//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Börsenkurs"
~subject:"Schätzung"
~person:"Engle, Robert F."
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"GARCH"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Börsenkurs
Schätzung
ARCH model
60
ARCH-Modell
59
Volatility
29
Volatilität
28
Theorie
23
Theory
23
Capital income
19
Correlation
19
Kapitaleinkommen
19
Korrelation
19
Estimation theory
13
GARCH
13
Schätztheorie
13
Aktienmarkt
12
Stock market
12
Markowitz portfolio selection
11
Share price
11
Time series analysis
11
Zeitreihenanalyse
11
Estimation
9
Forecasting model
9
Prognoseverfahren
9
nonlinear shrinkage
9
Portfolio selection
8
Portfolio-Management
8
Dynamic conditional correlations
7
International financial market
7
Internationaler Finanzmarkt
7
USA
7
United States
7
multivariate GARCH
7
Risikomanagement
6
Risk management
6
intraday data
6
Composite likelihood
5
Multivariate Analyse
5
Multivariate analysis
5
Option pricing theory
5
more ...
less ...
Online availability
All
Free
4
Undetermined
4
Type of publication
All
Book / Working Paper
11
Article
5
Type of publication (narrower categories)
All
Arbeitspapier
6
Working Paper
6
Graue Literatur
5
Non-commercial literature
5
Article in journal
4
Aufsatz in Zeitschrift
4
Aufsatz im Buch
1
Book section
1
more ...
less ...
Language
All
English
16
Author
All
Engle, Robert F.
McAleer, Michael
60
Gupta, Rangan
48
Ma, Feng
33
Chang, Chia-Lin
28
Bouri, Elie
25
Herwartz, Helmut
22
Kumar, Dilip
22
Bauwens, Luc
20
Conrad, Christian
20
Caporale, Guglielmo Maria
18
Paolella, Marc S.
18
Koopman, Siem Jan
17
Mittnik, Stefan
17
Tiwari, Aviral Kumar
17
Karanasos, Menelaos
16
Yoon, Seong-min
16
Zhang, Yaojie
16
Chiang, Thomas C.
15
Jawadi, Fredj
15
Silvennoinen, Annastiina
15
Allen, David E.
14
Floros, Christos
14
Teräsvirta, Timo
14
Huang, Zhuo
13
Molnár, Peter
13
Wei, Yu
13
Wu, Xinyu
13
Antonakakis, Nikolaos
12
Brooks, Robert
12
Corbet, Shaen
12
Balcilar, Mehmet
11
Caporin, Massimiliano
11
Demirer, Rıza
11
Haas, Markus
11
Hafner, Christian M.
11
Kang, Sang Hoon
11
Malik, Farooq
11
Miller, Stephen M.
11
Nonejad, Nima
11
more ...
less ...
Institution
All
National Bureau of Economic Research
1
Published in...
All
Discussion paper / Department of Economics, University of California San Diego
4
Working paper series / University of Zurich, Department of Economics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Forecasting volatility in the financial markets
1
Journal of banking & finance
1
NBER working paper series
1
The review of financial studies
1
Working paper / National Bureau of Economic Research, Inc.
1
Working paper series / Czech National Bank
1
Working papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
16
Showing
1
-
10
of
16
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
2
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
3
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2021
-
This version: June 2021
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10012584099
Saved in:
4
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2020
as Markowitz portfolio selection. A popular tool to this end are multivariate
GARCH
models. Historically, such models did …
Persistent link: https://www.econbiz.de/10012253083
Saved in:
5
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
6
The factor-spline-
GARCH
model for high and low frequency correlations
Rangel, Jose Gonzalo
;
Engle, Robert F.
-
2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-
GARCH
; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
Saved in:
7
The spline
GARCH
model for unconditional volatility and its global macroeconomic causes
Engle, Robert F.
;
Rangel, Jose Gonzalo
-
2005
Persistent link: https://www.econbiz.de/10003331373
Saved in:
8
Forecasting intraday volatility in the US equity market : multiplicative component
GARCH
Engle, Robert F.
;
Sokalska, Magdalena E.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 54-83
Persistent link: https://www.econbiz.de/10009519713
Saved in:
9
A
GARCH
option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
Saved in:
10
What good is a volatility model?
Engle, Robert F.
;
Patton, Andrew J.
- In:
Forecasting volatility in the financial markets
,
(pp. 47-63)
.
2007
Persistent link: https://www.econbiz.de/10003872831
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->