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  • Search: subject:"Generalized Autoregressive Conditional Heteroscedasticity"
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Year of publication
Subject
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ARCH model 3,776 ARCH-Modell 3,776 Volatility 2,340 Volatilität 2,339 Theorie 1,142 Theory 1,142 Estimation 928 Schätzung 928 Time series analysis 891 Zeitreihenanalyse 891 Börsenkurs 698 Share price 698 Capital income 689 Kapitaleinkommen 689 Forecasting model 660 Prognoseverfahren 660 Estimation theory 607 Schätztheorie 607 Aktienmarkt 502 Stock market 502 Exchange rate 342 Wechselkurs 342 Spillover effect 336 Spillover-Effekt 336 Risikomaß 333 Risk measure 333 Welt 318 World 318 Correlation 306 Korrelation 306 GARCH 282 Portfolio selection 244 Portfolio-Management 244 Risk 244 Financial market 242 Finanzmarkt 242 Risiko 242 Aktienindex 235 Stock index 235 Stochastic process 231
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Online availability
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Free 3,781 CC license 385
Type of publication
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Book / Working Paper 2,824 Article 957
Type of publication (narrower categories)
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Arbeitspapier 1,428 Working Paper 1,428 Graue Literatur 1,411 Non-commercial literature 1,411 Article in journal 959 Aufsatz in Zeitschrift 959 Hochschulschrift 33 Thesis 19 Collection of articles of several authors 8 Collection of articles written by one author 8 Sammelwerk 8 Sammlung 8 Conference paper 5 Forschungsbericht 5 Konferenzbeitrag 5 Systematic review 3 Übersichtsarbeit 3 Aufsatzsammlung 2 Case study 2 Fallstudie 2 Article 1 Konferenzschrift 1 Research Report 1
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Language
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English 3,768 German 7 Spanish 3 Undetermined 2 French 1 Polish 1
Author
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McAleer, Michael 157 Chang, Chia-Lin 68 Caporale, Guglielmo Maria 42 Hafner, Christian M. 39 Bauwens, Luc 38 Gupta, Rangan 35 Teräsvirta, Timo 33 Caporin, Massimiliano 32 Rombouts, Jeroen V. K. 29 Conrad, Christian 28 Asai, Manabu 26 Allen, David E. 24 Engle, Robert F. 24 Koopman, Siem Jan 21 Rahbek, Anders 20 Silvennoinen, Annastiina 20 Linton, Oliver 19 Bollerslev, Tim 18 Lütkepohl, Helmut 18 Ardia, David 17 Diebold, Francis X. 17 Hansen, Peter Reinhard 17 Herwartz, Helmut 17 Karanasos, Menelaos 17 Sheppard, Kevin 17 Spagnolo, Nicola 17 Degiannakis, Stavros Antonios 16 Lucas, André 16 Paolella, Marc S. 16 Saikkonen, Pentti 16 Christoffersen, Peter F. 15 Mittnik, Stefan 15 Singh, Abhay Kumar 15 Xu, Yongdeng 15 Andersen, Torben 14 Laurent, Sébastien 14 Meitz, Mika 14 Miller, Stephen M. 14 Ravazzolo, Francesco 14 Shephard, Neil G. 14
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Institution
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National Bureau of Economic Research 21 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 16 Ekonomiska forskningsinstitutet <Stockholm> 11 Econometrisch Instituut <Rotterdam> 8 Shakai-Keizai-Kenkyūsho <Osaka> 6 European University Institute / Department of Economics 3 National Institute of Economic and Social Research 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Center for Economic Research <Tilburg> 2 Federal Reserve Bank of St. Louis 2 Instituto Valenciano de Investigaciones Económicas 2 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 2 Université de Montréal / Département de sciences économiques 2 Bank of Canada 1 Brown University / Department of Economics 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Erasmus Research Institute of Management 1 Federal Reserve Bank of San Francisco 1 Gottfried Wilhelm Leibniz Universität Hannover 1 International Center for Financial Asset Management and Engineering 1 Leibniz-Institut für Agrarentwicklung in Transformationsökonomien 1 London School of Economics and Political Science 1 Nuffield College 1 Robert Schuman Centre for Advanced Studies 1 Rodney L. White Center for Financial Research 1 School of Accounting, Finance and Economics <Perth, Western Australia> 1 School of Finance and Business Economics <Perth, Western Australia> 1 Türkiye Cumhuriyet Merkez Bankası 1 Umeå Universitet / Institutionen för Nationalekonomi 1 Università di Bologna / Dipartimento di Scienze Economiche 1 Universität Bremen / Fachbereich Wirtschaftswissenschaft 1 Westfälische Wilhelms-Universität Münster 1 Wettbewerbspolitik und Regulierung in einer Globalen Wirtschaftsordnung <Veranstaltung> <2013, Düsseldorf> 1 Zentrum für Europäische Wirtschaftsforschung 1
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Published in...
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Discussion paper / Tinbergen Institute 109 Journal of risk and financial management : JRFM 91 International Journal of Energy Economics and Policy : IJEEP 70 Econometric Institute research papers 69 CREATES research paper 53 International journal of economics and financial issues : IJEFI 52 Cogent economics & finance 51 Working paper 49 CORE discussion papers : DP 36 Financial innovation : FIN 36 Risks : open access journal 36 Working papers 36 CESifo working papers 34 Econometrics : open access journal 31 International Journal of Financial Studies : open access journal 27 Economies : open access journal 26 SFB 649 discussion paper 26 CBN journal of applied statistics 22 Department of Economics working paper series 22 SSE EFI working paper series in economics and finance 21 CORE discussion paper : DP 20 Economics and finance working paper series 20 Cambridge working papers in economics 19 NBER working paper series 19 Quantitative finance and economics 19 Research paper series / Swiss Finance Institute 19 Working paper series 19 CFS working paper series 18 Iranian economic review : journal of University of Tehran 18 Discussion papers of interdisciplinary research project 373 16 IES working paper 14 IWQW discussion paper series 14 Discussion papers / Deutsches Institut für Wirtschaftsforschung 13 IMF working papers 13 NBER Working Paper 13 Swiss Finance Institute Research Paper 13 Borsa Istanbul Review 12 Working paper series / European Central Bank 12 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 11 Working paper / Department of Econometrics and Business Statistics, Monash University 11
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Source
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ECONIS (ZBW) 3,776 EconStor 2 RePEc 2 BASE 1
Showing 1 - 10 of 3,781
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The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects
Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023
Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...
Persistent link: https://www.econbiz.de/10013534341
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Dynamic impact of foreign exchange trading volume on foreign exchange volatility
Kang, Jong Woo; Cabaero, Carlos - 2025
Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...
Persistent link: https://www.econbiz.de/10015194391
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015195169
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The shifted GARCH model with affine variance : applications in pricing
Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015197067
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Trading VIX on volatility forecasts : another volatility puzzle?
Degiannakis, Stavros; Delis, Panagiotis; Filis, George; … - 2025
Persistent link: https://www.econbiz.de/10015197247
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Sovereign risk and stock market response to natural disasters in emerging economies
Bermúdez-Cespedes, Juan Pablo; Melo-Velandia, Luis Fernando - 2025
Persistent link: https://www.econbiz.de/10015326234
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Examining impact of inflation and inflation volatility on economic growth : evidence from European Union economies
Pappas, Anastasios; Boukas, Nikolaos - In: Economies : open access journal 13 (2025) 2, pp. 1-18
Examining the economies of the European Union from 2000 to 2023, we have found no strong evidence that the inflation rate has a negative impact on economic growth. In contrast, in line with conventional economic theory, higher interest rates are associated with lower economic growth. The results...
Persistent link: https://www.econbiz.de/10015210370
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015210877
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Shocked: Electricity Price Volatility Spillovers in Europe
Cevik, Serhan - 2025
European electricity markets are in the midst of unprecedented changes-caused by Russia's invasion of Ukraine and the rise of renewable sources of energy. Using high-frequency data, this paper investigates volatility spillovers across 24 countries in the European Union (EU) during the period...
Persistent link: https://www.econbiz.de/10015328189
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Oil price shocks and airlines stock return and volatility : a GFEVD analysis
Cai, Yifei; Zhang, Yahua; Zhang, Anming - In: Economics of Transportation : the official journal of … 41 (2025), pp. 1-12
Persistent link: https://www.econbiz.de/10015329608
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