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  • Search: subject:"GARCH modeling"
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Year of publication
Subject
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GARCH modeling 12 Volatility 8 ARCH model 4 ARCH-Modell 4 T-GARCH modeling 4 Volatilität 4 BRIC 3 Energy Markets 3 GARCH 3 Extreme Value Theory 2 Generalized Pareto Distribution 2 Islamic mutual funds 2 Peaks-over-Thresholds Model 2 Portfolio selection 2 Portfolio-Management 2 Swedish electricity market 2 Time-Varying Parameters 2 Use of Explanatory Variables 2 Value-at-Risk 2 forecasting 2 market timing 2 multi-scale analysis 2 performance analysis 2 performance persistence 2 selectivity skills 2 ARCH-GARCH modeling 1 ARMA model 1 ARMA-Modell 1 Agribusiness 1 Anlageverhalten 1 Anleihe 1 Behavioural finance 1 Bond 1 Bond market 1 COGARCH Modeling 1 Capital income 1 Commodity derivative 1 Commodity market 1 Commodity price 1 Corporate bond 1
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Online availability
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Free 13 Undetermined 5 CC license 1
Type of publication
All
Article 11 Book / Working Paper 7 Other 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 2 Arbeitspapier 1 Article 1 Conference Paper 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 11 Undetermined 8
Author
All
Gassie, Esmeralda 3 Cerin, Pontus 2 Morales, Lucia 2 Morales, Lucía 2 Rehme, Jakob 2 Sahamkhadam, Maziar 2 Taghizadeh-Hesary, Farhad 2 Tang, Ou 2 Uddin, Mohammed Gazi Salah 2 Yahya, Muhammad 2 Zouaoui, Marwa 2 Andréosso-O'Callaghan, Bernadette 1 BILDIK, RECEP 1 Bechtel, Michael 1 Cayton, Peter Julian 1 Cayton, Peter Julian A. 1 Dennis S. Mapa, Ph. D. 1 ELEKDAG, SELIM 1 Füss, Roland 1 Gurgul, Henryk 1 Kim, Young Shin 1 Korap, Levent 1 Kurosaki, Tetsuo 1 Lising, Mary Therese 1 Lising, Mary Therese A. 1 Mapa, Dennis S. 1 Mestel, Roland 1 Pawe³ Majdosz 1 Pham, Linh 1 Schmidt, Martin 1 Slaláček, Jiří 1 Unal, Gazanfer 1 Yildirim, Yavuz 1
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Leibniz-Institut für Agrarentwicklung in Transformationsökonomien (IAMO) 1
Published in...
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MPRA Paper 3 ADBI Working Paper Series 1 Bulletin of the Czech Econometric Society 1 Czech Journal of Economics and Finance (Finance a uver) 1 Economics, management and financial markets 1 Emerging Markets Finance and Trade 1 Empirical Economics 1 Finance research letters 1 IAMO Forum 2011, Halle (Saale), June 23 - 24, 2011: Will the 'BRICs Decade' continue? – Prospects for trade and growth 1 IAMO Forum 2011: Will the "BRICs Decade" Continue? – Prospects for Trade and Growth 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 Journal of Advanced Studies in Finance 1 Journal of sustainable finance & investment 1 Public Choice 1 Working papers / ADB Institute 1
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Source
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RePEc 10 ECONIS (ZBW) 5 EconStor 3 BASE 1
Showing 1 - 10 of 19
Cover Image
Analysis of forecasting models in an electricity market under volatility
Uddin, Mohammed Gazi Salah; Tang, Ou; Sahamkhadam, Maziar; … - 2021
Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. This study reports an extensive empirical analysis that we conducted to evaluate the...
Persistent link: https://www.econbiz.de/10012610107
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Cover Image
Analysis of forecasting models in an electricity market under volatility
Uddin, Mohammed Gazi Salah; Tang, Ou; Sahamkhadam, Maziar; … - 2021
Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. This study reports an extensive empirical analysis that we conducted to evaluate the...
Persistent link: https://www.econbiz.de/10012417069
Saved in:
Cover Image
Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds
Zouaoui, Marwa - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-19
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...
Persistent link: https://www.econbiz.de/10013200226
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Selectivity and market timing ability of fund managers : comparative analysis of Islamic and conventional HSBC Saudi mutual funds
Zouaoui, Marwa - In: International Journal of Financial Studies : open … 7 (2019) 3/48, pp. 1-19
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...
Persistent link: https://www.econbiz.de/10012150279
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Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Kurosaki, Tetsuo; Kim, Young Shin - In: Finance research letters 45 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014576824
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Volatility in agricultural commodity and oil markets during times of crises
Morales, Lucia; Andréosso-O'Callaghan, Bernadette - In: Economics, management and financial markets 12 (2017) 4, pp. 59-82
Persistent link: https://www.econbiz.de/10011891529
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Structural breaks and financial volatility: Lessons from BRIC countries
Morales, Lucía; Gassie, Esmeralda - 2011
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...
Persistent link: https://www.econbiz.de/10010306930
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Structural Breaks and Financial Volatility: Lessons from BRIC Countries
Morales, Lucia; Gassie, Esmeralda - 2011
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...
Persistent link: https://www.econbiz.de/10009446192
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Cover Image
Structural breaks and financial volatility: Lessons from BRIC countries
Morales, Lucía; Gassie, Esmeralda - Leibniz-Institut für Agrarentwicklung in … - 2011
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...
Persistent link: https://www.econbiz.de/10009360222
Saved in:
Cover Image
Is it risky to go green? : a volatility analysis of the green bond market
Pham, Linh - In: Journal of sustainable finance & investment 6 (2016) 4, pp. 263-291
Persistent link: https://www.econbiz.de/10011723088
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