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Search: subject:"Generalized autoregressive conditional heteroscedasticity"
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McAleer, Michael
224
Chang, Chia-Lin
91
Gupta, Rangan
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
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
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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Gottfried Wilhelm Leibniz Universität Hannover
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London School of Economics and Political Science
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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
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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
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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
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103
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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
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EconStor
2
BASE
1
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10681
Asymmetric long memory GARCH : a reply to Hwang's model
Ruiz, Esther
;
Pérez, Ana
- In:
Economics letters
78
(
2003
)
3
,
pp. 415-422
Persistent link: https://www.econbiz.de/10001741157
Saved in:
10682
An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
Elder, John
- In:
Economics letters
79
(
2003
)
1
,
pp. 21-26
Persistent link: https://www.econbiz.de/10001741256
Saved in:
10683
Asset prices and output growth volatility : the effects of financial crises
Caporale, Guglielmo Maria
;
Spagnolo, Nicola
- In:
Economics letters
79
(
2003
)
1
,
pp. 69-74
Persistent link: https://www.econbiz.de/10001741273
Saved in:
10684
A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility : a comparison of the peak and off-peak periods in the Australian electricity spot market
Worthington, Andrew Charles
;
Higgs, Helen
-
2003
Persistent link: https://www.econbiz.de/10001742533
Saved in:
10685
The link between monetary policy and stock and bond markets : evidence from the federal funds futures contract
Gulley, Orrin David
;
Sultan, Jahangir
- In:
Applied financial economics
13
(
2003
)
3
,
pp. 199-209
Persistent link: https://www.econbiz.de/10001742870
Saved in:
10686
Capital asset pricing model on UK securities using ARCH
Morelli, David
- In:
Applied financial economics
13
(
2003
)
3
,
pp. 211-223
Persistent link: https://www.econbiz.de/10001742873
Saved in:
10687
Asymptotic theory for a vector ARMA-GARCH model
Ling, Shiqing
;
McAleer, Michael
- In:
Econometric theory
19
(
2003
)
2
,
pp. 280-310
Persistent link: https://www.econbiz.de/10001743407
Saved in:
10688
Alternative characterization of the volatility in the growth rate of real GDP
Bhar, Ramaprasad
;
Hamori, Shigeyuki
- In:
Japan and the world economy : international journal of …
15
(
2003
)
2
,
pp. 223-231
Persistent link: https://www.econbiz.de/10001745131
Saved in:
10689
Non-linear dynamics in futures prices : evidence from the coffee, sugar and cocoa exchange
Adrangi, Bahram
;
Chatrath, Arjun
- In:
Applied financial economics
13
(
2003
)
4
,
pp. 245-256
Persistent link: https://www.econbiz.de/10001748447
Saved in:
10690
Electoral management, political risk and exchange rate dynamics : the Greek experience
Siokis, Fotios
;
Kapopoulos, Panayotis T.
- In:
Applied financial economics
13
(
2003
)
4
,
pp. 279-285
Persistent link: https://www.econbiz.de/10001748450
Saved in:
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