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  • Search: subject:"Generalized Autoregressive Conditional Heteroskedasticity (GARCH)"
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Year of publication
Subject
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ARCH model 9 ARCH-Modell 9 Volatility 6 Volatilität 6 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) 5 Time series analysis 5 Zeitreihenanalyse 5 Börsenkurs 4 Estimation 4 Estimation theory 4 Schätztheorie 4 Schätzung 4 Share price 4 Aktienmarkt 2 CARRS model 2 Central bank 2 Euro Swaps 2 European Central Bank (ECB) 2 Forecast evaluation 2 Forecasting model 2 Geldpolitik 2 Generalized autoregressive conditional heteroskedasticity (GARCH) model 2 Interest Rate Swaps 2 Monetary Policy 2 Monetary policy 2 Prognoseverfahren 2 Rogers and Satchell (RS) estimator 2 Short-Term Interest Rate 2 Stock market 2 Volatility modeling 2 Welt 2 World 2 Zentralbank 2 ARMA model 1 ARMA-Modell 1 Aktienindex 1 Auslandsinvestition 1 Autocorrelation 1 Autocorrelation Function (ACF) 1 Autokorrelation 1
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Online availability
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Free 4 Undetermined 3
Type of publication
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Article 8 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 10 Undetermined 2
Author
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Akram, Tanweer 2 Kumar, Dilip 2 Maheswaran, S. 2 Ananzeh, Izz Eddien Naif 1 Bai, Jiancheng 1 Bouoiyour, Jamal 1 Carvalhal, Andre 1 Chatterjee, Payel 1 Chattopadhyay, Arup Kumar 1 Cui, Can 1 Glova, Adrian Matthew G. 1 Go, You-How 1 Hernandez, Roy R. 1 Lau, Wee-Yeap 1 Mamun, Khawaja 1 Mendes, Beatriz Vaz de Melo 1 Miftah, Amal 1 Nakatsuma, Teruo 1 Rakshit, Debdas 1 Selmi, Refk 1 Tsurumi, Hiroki 1 Zhang, Lixia 1 Zhang, Yueyan 1 al Mamun, Khawaja Abdullah 1
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Published in...
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BSP working paper series 1 Emerging Markets Finance and Trade 1 International Review of Economics & Finance 1 International journal of financial research 1 International review of economics & finance : IREF 1 Journal of economic integration 1 Research bulletin / The Institute of Cost Accountants of India 1 Research in international business and finance 1 The journal of asset management 1 Working Paper 1 Working papers / Rutgers University, Department of Economics 1 Working papers / The Levy Economics Institute 1
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Source
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ECONIS (ZBW) 9 RePEc 2 EconStor 1
Showing 1 - 10 of 12
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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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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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Global economic uncertainty and the Chinese stock market : assessing the impacts of global indicators
Zhang, Lixia; Bai, Jiancheng; Zhang, Yueyan; Cui, Can - In: Research in international business and finance 65 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014433687
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Structural changr and efficiency in the Indian stock market : an econometric analysis
Chattopadhyay, Arup Kumar; Rakshit, Debdas; Chatterjee, … - In: Research bulletin / The Institute of Cost Accountants … 44 (2018) 2, pp. 81-94
Persistent link: https://www.econbiz.de/10012130188
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What mitigates economic growth volatility in Morocco? : remittances or FDI
Bouoiyour, Jamal; Selmi, Refk; Miftah, Amal - In: Journal of economic integration 31 (2016) 1, pp. 65-102
Persistent link: https://www.econbiz.de/10011451682
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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 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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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 : IREF 33 (2014), pp. 128-140
Persistent link: https://www.econbiz.de/10010531271
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