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Search: subject:"Generalized autoregressive conditional heteroscedasticity"
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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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National Bureau of Economic Research
21
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Ekonomiska forskningsinstitutet <Stockholm>
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Econometrisch Instituut <Rotterdam>
8
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Brown University / Department of Economics
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Center for Economic Research <Tilburg>
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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
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HFDF <2, 1998, Zürich>
2
London School of Economics and Political Science
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Queen Mary College / Department of Economics
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School of Finance and Business Economics <Perth, Western Australia>
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
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Federal Reserve Bank of San Francisco
1
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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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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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ECONIS (ZBW)
11,497
RePEc
3
EconStor
2
BASE
1
Showing
11,021
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11,030
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11021
L' impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar
Boubel, Aurélie
;
Laurent, Sébastien
;
Lecourt, Christelle
- In:
Revue économique : revue bimestrielle
52
(
2001
)
2
,
pp. 353-370
Persistent link: https://www.econbiz.de/10001699345
Saved in:
11022
Testing for reduction to random walk in autoregressive conditional heteroskedasticity model
Klüppelberg, Claudia
;
Maller, Ross A.
;
Vyver, Mark van de
-
2001
Persistent link: https://www.econbiz.de/10001744688
Saved in:
11023
A bivariate GARCH model of UK stock return volatility
Grieb, Terrance
;
Reyes, Mario Gabriel Carpio
- In:
The southern business & economic journal
24
(
2001
)
4
,
pp. 283-293
Persistent link: https://www.econbiz.de/10001745787
Saved in:
11024
Empirical analysis of stock returns and volatility : evidence from seven Asian stock markets based on TAR-GARCH model
Chiang, Thomas C.
;
Doong, Shuh-Chyi
- In:
Review of quantitative finance and accounting
17
(
2001
)
3
,
pp. 301-318
Persistent link: https://www.econbiz.de/10001748169
Saved in:
11025
Structural change and long memory in volatility : new evidence from daily exchange rates
Beine, Michael
;
Laurent, Sébastien
- In:
Developments in forecast combination and portfolio choice
,
(pp. 145-157)
.
2001
Persistent link: https://www.econbiz.de/10001719131
Saved in:
11026
Long-run volatility dependencies in intraday data and mixture of normal distributions
Bourbel, Aurélie
;
Laurent, Sébastien
- In:
Developments in forecast combination and portfolio choice
,
(pp. 159-177)
.
2001
Persistent link: https://www.econbiz.de/10001719133
Saved in:
11027
Good news, bad news and GARCH effects in stock return data
Depken, Craig A.
- In:
Journal of applied economics
4
(
2001
)
2
,
pp. 313-327
Persistent link: https://www.econbiz.de/10001721993
Saved in:
11028
Pouvoir prédictif de la volatilité implicite dans le prix des options de change
Rzepkowski, Bronka
- In:
Economie & prévision : EP
(
2001
)
2
,
pp. 71-97
Persistent link: https://www.econbiz.de/10001674730
Saved in:
11029
Multivariate volatility models
Fengler, Matthias R.
;
Herwartz, Helmut
-
2001
Persistent link: https://www.econbiz.de/10001659915
Saved in:
11030
Forecasting volatility for options pricing for the UK stock market
Ap Gwilym, Owain
- In:
Journal of financial management and analysis : …
14
(
2001
)
2
,
pp. 55-62
Persistent link: https://www.econbiz.de/10001660995
Saved in:
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