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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
All
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 1 - 10 of 127
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Interplay of volatility and geopolitical tensions in clean energy markets : a comprehensive GARC-ISTM forecasting approach
Brik, Hatem; Ouakdi, Jihene El - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 4, pp. 92-107
Persistent link: https://www.econbiz.de/10014634872
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The volatility spillover of global oil price uncertainty
Pícha, Kamil; Tichá, Lucie; Chuponov, Sanat; Ataev, Jasur - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 619-624
Persistent link: https://www.econbiz.de/10014533486
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Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786
(SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive … conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the …
Persistent link: https://www.econbiz.de/10014635386
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Euro interest rate swap yields: A GARCH analysis Tanweer Akram (Citibank) and Khawaja Mamun (Sacred Heart University (SHU))
Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023
a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014474478
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Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja - 2023
a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014438498
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2022
Persistent link: https://www.econbiz.de/10013399810
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Balance sheet approach to forecasting currency in circulation
Glova, Adrian Matthew G.; Hernandez, Roy R. - 2022
Persistent link: https://www.econbiz.de/10014318687
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Random autoregressive models : a structured overview
Regis, Marta; Serra, Paulo; Heuvel, Edwin R. van den - In: Econometric reviews 41 (2022) 2, pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
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Decoding herding dynamics in the generative AI investment amid key technological advancements : a timeline perspective
Wang, Haibo - In: Finance research letters 64 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014531720
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What drives the volatility of non-fungible tokens (NFTs) : macroeconomic fundamentals or investor attention?
Jiang, Minghan; Xia, Yufei - In: Applied economics letters 31 (2024) 16, pp. 1439-1448
Persistent link: https://www.econbiz.de/10015075407
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