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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>
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Shakai-Keizai-Kenkyūsho <Osaka>
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European University Institute / Department of Economics
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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>
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>
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Springer Fachmedien Wiesbaden
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Svenska Handelshögskolan <Helsinki>
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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William Davidson Institute <Ann Arbor, Mich.>
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1
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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
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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
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
3
EconStor
2
BASE
1
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951
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960
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951
Contagion among European financial indices, evidence from a quantile VAR approach
Palomba, Giulio
;
Tedeschi, Marco
- In:
Economic systems
48
(
2024
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014584815
Saved in:
952
Volatility connectedness and its determinants of global energy stock markets
Xie, Qichang
;
Luo, Chao
;
Cong, Xiaoping
;
Wang, Xu
- In:
Economic systems
48
(
2024
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014584867
Saved in:
953
Energy-related uncertainty and international stock market volatility
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
- In:
The quarterly review of economics and finance
95
(
2024
),
pp. 280-293
Persistent link: https://www.econbiz.de/10014631538
Saved in:
954
Time-varying expected returns, conditional skewness and Bitcoin return predictability
Atance, David
;
Serna, Gregorio
- In:
The quarterly review of economics and finance
96
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014631563
Saved in:
955
Forecasting market volatility : the role of earnings announcements
Kim, Jaewoo
;
Schonberger, Bryce
;
Wasley, Charles E.
; …
- In:
The accounting review : a publication of the American …
99
(
2024
)
4
,
pp. 251-279
Persistent link: https://www.econbiz.de/10014632054
Saved in:
956
Impact of cryptos on the inflation volatility in India : an application of bivariate BEKK-GARCH models
Rastogi, Shailesh
;
Kanoujiya, Jagjeevan
- In:
Journal of economic and administrative sciences
40
(
2024
)
2
,
pp. 221-237
Persistent link: https://www.econbiz.de/10014632170
Saved in:
957
Modeling the volatility of exchange rate and international trade in Ghana : empirical evidence from GARCH and EGARCH
Yussif, Abdul-Razak Bawa
;
Onifade, Stephen T.
;
Ay, Ahmet
; …
- In:
Journal of economic and administrative sciences
40
(
2024
)
2
,
pp. 308-324
Persistent link: https://www.econbiz.de/10014632182
Saved in:
958
Volatility spillovers among G7, E7 stock markets and cryptocurrencies
Aydoğan, Berna
;
Vardar, Gülin
;
Taçoğlu, Caner
- In:
Journal of economic and administrative sciences
40
(
2024
)
2
,
pp. 364-387
Persistent link: https://www.econbiz.de/10014632207
Saved in:
959
Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya
;
Paul, Samit
- In:
Global business review
25
(
2024
)
2
,
pp. 468-490
Persistent link: https://www.econbiz.de/10014634250
Saved in:
960
Volatility forecasting with Hybrid-long short-term memory models : evidence from the COVID-19 period
Yang, Ao
;
Ye, Qing
;
Zhai, Jia
- In:
International journal of finance & economics : IJFE
29
(
2024
)
3
,
pp. 2766-2786
Persistent link: https://www.econbiz.de/10014635168
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