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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
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Silvennoinen, Annastiina
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National Bureau of Economic Research
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Ekonomiska forskningsinstitutet <Stockholm>
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Econometrisch Instituut <Rotterdam>
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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>
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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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Federal Reserve Bank of San Francisco
1
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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)
11,498
RePEc
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EconStor
2
BASE
1
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1271
Forecasting volatilities of Asian markets using U.S. macroeconomic variables
Tzeng, Kae-Yih
- In:
Emerging markets, finance & trade : a journal of the …
59
(
2023
)
3
,
pp. 676-687
Persistent link: https://www.econbiz.de/10013548092
Saved in:
1272
An empirical analysis of structural breaks in world dry bulk shipping market
Dai, Lei
;
Jing, Danyue
;
Hu, Hao
;
Shi, Yifan
;
Lee, Seungwon
- In:
International journal of shipping and transport …
16
(
2023
)
1/2
,
pp. 141-153
Persistent link: https://www.econbiz.de/10013550365
Saved in:
1273
Forecasting oil futures price volatility with economic policy uncertainty : a CARR-MIDAS model
Wu, Xinyu
;
Cui, Hao
;
Wang, Lu
- In:
Applied economics letters
30
(
2023
)
2
,
pp. 120-125
Persistent link: https://www.econbiz.de/10013553019
Saved in:
1274
Integration of financial markets during COVID-19 : a dynamic correlation analysis on Euronext
Espinosa Méndez, Christian
- In:
Applied economics letters
30
(
2023
)
3
,
pp. 264-268
Persistent link: https://www.econbiz.de/10013553137
Saved in:
1275
Volatility spillover between Chinese ctock market and selected emerging economies : a dynamic conditional correlation and portfolio optimization perspective
Yadav, Miklesh Prasad
;
Sharma, Sudhi
;
Bhardwaj, Indira
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 427-444
Persistent link: https://www.econbiz.de/10014362575
Saved in:
1276
Southern oscillation : great value of its trends for forecasting crude oil spot price volatility
Hong, Yanran
;
Yu, Jize
;
Su, Yuquan
;
Wang, Lu
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 358-368
Persistent link: https://www.econbiz.de/10014364057
Saved in:
1277
A comparative study between retail sukuk and retail bonds in Indonesia
Danila, Nevi
;
Noor Azlinna Azizan
;
Noreen, Umara
- In:
International journal of business and globalisation : IJBG
33
(
2023
)
3
,
pp. 373-386
Persistent link: https://www.econbiz.de/10014232791
Saved in:
1278
Day of week effect : an empirical study for Indian Stock Markets
Chawla, Vanitha
;
Shastri, Manjula
- In:
International journal of business and globalisation : IJBG
33
(
2023
)
3
,
pp. 326-343
Persistent link: https://www.econbiz.de/10014232807
Saved in:
1279
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
1280
Volatility forecasting of crude oil futures market : which structural change-based HAR models have better performance?
Zhang, Yue-Jun
;
Zhang, Han
- In:
International review of financial analysis
85
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014234971
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