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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
Centre for Analytical Finance <Århus>
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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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European University Institute / Department of Economics
3
National Institute of Economic and Social Research
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3
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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Bank of Canada
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1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
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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
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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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9921
Do fat tails matter in GARCH estimation : testing market efficiency in two transition economies
Harrison, Barry
;
Paton, David
- In:
Economic issues
12
(
2007
)
2
,
pp. 15-26
Persistent link: https://www.econbiz.de/10003639328
Saved in:
9922
Asymmetric information impacts : evidence from the Australian treasury-bond futures market
Zou, Liping
;
Rose, Lawrence Craig
;
Pinfold, John F.
- In:
Pacific economic review
12
(
2007
)
5
,
pp. 665-681
Persistent link: https://www.econbiz.de/10003597880
Saved in:
9923
The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market
Wang, Yuenan
;
Di Iorio, Amalia
- In:
Review of quantitative finance and accounting
29
(
2007
)
2
,
pp. 181-203
Persistent link: https://www.econbiz.de/10003600124
Saved in:
9924
The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-li
;
Chen, Mei-ling
- In:
Review of quantitative finance and accounting
29
(
2007
)
4
,
pp. 371-394
Persistent link: https://www.econbiz.de/10003600297
Saved in:
9925
Asymptotic and bootstrap inference for AR (∞) processes with conditional heteroskedasticity
Gonçalves, Sílvia
;
Kilian, Lutz
- In:
Econometric reviews
26
(
2007
)
6
,
pp. 609-641
Persistent link: https://www.econbiz.de/10003605816
Saved in:
9926
The effect of congressional sessions on the stock market in emerging democracy : the case of Taiwan
Wang, Yi-hsien
;
Lin, Chin-tsai
- In:
Hitotsubashi journal of economics
48
(
2007
)
2
,
pp. 199-212
Persistent link: https://www.econbiz.de/10003619597
Saved in:
9927
An analysis of the conditional volatility dynamics of the Australian business cycle
Ho, Kin-Yip
;
Tsui, Albert K.
;
Zhang, Zhaoyong
- In:
Journal of economic development
32
(
2007
)
2
,
pp. 157-182
Persistent link: https://www.econbiz.de/10003626181
Saved in:
9928
Value-at-risk in emerging equity markets : comparative evidence for symmetric, asymmetric, and long-memory GARCH models
McMillan, David G.
;
Speight, Alan E. H.
- In:
International review of finance
7
(
2007
)
1/2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003626702
Saved in:
9929
Trading with asymmetric volatility spillovers
Alañón Pardo, Ángel
;
Torró, Hipòlit
- In:
Journal of business finance & accounting : JBFA
34
(
2007
)
9/10
,
pp. 1548-1568
Persistent link: https://www.econbiz.de/10003626840
Saved in:
9930
Globalization and emerging stock market integration : evidence from a FIVECM-MGARCH model
Chen, Heng
;
Lobo, Bento J.
;
Wong, Wing Keung
- In:
Global review of business and economic research
3
(
2007
)
1
,
pp. 47-65
Persistent link: https://www.econbiz.de/10003628141
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