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  • Search: subject:"Generalized Autoregressive conditional heteroscedasticity"
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Year of publication
Subject
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ARCH model 11,525 ARCH-Modell 11,525 Volatilität 7,211 Volatility 7,208 Theorie 3,222 Theory 3,222 Estimation 2,918 Schätzung 2,917 Zeitreihenanalyse 2,347 Time series analysis 2,344 Börsenkurs 2,205 Share price 2,205 Capital income 2,203 Kapitaleinkommen 2,203 Prognoseverfahren 2,009 Forecasting model 2,007 Aktienmarkt 1,985 Stock market 1,985 Estimation theory 1,525 Schätztheorie 1,525 Risikomaß 1,130 Risk measure 1,130 Spillover effect 1,122 Spillover-Effekt 1,122 Welt 1,093 World 1,093 Exchange rate 1,063 Wechselkurs 1,063 GARCH 1,001 USA 962 Correlation 961 Korrelation 961 United States 957 Portfolio selection 863 Portfolio-Management 863 Aktienindex 818 Stock index 818 Risk 808 Risiko 801 Financial market 725
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Online availability
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Free 3,794 Undetermined 3,443 CC license 389
Type of publication
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Article 7,841 Book / Working Paper 3,690
Type of publication (narrower categories)
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Article in journal 7,513 Aufsatz in Zeitschrift 7,513 Graue Literatur 1,831 Non-commercial literature 1,831 Arbeitspapier 1,817 Working Paper 1,817 Aufsatz im Buch 274 Book section 274 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 11,433 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 93 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 46 Francq, Christian 46 Rombouts, Jeroen V. K. 45 Herwartz, Helmut 42 Asai, Manabu 41 Conrad, Christian 41 Laurent, Sébastien 41 Bollerslev, Tim 40 Paolella, Marc S. 40 Kang, Sang Hoon 39 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 71 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) 11,525 RePEc 3 EconStor 2 BASE 1
Showing 61 - 70 of 11,531
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015179565
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Unconditional volatility framework : theoretical and empirical insights
Rey, Sebastián A. - In: Annals of financial economics 19 (2024) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10015323532
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Oil price uncertainty and consumer sentiment in advanced economies
Azad, Nahiyan Faisal; Serletis, Apostolos - In: The energy journal 45 (2024) 6, pp. 159-175
Persistent link: https://www.econbiz.de/10015323984
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Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015326256
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What fuels the volatility of electricity prices?
Saretto, Alessio; Shcherbakova, Anastasia; Lin, Jeremy - 2024
Persistent link: https://www.econbiz.de/10015206937
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Does regime-dependent volatility drive dynamism in investor herding?
Jindal, Komal; Bamba, Meera; Aggarwal, Mamta - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 54-79
Persistent link: https://www.econbiz.de/10015210672
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Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method
Agarwal, Archana; Dhankhar, Nidhi; Mehla, Sunita - In: Colombo business journal : international journal of … 15 (2024) 2, pp. 162-189
Persistent link: https://www.econbiz.de/10015210715
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Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication
Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015211784
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Collateral, output growth, mortgage spread volatility and subsidies in Colombia
López, Martha; Sarmiento Gómez, Eduardo - 2024
Persistent link: https://www.econbiz.de/10015145548
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Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies : evidence from major contagions
Kamesh Anand K; Mishra, Aswini Kumar - In: Borsa Istanbul Review 24 (2024) 6, pp. 1248-1262
The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly...
Persistent link: https://www.econbiz.de/10015152679
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