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  • Search: subject:"Generalized AutoRegressive Conditional Heteroskedasticity"
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Year of publication
Subject
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ARCH model 74 ARCH-Modell 74 GARCH-Prozess 57 Estimation 56 Schätzung 56 Volatilität 50 Theorie 44 Volatility 44 Theory 43 Zeitreihenanalyse 38 Time series analysis 36 Schätztheorie 31 Estimation theory 30 Börsenkurs 28 Share price 27 Capital income 25 Kapitaleinkommen 25 Deutschland 24 Germany 24 Aktienmarkt 18 Stock market 17 Wechselkurs 16 Exchange rate 15 Generalized Autoregressive Conditional Heteroskedasticity 15 Aktienrendite 12 USA 12 United States 12 Welt 12 Aktienindex 11 Stock index 11 World 11 Financial market 10 Finanzmarkt 10 Risikomanagement 10 Forecasting model 9 Prognoseverfahren 9 Risikomaß 9 Risk measure 9 Statistical distribution 9 Statistische Verteilung 9
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Online availability
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Free 57 Undetermined 14 CC license 4
Type of publication
All
Book / Working Paper 83 Article 43 Other 1
Type of publication (narrower categories)
All
Article in journal 38 Aufsatz in Zeitschrift 38 Hochschulschrift 33 Working Paper 28 Thesis 27 Arbeitspapier 23 Graue Literatur 23 Non-commercial literature 23 Bibliografie enthalten 3 Bibliography included 3 Lehrbuch 2 Textbook 2 Case study 1 Fallstudie 1
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Language
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English 93 German 22 Undetermined 13 Indonesian 1
Author
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Lucas, André 8 Koopman, Siem Jan 6 Franses, Philip Hans 5 Blasques, Francisco 4 Doornik, Jurgen A. 4 Ooms, Marius 4 Dijk, Dick van 3 Meitz, Mika 3 Saikkonen, Pentti 3 Abaoub, Ezzeddine 2 Akram, Tanweer 2 Ardia, David 2 Baur, Dirk G. 2 Belhaj, Fethi 2 Caporale, Guglielmo Maria 2 Chorro, Christophe 2 Fortin, Ines 2 Francq, Christian 2 Giannarakis, Grigoris 2 Gorgi, Paolo 2 Guégan, Dominique 2 Ielpo, Florian 2 Kumar, Dilip 2 Kuzmics, Christoph 2 Lasak, Katarzyna 2 Maheswaran, S. 2 Pierdzioch, Christian 2 Sariannidis, Nikolaos 2 Schaumburg, Julia 2 van Dijk, Dick 2 Łasak, Katarzyna 2 Abdlaziz, Rizgar Abdlkarim 1 Abdurehman, Abderezak Ali 1 Adamu, Peter 1 Afsal, E. M. 1 Ahmed, Naeem 1 Algaeed, Abdulaziz Hamad 1 Almekinders, Geert J. 1 Ananzeh, Izz Eddien Naif 1 Andres, Peter 1
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Institution
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Tinbergen Instituut 3 Department of Economics, Oxford University 2 Tinbergen Institute 2 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 International Food Policy Research Institute (IFPRI) 1 School of Economics, Singapore Management University 1 İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 1
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Published in...
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International Journal of Energy Economics and Policy : IJEEP 9 International journal of economics and financial issues : IJEFI 7 Tinbergen Institute Discussion Papers 5 Discussion paper / Tinbergen Institute 4 Tinbergen Institute Discussion Paper 4 Asia-Pacific journal of financial studies 2 Bank- und finanzwirtschaftliche Forschungen 2 Berichte aus der Betriebswirtschaft 2 Borsa Istanbul Review 2 CESifo working papers 2 Dissertation.de 2 Economics Series Working Papers / Department of Economics, Oxford University 2 Kieler Arbeitspapiere 2 Reihe Quantitative Ökonomie : Ökon 2 Reihe Ökonomie 2 Springer eBook Collection / Business and Economics 2 SpringerLink / Bücher 2 Tübinger Diskussionsbeiträge 2 Akademische Abhandlungen zu den Wirtschaftswissenschaften 1 Applied economics letters 1 Asia-Pacific financial markets 1 BSP working paper series 1 Berichte aus der Statistik 1 Berichte aus der Volkswirtschaft 1 DUV / Wirtschaftswissenschaft 1 Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Diskussionsbeiträge zur Bankbetriebslehre 1 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometric reviews 1 Emerging Markets Finance and Trade 1 Empirische Wirtschaftsforschung und Ökonometrie 1 Finance research letters 1 Gabler Edition Wissenschaft 1 Gabler Theses 1 IFA-Schriftenreihe 1 IFPRI discussion papers 1 IHS economics series : working paper 1 International Journal of Economics and Financial Issues 1
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Source
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ECONIS (ZBW) 104 RePEc 16 EconStor 5 BASE 2
Showing 51 - 60 of 127
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Using the EGARCH model to examine returns and volatility spillovers in the crude oil and gold markets
Hsu, Tzu-Kuang; Tsai, Chin-Chang - In: The empirical economics letters : a monthly … 15 (2016) 3, pp. 239-244
Persistent link: https://www.econbiz.de/10011580516
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Parameter estimation in nonlinear AR–GARCH models
Meitz, Mika; Saikkonen, Pentti - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2010
general nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. We do not require …
Persistent link: https://www.econbiz.de/10008543443
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Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets
Grziska, Martin - 2015 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010488311
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A time series approach to option pricing : models, methods and empirical performances
Chorro, Christophe; Guégan, Dominique; Ielpo, Florian - 2015
Persistent link: https://www.econbiz.de/10010458461
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Time-varying conditional Johnson Su density in Value-at-Risk methodology
Cayton, Peter Julian; Mapa, Dennis - In: The Philippine review of economics : a joint … 52 (2015) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10011416114
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Evaluating the hedging effectiveness in crude palm oil futures market during financial crises
Go, You-How; Lau, Wee-Yeap - In: The journal of asset management 16 (2015) 1, pp. 52-69
Persistent link: https://www.econbiz.de/10010528217
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Factors effecting trading volume : a test of mixed distribution hypothesis
Ananzeh, Izz Eddien Naif - In: International journal of financial research 6 (2015) 4, pp. 207-216
Persistent link: https://www.econbiz.de/10011405503
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A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances
Chorro, Christophe - 2015
The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....
Persistent link: https://www.econbiz.de/10012401993
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Can We Apply Principles From Social Networking To Healthcare Informatics For Intelligent Data Analytics?
Shields, Andrew; Datta, Shoumen - 2008
Extracting the principles associated with complexity theory and swarm intelligence has offered practical solutions for routing and scheduling. Reality mining and its link with social networking relationships may yield pragmatic ideas applicable to many fields including business services and...
Persistent link: https://www.econbiz.de/10009433074
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A new approach to model and forecast volatility based on extreme value of asset prices
Kumar, Dilip; Maheswaran, S. - In: International Review of Economics & Finance 33 (2014) C, pp. 128-140
Based on the specification of the Conditional Autoregressive Range (CARR) model, we provide a framework that makes use of volatility based on the high and the low of daily prices separately to model the dynamic behavior of the conditional Rogers and Satchell (1991) estimator called herein the...
Persistent link: https://www.econbiz.de/10010930974
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