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~subject:"Multivariate GARCH"
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Multivariate GARCH
ARCH-Modell
10,458
ARCH model
10,358
Volatility
6,852
Volatilität
6,723
Schätzung
3,102
Estimation
3,067
Theorie
2,814
Theory
2,767
Börsenkurs
2,447
GARCH
2,438
Share price
2,418
Kapitaleinkommen
2,399
Capital income
2,395
Aktienmarkt
2,190
Stock market
2,190
Zeitreihenanalyse
1,863
Prognoseverfahren
1,858
Time series analysis
1,845
Forecasting model
1,838
Spillover-Effekt
1,166
Spillover effect
1,161
Schätztheorie
1,091
Estimation theory
1,084
Risikomaß
1,063
Risk measure
1,060
USA
1,038
Exchange rate
1,015
Wechselkurs
1,005
United States
1,004
Welt
997
World
989
Correlation
857
Korrelation
856
Oil price
797
Ölpreis
791
Portfolio selection
761
Portfolio-Management
761
Aktienindex
662
Stock index
654
Risk
625
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Free
156
Undetermined
129
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Article
201
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145
Other
2
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125
Aufsatz in Zeitschrift
125
Working Paper
39
Graue Literatur
21
Non-commercial literature
21
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20
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2
research-article
2
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English
209
Undetermined
135
Portuguese
4
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Chang, Chia-Lin
13
McAleer, Michael
12
Guesmi, Khaled
11
Haas, Markus
9
Manera, Matteo
9
Mittnik, Stefan
9
Nicolini, Marcella
9
Tansuchat, Roengchai
9
Teulon, Frédéric
9
Antonakakis, Nikolaos
8
Caporin, Massimiliano
8
Silvennoinen, Annastiina
8
Teräsvirta, Timo
8
Paolella, Marc S.
7
Nguyen, Duc Khuong
6
Violante, Francesco
6
Charlot, Philippe
5
Conrad, Christian
5
Khan, Salman
5
Marimoutou, Vêlayoudom
5
Vignati, Ilaria
5
Weber, Enzo
5
Batteau, Pierre
4
González-Serrano, Lydia
4
Hafner, Christian M.
4
Hammami, Yacine
4
Hammoudeh, Shawkat
4
Hernandez, Manuel A.
4
Herwartz, Helmut
4
Jilani, Faouzi
4
Jimenez-Martin, Juan-Angel
4
Maranhão, André Nunes
4
Pedersen, Rasmus Søndergaard
4
Rahbek, Anders
4
Stentoft, Lars
4
Trupkin, Danilo R.
4
Abdelradi, Fadi
3
Aielli, Gian Piero
3
Behmiri, Niaz Bashiri
3
Boswijk, H. Peter
3
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
Center for Financial Studies
6
Econometric Society
5
HAL
5
Institut de Préparation à l'Administration et à la Gestion (IPAG)
5
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
4
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
School of Economics and Management, University of Aarhus
4
Department of Economics and Finance, College of Business and Economics
3
Institute of Economic Research, Kyoto University
3
Banco de México
2
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
EconWPA
2
Instituto Valenciano de Investigaciones Económicas (IVIE)
2
Nationalekonomiska institutionen, Stockholms Universitet
2
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
2
Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
1
BANCO DE LA REPÚBLICA
1
Banca d'Italia
1
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
1
Centro Ricerche Nord Sud (CRENoS)
1
Departamento de Economía, Universidad Carlos III de Madrid
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Department of Accounting, Finance and Economics, Griffith Business School
1
Department of Economics and Related Studies, University of York
1
Department of Economics, Auburn University
1
Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe
1
Department of Economics, National University of Singapore
1
Department of Economics, University of California-Riverside
1
Department of Economics, University of Victoria
1
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
1
Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
1
Dipartimento di Scienze Economiche e Statistiche (DISES), Università degli Studi di Salerno
1
Dipartimento di Statistica, Università degli Studi di Milano-Bicocca
1
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Economics Department, Ben Gurion University of the Negev
1
Economics Department, University of Strathclyde
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
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Energy economics
13
MPRA Paper
10
Economic modelling
9
Energy Economics
9
Journal of banking & finance
8
Research in international business and finance
7
CFS Working Paper Series
6
Economics Bulletin
5
SSE/EFI Working Paper Series in Economics and Finance
5
Working Papers / HAL
5
Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG)
5
CREATES Research Papers
4
Documentos de Trabajo del ICAE
4
Economics letters
4
Finance research letters
4
Journal of Banking & Finance
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of econometrics
4
Mathematics and Computers in Simulation (MATCOM)
4
The North American Journal of Economics and Finance
4
The energy journal
4
CFS Working Paper
3
Economic Modelling
3
Economics Letters
3
Journal of International Financial Markets, Institutions and Money
3
Journal of International Money and Finance
3
Journal of empirical finance
3
Journal of international financial markets, institutions & money
3
KIER Working Papers
3
The North American journal of economics and finance : a journal of financial economics studies
3
Working Papers in Economics
3
CORE Discussion Papers
2
Computational Statistics & Data Analysis
2
Decision
2
Discussion paper / Tinbergen Institute
2
Discussion paper series / University of Heidelberg, Department of Economics
2
ERC Working Papers
2
Econometric Reviews
2
Econometric Society 2004 Australasian Meetings
2
Econometric Society 2004 North American Winter Meetings
2
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Source
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RePEc
173
ECONIS (ZBW)
147
EconStor
21
BASE
5
Other ZBW resources
2
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1
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348
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1
The choice of
GARCH
models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...
Gohs, Andreas Marcus
-
2022
-at-Risk forecasts. The univariate and multivariate
GARCH
models proposed in the literature are reviewed and the suitability of selected … R functions for automated forecasting systems is discussed. With the Markov-switching
GARCH
function constructed for … case of structural breaks or outliers, the algorithm of the ordinary
GARCH
function often does not return valid parameter …
Persistent link: https://www.econbiz.de/10013474092
Saved in:
2
Stock markets integration between Western Europe and Central and South-Eastern Europe : latest trends
Minović, Jelena
;
Janković, Irena
;
Kovačević, Vlado
- In:
Economic analysis : EA
55
(
2022
)
1
,
pp. 63-75
Persistent link: https://www.econbiz.de/10013366032
Saved in:
3
Exploring the relationship between digital trails of social signals and bitcoin returns
Yelkenci, Tezer
;
Yelkenci, Birce Dobrucalı
;
Vardar, Gülin
- In:
Studies in economics and finance
41
(
2024
)
1
,
pp. 125-147
Persistent link: https://www.econbiz.de/10014467192
Saved in:
4
The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets : evidence from the pre- and post-COVID-19 periods
Tarchella, Salma
;
Khalfaoui, Rabeh
;
Hammoudeh, Shawkat
- In:
Research in international business and finance
67
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451553
Saved in:
5
Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu
;
Dufour, Alfonso
- In:
The quarterly review of economics and finance
94
(
2024
),
pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
Saved in:
6
Inflation uncertainty
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
Saved in:
7
Dynamic conditional eigenvalue
GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
8
Asset pricing using block-cholesky
GARCH
and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
9
Asset pricing using Block-Cholesky
GARCH
and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012543884
Saved in:
10
Asset pricing using Block-Cholesky
GARCH
and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012487978
Saved in:
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