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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
University of Canterbury / Dept. of Economics and Finance
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Shakai-Keizai-Kenkyūsho <Osaka>
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National Institute of Economic and Social Research
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Brown University / Department of Economics
2
Center for Economic Research <Tilburg>
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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
2
HFDF <2, 1998, Zürich>
2
London School of Economics and Political Science
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Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
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Queen Mary College / Department of Economics
2
School of Finance and Business Economics <Perth, Western Australia>
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Springer Fachmedien Wiesbaden
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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1
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1
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1
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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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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
104
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)
11,496
RePEc
3
EconStor
2
BASE
1
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461
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461
Does continuous good news still mean good news for market volatility?
Ding, Shaobin
;
Wang, Hongju
;
Sun, Qin
- In:
Finance research letters
72
(
2025
),
pp. 1-8
Persistent link: https://www.econbiz.de/10015207088
Saved in:
462
Within-regime volatility dynamics for observable- and Markov-switching score-driven models
Blazsek, Szabolcs
;
Kong, Dejun
;
Shadoff, Samantha R.
- In:
Finance research letters
73
(
2025
),
pp. 1-8
Persistent link: https://www.econbiz.de/10015210430
Saved in:
463
Can joint modelling of external variables sampled at different frequencies enhance long-term Bitcoin volatility forecasts?
Aras, Serkan
;
Özdemir, Mehmet Ozan
;
Çılgın, Cihan
- In:
Finance research letters
73
(
2025
),
pp. 1-8
Persistent link: https://www.econbiz.de/10015211454
Saved in:
464
Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil?
Santos, Augusto Seabra
;
Almeida, Alexandre Nunes de
- In:
Journal of commodity markets : JCM
37
(
2025
),
pp. 1-17
Persistent link: https://www.econbiz.de/10015329496
Saved in:
465
Volatility and dependence in crude oil and agricultural commodity markets
Liu, Jinan
;
Serletis, Apostolos
- In:
Applied economics
57
(
2025
)
12
,
pp. 1314-1325
Persistent link: https://www.econbiz.de/10015331686
Saved in:
466
Can climate risks affect cryptocurrency volatility? : Fresh evidence from a GARCH-MIDAS-X model
Xia, Yufei
;
Fu, Yating
;
Zong, Ziyi
;
Zheng, Qiong
- In:
Applied economics letters
32
(
2025
)
6
,
pp. 803-807
Persistent link: https://www.econbiz.de/10015329821
Saved in:
467
On the nexus between exchange rate volatility and trade flows : panel data evidence from African economies
Hosni, Rana
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
15
(
2025
)
2
,
pp. 175-202
Persistent link: https://www.econbiz.de/10015326680
Saved in:
468
Procurement and predictions : analysing crude palm oil markets in India using GARCH approach
Supriya, R.
;
Mamilla, Rajesh
- In:
International journal of procurement management
23
(
2025
)
1
,
pp. 89-105
Persistent link: https://www.econbiz.de/10015398443
Saved in:
469
Risk transmission between equity market of China and its trading partners : new evidence from various financial crises
Younis, Ijaz
;
Yousaf, Imran
;
Shah, Waheed Ullah
;
Cheng, …
-
2025
Persistent link: https://www.econbiz.de/10015397424
Saved in:
470
Testing for anticipated changes in spot volatility at event times
Todorov, Viktor
;
Zhang, Yang
-
2025
Persistent link: https://www.econbiz.de/10015374587
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