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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
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Book / Working Paper 83 Article 43 Other 1
Type of publication (narrower categories)
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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 31 - 40 of 127
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Is the best Generalized Autoregressive Conditional Heteroskedasticity(p,q) value-at-risk estimate also the best in reality? : an evidence from Australian interconnected power marke...
Handika, Rangga; Triandaru, Sigit - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 814-821
Persistent link: https://www.econbiz.de/10011550637
Saved in:
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In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015
procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized autoregressive conditional … heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10010491409
Saved in:
Cover Image
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - Tinbergen Instituut - 2015
procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized autoregressive conditional … heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10011256671
Saved in:
Cover Image
A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364
generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) model. Secondly, according to the theoretical predictions …
Persistent link: https://www.econbiz.de/10011268784
Saved in:
Cover Image
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015
procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized autoregressive conditional … heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10010484891
Saved in:
Cover Image
A generalized autoregressive conditional heteroskedasticity examination of the relationship between trading volume and conditional volatility in the Tunisian stock market : evidenc...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International journal of economics and financial issues … 5 (2015) 2, pp. 354-364
Persistent link: https://www.econbiz.de/10011453520
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Modeling the dynamics of large conditional heteroskedastic covariance matrices
Ahmed, Naeem - 2015
Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets around the globe have recently become the main area of interest of financial...
Persistent link: https://www.econbiz.de/10011459899
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The effect of financial and macroeconomic factors on the oil market
Sariannidis, Nikolaos; Galyfianakis, Georgios; … - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 4, pp. 1084-1091
Persistent link: https://www.econbiz.de/10011456477
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Real exchange rate returns and real stock price returns in the stock market of Malaysia
Wong, Hock Tsen - In: The Singapore economic review : journal of the Economic … 64 (2019) 5, pp. 1319-1349
Persistent link: https://www.econbiz.de/10012295208
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Applied time series analysis : a practical guide to modeling and forecasting
Mills, Terence C. - 2019
Persistent link: https://www.econbiz.de/10012384919
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