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  • Search: subject:"Generalized Autoregressive conditional heteroscedasticity"
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Year of publication
Subject
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ARCH model 11,535 ARCH-Modell 11,535 Volatilität 7,221 Volatility 7,218 Theorie 3,224 Theory 3,224 Estimation 2,919 Schätzung 2,918 Zeitreihenanalyse 2,348 Time series analysis 2,345 Börsenkurs 2,208 Share price 2,208 Capital income 2,206 Kapitaleinkommen 2,206 Prognoseverfahren 2,012 Forecasting model 2,010 Aktienmarkt 1,986 Stock market 1,986 Estimation theory 1,525 Schätztheorie 1,525 Risikomaß 1,130 Risk measure 1,130 Spillover effect 1,126 Spillover-Effekt 1,126 Welt 1,096 World 1,096 Exchange rate 1,064 Wechselkurs 1,064 GARCH 1,002 USA 963 Correlation 961 Korrelation 961 United States 958 Portfolio selection 863 Portfolio-Management 863 Aktienindex 818 Stock index 818 Risk 808 Risiko 801 Financial market 727
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Online availability
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Free 3,801 Undetermined 3,446 CC license 391
Type of publication
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Article 7,851 Book / Working Paper 3,690
Type of publication (narrower categories)
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Article in journal 7,519 Aufsatz in Zeitschrift 7,519 Graue Literatur 1,831 Non-commercial literature 1,831 Arbeitspapier 1,817 Working Paper 1,817 Aufsatz im Buch 278 Book section 278 Hochschulschrift 131 Thesis 104 Conference paper 47 Konferenzbeitrag 47 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 23 Sammelwerk 23 Aufsatzsammlung 14 Bibliografie enthalten 11 Bibliography included 11 Systematic review 11 Übersichtsarbeit 11 Konferenzschrift 9 Lehrbuch 9 Case study 8 Fallstudie 8 Textbook 8 Forschungsbericht 6 Rezension 4 Amtsdruckschrift 2 Conference proceedings 2 Government document 2 Accompanied by computer file 1 Article 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1 Festschrift 1 Floppy disk 1
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Language
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English 11,443 German 44 Spanish 22 French 13 Polish 6 Portuguese 4 Undetermined 3 Czech 2 Bulgarian 1 Hungarian 1 Italian 1 Romanian 1 Swedish 1 Turkish 1 Chinese 1
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Author
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McAleer, Michael 224 Gupta, Rangan 94 Chang, Chia-Lin 91 Hafner, Christian M. 67 Bauwens, Luc 66 Engle, Robert F. 61 Teräsvirta, Timo 60 Caporale, Guglielmo Maria 59 Caporin, Massimiliano 57 Ma, Feng 51 Karanasos, Menelaos 50 Bouri, Elie 48 Francq, Christian 46 Rombouts, Jeroen V. K. 45 Herwartz, Helmut 42 Asai, Manabu 41 Conrad, Christian 41 Laurent, Sébastien 41 Bollerslev, Tim 40 Kang, Sang Hoon 40 Paolella, Marc S. 40 Linton, Oliver 39 Rahbek, Anders 39 Zakoïan, Jean-Michel 38 Serletis, Apostolos 35 Kumar, Dilip 33 McMillan, David G. 33 Ardia, David 32 Degiannakis, Stavros 32 Allen, David E. 31 Christoffersen, Peter F. 30 Koopman, Siem Jan 29 Saikkonen, Pentti 29 Spagnolo, Nicola 29 Hansen, Peter Reinhard 28 Lucas, André 28 Lütkepohl, Helmut 28 Mittnik, Stefan 28 Silvennoinen, Annastiina 28 Salisu, Afees A. 27
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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> 14 Centre for Analytical Finance <Århus> 10 Econometrisch Instituut <Rotterdam> 8 University of Canterbury / Dept. of Economics and Finance 8 Instituto Valenciano de Investigaciones Económicas 6 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 Brown University / Department of Economics 2 Center for Economic Research <Tilburg> 2 Federal Reserve Bank of St. Louis 2 Gottfried Wilhelm Leibniz Universität Hannover 2 HFDF <2, 1998, Zürich> 2 London School of Economics and Political Science 2 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 2 Queen Mary College / Department of Economics 2 School of Finance and Business Economics <Perth, Western Australia> 2 Springer Fachmedien Wiesbaden 2 Svenska Handelshögskolan <Helsinki> 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2 Université de Montréal / Département de sciences économiques 2 William Davidson Institute <Ann Arbor, Mich.> 2 Banca nazionale del lavoro / Ufficio scenari economici 1 Banca nazionale del lavoro / Ufficio studi 1 Bank of Canada 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 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Deakin University 1 Erasmus Research Institute of Management 1 Fachhochschule Stralsund / Fachbereich Wirtschaft 1 Federal Reserve Bank of San Francisco 1 HFDF <1, 1995, Zürich> 1 International Center for Financial Asset Management and Engineering 1 International Workshop on Statistics and Finance <1999, Hongkong> 1 Konjunkturinstitutet <Stockholm> 1
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Published in...
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Energy economics 269 Finance research letters 216 Journal of econometrics 173 Economic modelling 169 Applied economics 164 Journal of empirical finance 141 International review of economics & finance : IREF 139 International review of financial analysis 139 Research in international business and finance 133 The North American journal of economics and finance : a journal of financial economics studies 128 Economics letters 122 Journal of banking & finance 117 Discussion paper / Tinbergen Institute 116 International journal of forecasting 112 Journal of forecasting 111 Journal of international financial markets, institutions & money 105 Applied financial economics 103 Journal of risk and financial management : JRFM 91 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 87 Applied economics letters 84 The European journal of finance 84 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 83 Econometric theory 80 The journal of futures markets 79 Journal of financial econometrics : official journal of the Society for Financial Econometrics 75 Working paper 75 International Journal of Energy Economics and Policy : IJEEP 72 Econometric Institute research papers 69 Computational economics 57 International journal of finance & economics : IJFE 55 Econometric reviews 54 CREATES research paper 53 International journal of economics and financial issues : IJEFI 52 Cogent economics & finance 51 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 51 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 51 Journal of international money and finance 50 Review of quantitative finance and accounting 48 International journal of economics and finance 46 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 44
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Source
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ECONIS (ZBW) 11,535 RePEc 3 EconStor 2 BASE 1
Showing 131 - 140 of 11,541
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Fin-GAN : forecasting and classifying financial time series via generative adversarial networks
Vuletić, Milena; Prenzel, Felix; Cucuringu, Mihai - In: Quantitative finance 24 (2024) 2, pp. 175-199
Persistent link: https://www.econbiz.de/10014551963
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Forecasting stock returns volatility of the G7 over centuries : the role of climate risks
Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024
Persistent link: https://www.econbiz.de/10014553267
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GARCHX-NoVaS : a model-free approach to incorporate exogenous variables
Wu, Kejin; Karmakar, Sayar; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014553270
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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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Improving volatility forecasts : evidence from range-based models
Fałdziński, Marcin; Fiszeder, Piotr; Molnár, Peter - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10014445632
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The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014446963
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Cholesky GAS models for large time-varying covariance matrices
Zheng, Tingguo; Ye, Shiqi - In: Journal of management science and engineering 9 (2024) 1, pp. 115-142
This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....
Persistent link: https://www.econbiz.de/10014504757
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Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014505054
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Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014505189
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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