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Search: subject:"Generalized autoregressive conditional heteroscedasticity"
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McAleer, Michael
224
Chang, Chia-Lin
91
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91
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67
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66
Engle, Robert F.
61
Teräsvirta, Timo
60
Caporale, Guglielmo Maria
59
Caporin, Massimiliano
57
Ma, Feng
51
Karanasos, Menelaos
50
Francq, Christian
46
Bouri, Elie
45
Rombouts, Jeroen V. K.
45
Herwartz, Helmut
42
Asai, Manabu
41
Conrad, Christian
41
Laurent, Sébastien
41
Bollerslev, Tim
40
Paolella, Marc S.
40
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39
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39
Rahbek, Anders
39
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38
Serletis, Apostolos
35
Kumar, Dilip
33
McMillan, David G.
33
Ardia, David
32
Allen, David E.
31
Degiannakis, Stavros
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
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Ekonomiska forskningsinstitutet <Stockholm>
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Federal Reserve Bank of St. Louis
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School of Finance and Business Economics <Perth, Western Australia>
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International Center for Financial Asset Management and Engineering
1
International Workshop on Statistics and Finance <1999, Hongkong>
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Energy economics
269
Finance research letters
211
Journal of econometrics
173
Economic modelling
169
Applied economics
164
Journal of empirical finance
140
International review of economics & finance : IREF
139
International review of financial analysis
139
Research in international business and finance
133
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128
Economics letters
122
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117
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116
International journal of forecasting
112
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111
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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
70
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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ECONIS (ZBW)
11,498
RePEc
3
EconStor
2
BASE
1
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10051
Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market
McMillan, David G.
;
Speight, Alan E. H.
- In:
Applied financial economics
16
(
2006
)
13
,
pp. 959-972
Persistent link: https://www.econbiz.de/10003377850
Saved in:
10052
Asymmetry, loss aversion and forecasting
Bond, Shaun A.
;
Satchell, Stephen
- In:
The journal of business : B
79
(
2006
)
4
,
pp. 1809-1830
Persistent link: https://www.econbiz.de/10003378430
Saved in:
10053
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, Trino-Manuel
;
Rubia, Antonio
- In:
Journal of forecasting
25
(
2006
)
6
,
pp. 439-458
Persistent link: https://www.econbiz.de/10003378446
Saved in:
10054
Fundamental inflation uncertainty
Groth, Charlotta
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003378752
Saved in:
10055
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
10056
On the tail behaviors of a family of GARCH processes
Liu, Ji-chun
- In:
Econometric theory
22
(
2006
)
5
,
pp. 852-862
Persistent link: https://www.econbiz.de/10003379105
Saved in:
10057
Credit spread options valuation under GARCH
Tahani, Nabil
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Saved in:
10058
A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
Meitz, Mika
- In:
Econometric theory
22
(
2006
)
5
,
pp. 985-988
Persistent link: https://www.econbiz.de/10003379128
Saved in:
10059
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
10060
News and Asian emerging markets
Miyakoshi, Tatsuyoshi
- In:
Review of Pacific Basin financial markets and policies
9
(
2006
)
3
,
pp. 359-384
Persistent link: https://www.econbiz.de/10003380365
Saved in:
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