link: https://www.econbiz.de/10008577759
Saved in:
9
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien
;
Sévi, Benoît
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2009
. Finally, the predictive accuracy of the HAR-RV model is tested against
GARCH
specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10005078954
Saved in:
10
Les spams boursiers : Etude empirique sur le marché des penny stocks
BOURAOUI, Taoufik
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2008
evolution of volatility over time through a
GARCH
(1,1) modelling. We use the methodology of event studies on a sample of …
Persistent link: https://www.econbiz.de/10005170013
Saved in:
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