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  • Search: subject:"Generalized Autoregressive Conditional Heteroskedasticity"
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Year of publication
Subject
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ARCH model 77 ARCH-Modell 77 Estimation 58 GARCH-Prozess 58 Schätzung 58 Volatilität 53 Volatility 48 Theorie 45 Theory 44 Zeitreihenanalyse 40 Time series analysis 38 Schätztheorie 34 Estimation theory 33 Börsenkurs 28 Share price 27 Capital income 26 Kapitaleinkommen 26 Deutschland 25 Germany 25 Aktienmarkt 18 Stock market 17 Wechselkurs 17 Exchange rate 16 Generalized Autoregressive Conditional Heteroskedasticity 16 USA 13 United States 13 Aktienrendite 12 Welt 12 Aktienindex 11 Stock index 11 World 11 Financial market 10 Finanzmarkt 10 Forecasting model 10 Prognoseverfahren 10 Risikomanagement 10 Risikomaß 9 Risk measure 9 Statistical distribution 9 Statistische Verteilung 9
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Online availability
All
Free 66 Undetermined 16 CC license 6
Type of publication
All
Book / Working Paper 84 Article 48 Other 1
Type of publication (narrower categories)
All
Article in journal 41 Aufsatz in Zeitschrift 41 Hochschulschrift 33 Working Paper 28 Thesis 27 Arbeitspapier 23 Graue Literatur 23 Non-commercial literature 23 Bibliografie enthalten 3 Bibliography included 3 Article 2 Lehrbuch 2 Textbook 2 Case study 1 Fallstudie 1
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Language
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English 99 German 22 Undetermined 13 Indonesian 1
Author
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Lucas, André 8 Koopman, Siem Jan 7 Franses, Philip Hans 5 Blasques, Francisco 4 Doornik, Jurgen A. 4 Ooms, Marius 4 Dijk, Dick van 3 Gorgi, Paolo 3 Meitz, Mika 3 Saikkonen, Pentti 3 Schaumburg, Julia 3 Abaoub, Ezzeddine 2 Akram, Tanweer 2 Almekinders, Geert J. 2 Ardia, David 2 Baur, Dirk 2 Belhaj, Fethi 2 Caporale, Guglielmo Maria 2 Chorro, Christophe 2 Fortin, Ines 2 Francq, Christian 2 Gamboa-Estrada, Fredy 2 Giannarakis, Grigoris 2 Guégan, Dominique 2 Ielpo, Florian 2 Kumar, Dilip 2 Kuzmics, Christoph 2 Lasak, Katarzyna 2 Maheswaran, S. 2 Pierdzioch, Christian 2 Romero, José Vicente 2 Sariannidis, Nikolaos 2 van Dijk, Dick 2 Łasak, Katarzyna 2 Abdlaziz, Rizgar Abdlkarim 1 Abdurehman, Abderezak Ali 1 Abed, Zainab Ahmed 1 Adamu, Peter 1 Afsal, E. M. 1 Ahmed, Naeem 1
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Institution
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Tinbergen Instituut 3 Department of Economics, Oxford University 2 Tinbergen Institute 2 Edward Elgar Publishing 1 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 11 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 Borsa İstanbul 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
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Source
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ECONIS (ZBW) 108 RePEc 16 EconStor 7 BASE 2
Showing 1 - 10 of 133
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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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Oil price volatility and unemployment in iraq : a two-stage approach using generalized autoregressive conditional heteroskedasticity-mixed-data sampling
Abed, Zainab Ahmed; Barguellil, Achouak; Fathalla, … - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 1, pp. 352-359
Persistent link: https://www.econbiz.de/10015616941
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Forecasting gasoline market volatility using non-linear time series models
Kalaitzi, Athanasia Stylianou; Kalaitzi, Evgenia Stylianou - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 4, pp. 139-151
Persistent link: https://www.econbiz.de/10015448658
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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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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - In: Journal of econometrics 244 (2024) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10015553737
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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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Modeling sovereign credit default swaps volatility at different tenures: An application for Latin American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa İstanbul 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/10015636071
Saved in:
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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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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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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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