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  • Search: subject:"HETEROSKEDASTICITY"
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Year of publication
Subject
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ARCH-Modell 11,506 ARCH model 11,499 Volatility 7,293 Volatilität 7,291 Theorie 3,655 Theory 3,635 Schätzung 3,143 Estimation 3,140 Zeitreihenanalyse 2,555 Time series analysis 2,547 Börsenkurs 2,265 Share price 2,261 Capital income 2,247 Kapitaleinkommen 2,247 Prognoseverfahren 2,055 Forecasting model 2,048 Schätztheorie 2,016 Stock market 2,013 Aktienmarkt 2,012 Estimation theory 2,005 Heteroskedastizität 1,342 Heteroscedasticity 1,322 Risikomaß 1,143 Risk measure 1,143 Spillover effect 1,129 Spillover-Effekt 1,129 Welt 1,125 World 1,122 Exchange rate 1,099 Wechselkurs 1,099 GARCH 1,046 USA 1,040 United States 1,031 Correlation 1,017 Korrelation 1,016 Portfolio selection 874 Portfolio-Management 874 Aktienindex 830 Stock index 828 Risk 825
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Online availability
All
Free 4,805 Undetermined 3,818 CC license 394
Type of publication
All
Article 8,647 Book / Working Paper 4,846 Other 4
Type of publication (narrower categories)
All
Article in journal 8,060 Aufsatz in Zeitschrift 8,060 Working Paper 2,318 Graue Literatur 2,190 Non-commercial literature 2,190 Arbeitspapier 2,174 Aufsatz im Buch 290 Book section 290 Hochschulschrift 163 Thesis 134 Conference paper 53 Konferenzbeitrag 53 Collection of articles written by one author 38 Sammlung 38 Article 26 Collection of articles of several authors 26 Sammelwerk 26 Bibliografie enthalten 16 Bibliography included 16 Aufsatzsammlung 15 Systematic review 13 Übersichtsarbeit 13 Konferenzschrift 10 Lehrbuch 10 Case study 9 Dissertation u.a. Prüfungsschriften 9 Fallstudie 9 Textbook 9 Forschungsbericht 7 Conference Paper 4 Rezension 4 research-article 4 Amtsdruckschrift 3 Conference proceedings 3 Government document 3 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Congress Report 1
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Language
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English 12,889 Undetermined 465 German 72 Spanish 25 French 23 Polish 6 Portuguese 5 Czech 4 Turkish 3 Bulgarian 1 Hungarian 1 Indonesian 1 Italian 1 Lithuanian 1 Romanian 1 Swedish 1 Chinese 1
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Author
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McAleer, Michael 245 Lütkepohl, Helmut 100 Chang, Chia-Lin 95 Gupta, Rangan 91 Teräsvirta, Timo 84 Hafner, Christian M. 76 Bauwens, Luc 72 Herwartz, Helmut 63 Engle, Robert F. 62 Caporale, Guglielmo Maria 61 Rahbek, Anders 58 Caporin, Massimiliano 57 Rombouts, Jeroen V. K. 54 Ma, Feng 51 Karanasos, Menelaos 50 Francq, Christian 49 Bouri, Elie 45 Cavaliere, Giuseppe 43 Koopman, Siem Jan 43 Linton, Oliver 43 Allen, David E. 42 Saikkonen, Pentti 42 Asai, Manabu 41 Bollerslev, Tim 41 Conrad, Christian 41 Laurent, Sébastien 41 Serletis, Apostolos 41 Paolella, Marc S. 40 Zakoïan, Jean-Michel 40 Kang, Sang Hoon 39 Sun, Yixiao 37 Kumar, Dilip 34 Lucas, André 33 McMillan, David G. 33 Meitz, Mika 33 Ardia, David 32 Degiannakis, Stavros 31 Phillips, Peter C. B. 31 Taylor, Robert 31 Christoffersen, Peter F. 30
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Institution
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National Bureau of Economic Research 35 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 21 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 20 Ekonomiska forskningsinstitutet <Stockholm> 15 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 14 Département de Sciences Économiques, Université de Montréal 14 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 13 Cowles Foundation for Research in Economics, Yale University 12 Centre for Analytical Finance <Århus> 11 HAL 11 CESifo 9 Tinbergen Instituut 9 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 8 Econometrisch Instituut <Rotterdam> 8 Institute for the Study of Labor (IZA) 8 Instituto Valenciano de Investigaciones Económicas 8 University of Canterbury / Dept. of Economics and Finance 8 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 7 Department of Economics, Boston College 7 Economics Department, Queen's University 7 Instituto Valenciano de Investigaciones Económicas (IVIE) 7 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 6 EconWPA 6 Shakai-Keizai-Kenkyūsho <Osaka> 6 Department of Economics, Oxford University 5 School of Economics and Management, University of Aarhus 5 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 5 Tinbergen Institute 5 Center for Policy Research, Maxwell School 4 Centre for Economic Performance, LSE 4 Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 4 Department of Economics, Boston University 4 Econometric Society 4 European University Institute / Department of Economics 4 Faculty of Economics, University of Cambridge 4 Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE) 4 London School of Economics (LSE) 4 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Agricultural and Applied Economics Association - AAEA 3 Brown University / Department of Economics 3
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Published in...
All
Energy economics 270 Journal of econometrics 257 Finance research letters 215 Economic modelling 178 Applied economics 170 Economics letters 158 Journal of empirical finance 149 International review of financial analysis 141 International review of economics & finance : IREF 140 Research in international business and finance 134 The North American journal of economics and finance : a journal of financial economics studies 129 Discussion paper / Tinbergen Institute 123 Journal of banking & finance 120 International journal of forecasting 116 Econometric theory 113 Journal of forecasting 113 Journal of international financial markets, institutions & money 108 Applied financial economics 107 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 105 Journal of risk and financial management : JRFM 94 Applied economics letters 92 Econometric reviews 91 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 88 The European journal of finance 85 Working paper 84 The journal of futures markets 80 Journal of financial econometrics : official journal of the Society for Financial Econometrics 75 International Journal of Energy Economics and Policy : IJEEP 74 Econometric Institute research papers 70 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 61 CREATES research paper 60 Computational economics 60 International journal of finance & economics : IJFE 56 International journal of economics and financial issues : IJEFI 54 Journal of international money and finance 54 The econometrics journal 54 Cogent economics & finance 52 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 51 Review of quantitative finance and accounting 50 International journal of economics and finance 46
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Source
All
ECONIS (ZBW) 12,703 RePEc 584 EconStor 174 BASE 18 USB Cologne (EcoSocSci) 13 Other ZBW resources 5
Showing 121 - 130 of 13,497
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What fuels the volatility of electricity prices?
Saretto, Alessio; Shcherbakova, Anastasia; Lin, Jeremy - 2024
Persistent link: https://www.econbiz.de/10015206937
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Does regime-dependent volatility drive dynamism in investor herding?
Jindal, Komal; Bamba, Meera; Aggarwal, Mamta - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 54-79
Persistent link: https://www.econbiz.de/10015210672
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Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method
Agarwal, Archana; Dhankhar, Nidhi; Mehla, Sunita - In: Colombo business journal : international journal of … 15 (2024) 2, pp. 162-189
Persistent link: https://www.econbiz.de/10015210715
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Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication
Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015211784
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Collateral, output growth, mortgage spread volatility and subsidies in Colombia
López, Martha; Sarmiento Gómez, Eduardo - 2024
Persistent link: https://www.econbiz.de/10015145548
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Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies : evidence from major contagions
Kamesh Anand K; Mishra, Aswini Kumar - In: Borsa Istanbul Review 24 (2024) 6, pp. 1248-1262
The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly...
Persistent link: https://www.econbiz.de/10015152679
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A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedasticity
Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Econometric theory 40 (2024) 5, pp. 957-1002
Persistent link: https://www.econbiz.de/10015154314
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Structural breaks and GARCH models of exchange rate volatility : re-examination and extension
Hasanov, Akram Shavkatovich; Brooks, Robert; Abrorov, … - In: Journal of applied econometrics 39 (2024) 7, pp. 1403-1407
Persistent link: https://www.econbiz.de/10015156866
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Oil jump tail risk as a driver of inflation dynamics
Ferrara, Laurent; Karadimitropoulou, Aikaterini; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10015162604
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Copula-MIDAS-TRV model for risk spillover analysis : evidence from the Chinese stock market
Qin, Wang; Li, Xianhua - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015134964
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