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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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16
Ekonomiska forskningsinstitutet <Stockholm>
14
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10
Econometrisch Instituut <Rotterdam>
8
University of Canterbury / Dept. of Economics and Finance
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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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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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1
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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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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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9,651
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9651
How useful is intraday data for evaluating daily value-at-risk? : evidence from three Euro rates
McMillan, David G.
;
Speight, Alan E. H.
;
Evans, Kevin P.
- In:
Journal of multinational financial management
18
(
2008
)
5
,
pp. 488-503
Persistent link: https://www.econbiz.de/10003789977
Saved in:
9652
Market risk, interest rate risk, and interdependencies in insurer stock returns : a system-GARCH model
Carson, James M.
;
Elyasiani, Elyas
;
Mansur, Iqbal
- In:
The journal of risk and insurance : the journal of the …
75
(
2008
)
4
,
pp. 873-891
Persistent link: https://www.econbiz.de/10003790355
Saved in:
9653
Central bank intervention, threshold effects and asymmetric volatility : evidence from the Japanese yen-US dollar foreign exchange market
Suardi, Sandy
- In:
Economic modelling
25
(
2008
)
4
,
pp. 628-642
Persistent link: https://www.econbiz.de/10003791238
Saved in:
9654
Price and volatility spillovers across North American, European and Asian stock markets : with special focus on Indian stock market
Singh, Priyanka D.
(
contributor
);
Kumar, Brajesh
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003791262
Saved in:
9655
Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?
Kearney, Colm
;
Muckley, Cal
- In:
International review of financial analysis
17
(
2008
)
5
,
pp. 870-885
Persistent link: https://www.econbiz.de/10003792311
Saved in:
9656
Level-ARCH short rate models with regime switching : bivariate modeling of US and European short rates
Christiansen, Charlotte
- In:
International review of financial analysis
17
(
2008
)
5
,
pp. 925-948
Persistent link: https://www.econbiz.de/10003792319
Saved in:
9657
How long memory in volatility affects true dependence structure
Mendes, Beatriz Vaz de Melo
;
Kolev, Nikolai
- In:
International review of financial analysis
17
(
2008
)
5
,
pp. 1070-1086
Persistent link: https://www.econbiz.de/10003792442
Saved in:
9658
GARCH error based ARIMA forecast for GDP in Sri Lanka
Mukhopadhyay, Chandan Kumar
;
Kundu, Amit
- In:
Economic issues in SAARC context
,
(pp. 202-225)
.
2008
Persistent link: https://www.econbiz.de/10003794377
Saved in:
9659
Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Funke, Michael
- In:
China economic review : an international journal
19
(
2008
)
4
,
pp. 635-648
Persistent link: https://www.econbiz.de/10003795459
Saved in:
9660
Asymmetry and long memory features in volatility : evidence from Korean stock market
Kang, Sang Hoon
;
Yoon, Seong-min
- In:
The Korean economic review
24
(
2008
)
2
,
pp. 383-412
Persistent link: https://www.econbiz.de/10003795500
Saved in:
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