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ARCH model
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McAleer, Michael
130
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51
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41
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32
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30
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26
Spagnolo, Nicola
26
Teräsvirta, Timo
26
Rombouts, Jeroen V. K.
23
Engle, Robert F.
20
Spagnolo, Fabio
20
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19
Conrad, Christian
19
Herwartz, Helmut
18
Paolella, Marc S.
18
Linton, Oliver
16
Saikkonen, Pentti
16
Asai, Manabu
15
Karanasos, Menelaos
15
Silvennoinen, Annastiina
15
Allen, David E.
14
Koopman, Siem Jan
14
Laurent, Sébastien
14
Shephard, Neil G.
14
Sheppard, Kevin
14
Francq, Christian
13
Mittnik, Stefan
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Rahbek, Anders
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Lütkepohl, Helmut
12
Manera, Matteo
12
Zakoïan, Jean-Michel
12
Chen, Chi-chung
11
Hansen, Peter Reinhard
11
Meitz, Mika
11
Polasek, Wolfgang
11
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10
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10
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10
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10
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Ekonomiska forskningsinstitutet <Stockholm>
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4
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Brown University / Department of Economics
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Center for Economic Research <Tilburg>
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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
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2
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Svenska Handelshögskolan <Helsinki>
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17
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Cambridge working papers in economics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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9
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9
Working papers on finance
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BOFIT discussion papers
8
Discussion paper / Department of Economics, University of California San Diego
8
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ECONIS (ZBW)
1,779
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1
Bootstrapping
GARCH
models under dependent innovations
Beutner, Eric
;
Schaumburg, Julia
;
Spanjers, Barend
-
2024
This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for
GARCH
models under …
Persistent link: https://www.econbiz.de/10014457811
Saved in:
2
Energy market uncertainties and US state-level stock market volatility : a
GARCH
-MIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014505054
Saved in:
3
Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014521267
Saved in:
4
Can municipal bonds hedge US state-level climate risks?
Polat, Onur
;
Gupta, Rangan
;
Cepni, Oguzhan
;
Ji, Qiang
-
2024
Persistent link: https://www.econbiz.de/10014521269
Saved in:
5
Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł
;
Ślepaczuk, Robert
;
Windorbski, …
-
2023
Persistent link: https://www.econbiz.de/10014448210
Saved in:
6
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying
GARCH
model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
7
Climate risks and stock market volatility over a century in an emerging market economy : the case of South Africa
Wu, Kejin
;
Karmakar, Sayar
;
Gupta, Rangan
;
Pierdzioch, …
-
2023
Persistent link: https://www.econbiz.de/10014336437
Saved in:
8
Euro interest rate swap yields : a
GARCH
analysis Tanweer Akram (Citibank) and Khawaja Mamun (Sacred Heart University (SHU))
Akram, Tanweer
;
Mamun, Khawaja Abdullah al
-
2023
a generalized autoregressive conditional heteroskedasticity (
GARCH
) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014438498
Saved in:
9
The stock market effects of committing and setting GHG targets : evidence from the science-based initiative
Guerrero-Escobar, Santiago
;
Hernández del Valle, Gerardo
; …
-
2023
. However, there is limited evidence on the market effects of setting those targets. Using a
GARCH
model with a trend developed …
Persistent link: https://www.econbiz.de/10014438864
Saved in:
10
Energy-related uncertainty and international stock market volatility
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014443108
Saved in:
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