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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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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
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2
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
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
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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
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BASE
1
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11081
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.
;
López, José A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
Saved in:
11082
Adaptive learning and equilibrium selection in experimental coordination games : an ARCH(1) approach
Broseta, Bruno
- In:
Games and economic behavior
32
(
2000
)
1
,
pp. 25-50
Persistent link: https://www.econbiz.de/10001499150
Saved in:
11083
A closed-form GARCH option valuation model
Heston, Steven L.
;
Nandi, Saikat
- In:
The review of financial studies
13
(
2000
)
3
,
pp. 585-625
Persistent link: https://www.econbiz.de/10001499745
Saved in:
11084
Information dynamics in financial markets
Fontnouvelle, Patrick de
- In:
Macroeconomic dynamics
4
(
2000
)
2
,
pp. 139-169
Persistent link: https://www.econbiz.de/10001500426
Saved in:
11085
Dynamic conditional correlation : a simple class of multivariate GARCH models
Engle, Robert F.
-
2000
Persistent link: https://www.econbiz.de/10001500658
Saved in:
11086
Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Granger, C. W. J.
;
Sin, Chor-yiu
- In:
Journal of forecasting
19
(
2000
)
4
,
pp. 277-298
Persistent link: https://www.econbiz.de/10001504616
Saved in:
11087
Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of forecasting
19
(
2000
)
4
,
pp. 313-333
Persistent link: https://www.econbiz.de/10001504659
Saved in:
11088
Korean currency crisis and regime change : a multivariate GARCH model with Bayesian approach
Kim, Suduk
;
Tsurumi, Hiroki
- In:
Asia-Pacific financial markets
7
(
2000
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10001506571
Saved in:
11089
Why has Taiwan been immune to the Asian financial crisis?
Chen, Chyong-lin
- In:
Asia-Pacific financial markets
7
(
2000
)
1
,
pp. 45-68
Persistent link: https://www.econbiz.de/10001506574
Saved in:
11090
Structural changes in volatility of foreign exchange rates after the Asian financial crisis
Nakatsuma, Teruo
- In:
Asia-Pacific financial markets
7
(
2000
)
1
,
pp. 69-82
Persistent link: https://www.econbiz.de/10001506576
Saved in:
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