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  • Search: subject:"Generalized autoregressive conditional heteroscedasticity"
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Year of publication
Subject
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ARCH model 11,497 ARCH-Modell 11,497 Volatilität 7,188 Volatility 7,185 Theorie 3,217 Theory 3,217 Estimation 2,911 Schätzung 2,910 Zeitreihenanalyse 2,344 Time series analysis 2,341 Börsenkurs 2,200 Share price 2,200 Capital income 2,197 Kapitaleinkommen 2,197 Prognoseverfahren 2,001 Forecasting model 1,999 Aktienmarkt 1,977 Stock market 1,977 Estimation theory 1,522 Schätztheorie 1,522 Risikomaß 1,129 Risk measure 1,129 Spillover effect 1,118 Spillover-Effekt 1,118 Welt 1,084 World 1,084 Exchange rate 1,062 Wechselkurs 1,062 GARCH 997 USA 961 Correlation 959 Korrelation 959 United States 956 Portfolio selection 860 Portfolio-Management 860 Aktienindex 815 Stock index 815 Risk 804 Risiko 797 Financial market 724
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Online availability
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Free 3,782 Undetermined 3,428 CC license 386
Type of publication
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Article 7,817 Book / Working Paper 3,686
Type of publication (narrower categories)
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Article in journal 7,490 Aufsatz in Zeitschrift 7,490 Graue Literatur 1,827 Non-commercial literature 1,827 Arbeitspapier 1,813 Working Paper 1,813 Aufsatz im Buch 273 Book section 273 Hochschulschrift 131 Thesis 104 Conference paper 46 Konferenzbeitrag 46 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 11,405 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 Chang, Chia-Lin 91 Gupta, Rangan 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 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 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 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 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 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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Source
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ECONIS (ZBW) 11,497 RePEc 3 EconStor 2 BASE 1
Showing 10,891 - 10,900 of 11,503
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New directions in business cycle research and financial analysis
Hamilton, James D.; Raj, Baldev - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 149-162
Persistent link: https://www.econbiz.de/10001655266
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Improving GARCH volatility forecasts with regime-switching GARCH
Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394
Persistent link: https://www.econbiz.de/10001655657
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Modeling the volatility of the Heath-Jarrow-Morton model : a multifactor GARCH analysis
Zhou, Anjun - In: Journal of empirical finance 9 (2002) 1, pp. 35-56
Persistent link: https://www.econbiz.de/10001655780
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Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns
Bera, Anil K.; Kim, Sangwhan - In: Journal of empirical finance 9 (2002) 2, pp. 171-195
Persistent link: https://www.econbiz.de/10001655807
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A censored - GARCH model of asset returns with price limits
Wei, Steven X. - In: Journal of empirical finance 9 (2002) 2, pp. 197-223
Persistent link: https://www.econbiz.de/10001655809
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10001657476
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Special issue on advances in regime-switching models for business cycle research and financial analysis
Baltagi, Badi H. (contributor); Raj, Baldev (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001658097
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The stochastic volatility in mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-689
Persistent link: https://www.econbiz.de/10001723785
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Heteroscedasticity and efficient estimates of beta
Varga, József; Rappai, Gábor - In: Statisztikai szemle : a Központi Statisztikai Hivatal … 80 (2002) Special number 7, pp. 127-137
Persistent link: https://www.econbiz.de/10001723791
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Stock market reaction to food recalls : a GARCH application
Wang, Zijun; Salin, Victoria; Hooker, Neal H.; Leatham, … - In: Applied economics letters 9 (2002) 15, pp. 979-987
Persistent link: https://www.econbiz.de/10001723992
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