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  • Search: subject:"Heteroscedasticity"
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Year of publication
Subject
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ARCH model 3,778 ARCH-Modell 3,778 Volatility 2,372 Volatilität 2,371 Theorie 1,299 Theory 1,293 Estimation 1,019 Schätzung 1,019 Zeitreihenanalyse 980 Time series analysis 977 Schätztheorie 826 Estimation theory 824 Börsenkurs 718 Share price 716 Capital income 700 Kapitaleinkommen 700 Forecasting model 671 Prognoseverfahren 671 Heteroscedasticity 628 Heteroskedastizität 573 Aktienmarkt 517 Stock market 515 Exchange rate 347 Wechselkurs 347 Spillover-Effekt 341 Welt 341 Risikomaß 340 Risk measure 340 Spillover effect 340 World 339 Correlation 329 Korrelation 329 GARCH 286 Risiko 252 Risk 252 Portfolio selection 249 Portfolio-Management 249 Finanzmarkt 246 Stochastic process 246 Stochastischer Prozess 246
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Online availability
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Free 4,519 CC license 392
Type of publication
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Book / Working Paper 3,469 Article 1,049 Other 1
Type of publication (narrower categories)
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Working Paper 1,715 Arbeitspapier 1,675 Graue Literatur 1,663 Non-commercial literature 1,663 Article in journal 1,006 Aufsatz in Zeitschrift 1,006 Hochschulschrift 37 Thesis 25 Article 18 Collection of articles of several authors 9 Sammelwerk 9 Collection of articles written by one author 8 Sammlung 8 Conference paper 7 Konferenzbeitrag 7 Forschungsbericht 6 Systematic review 3 Übersichtsarbeit 3 Aufsatzsammlung 2 Case study 2 Fallstudie 2 Konferenzschrift 2 Research Report 1
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Language
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English 4,389 Undetermined 115 German 8 Spanish 3 Czech 1 French 1 Hungarian 1 Polish 1 Russian 1
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Author
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McAleer, Michael 161 Chang, Chia-Lin 69 Lütkepohl, Helmut 46 Caporale, Guglielmo Maria 43 Bauwens, Luc 41 Hafner, Christian M. 40 Gupta, Rangan 35 Rombouts, Jeroen V. K. 34 Teräsvirta, Timo 33 Caporin, Massimiliano 32 Conrad, Christian 28 Allen, David E. 27 Asai, Manabu 26 Phillips, Peter C. B. 26 Engle, Robert F. 24 Koopman, Siem Jan 22 Rahbek, Anders 22 Saikkonen, Pentti 21 Sun, Yixiao 21 Linton, Oliver 20 Silvennoinen, Annastiina 20 Yang, Minxian 20 Herwartz, Helmut 19 Meitz, Mika 19 Bollerslev, Tim 18 Diebold, Francis X. 18 Hansen, Peter Reinhard 18 Spagnolo, Nicola 18 Ardia, David 17 Karanasos, Menelaos 17 Sheppard, Kevin 17 Degiannakis, Stavros Antonios 16 Dette, Holger 16 Lucas, André 16 Mittnik, Stefan 16 Paolella, Marc S. 16 Christoffersen, Peter F. 15 Härdle, Wolfgang 15 Newey, Whitney K. 15 Rigobón, Roberto 15
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Institution
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International Monetary Fund (IMF) 63 National Bureau of Economic Research 35 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 20 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 17 Ekonomiska forskningsinstitutet <Stockholm> 11 Econometrisch Instituut <Rotterdam> 8 International Monetary Fund 6 Shakai-Keizai-Kenkyūsho <Osaka> 6 HAL 5 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 5 Tilburg University, Center for Economic Research 5 Econometric Society 4 London School of Economics (LSE) 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 3 Department of Economics, University of California-San Diego (UCSD) 3 European University Institute / Department of Economics 3 National Institute of Economic and Social Research 3 School of Economics and Management, University of Aarhus 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Agricultural and Applied Economics Association - AAEA 2 Brown University / Department of Economics 2 CESifo 2 Center for Economic Research <Tilburg> 2 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 2 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics and Related Studies, University of York 2 Department of Economics, Boston College 2 Department of International and European Economic Studies, Athens University of Economics and Business (AUEB) 2 Faculteit Economie en Bedrijfskunde, Universiteit Gent 2 Federal Reserve Bank of St. Louis 2 Instituto Valenciano de Investigaciones Económicas 2 Instituto Valenciano de Investigaciones Económicas (IVIE) 2 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 Türkiye Cumhuriyet Merkez Bankası 2 Umeå Universitet / Institutionen för Nationalekonomi 2 University of California, San Diego / Department of Economics 2 Université Paris-Dauphine (Paris IX) 2 Université de Montréal / Département de sciences économiques 2
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Published in...
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Discussion paper / Tinbergen Institute 115 Journal of risk and financial management : JRFM 92 International Journal of Energy Economics and Policy : IJEEP 71 Econometric Institute research papers 70 IMF Working Papers 61 CREATES research paper 59 Working paper 55 Cogent economics & finance 52 International journal of economics and financial issues : IJEFI 52 CORE discussion papers : DP 40 CESifo working papers 39 Econometrics : open access journal 39 Risks : open access journal 38 Working papers 38 Financial innovation : FIN 36 Discussion papers / Deutsches Institut für Wirtschaftsforschung 32 SFB 649 discussion paper 28 International Journal of Financial Studies : open access journal 27 NBER working paper series 27 Economies : open access journal 26 NBER Working Paper 25 CORE discussion paper : DP 23 CBN journal of applied statistics 22 Cambridge working papers in economics 22 Department of Economics working paper series 22 SSE EFI working paper series in economics and finance 21 Discussion papers of interdisciplinary research project 373 20 Economics and finance working paper series 20 Quantitative finance and economics 19 Research paper series / Swiss Finance Institute 19 Working paper series 19 CFS working paper series 18 Iranian economic review : journal of University of Tehran 18 MPRA Paper 17 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 17 CESifo Working Paper Series 16 DIW Berlin Discussion Paper 16 IMF working papers 16 Cowles Foundation discussion paper 15 Working paper / National Bureau of Economic Research, Inc. 15
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Source
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ECONIS (ZBW) 4,246 RePEc 206 EconStor 59 BASE 8
Showing 1 - 10 of 4,519
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A long short-term memory enhanced realized conditional heteroskedasticity model
Wang, Chao; Minh-Ngoc Tran; Kohn, Robert - In: Economic modelling 142 (2025), pp. 1-10
Persistent link: https://www.econbiz.de/10015192384
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Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - In: Macroeconomic dynamics 28 (2024) 1, pp. 32-50
Persistent link: https://www.econbiz.de/10014465380
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Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
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Inflation dynamics and persistence : the importance of the uncertainty channel
Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014534818
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Sequential change-point detection in time series models with conditional heteroscedasticity
Lee, Youngmi; Kim, Sungdon; Oh, Haejune - In: Economics letters 236 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10015071897
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Evaluating the effects of the monetary policy on the total stock market index in the Iranian economy : using the TVP-VAR and GARCH approaches
Zarei, Zhale; Hemmati, Maryam; Davoudi, Pedram - In: Iranian economic review : journal of University of Tehran 28 (2024) 3, pp. 899-920
Persistent link: https://www.econbiz.de/10015402933
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Direct versus iterated multiperiod Value-at-Risk forecasts
Ruiz, Esther; Nieto, María Rosa - In: Journal of economic surveys 37 (2023) 3, pp. 915-949
Persistent link: https://www.econbiz.de/10014337985
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Dynamic impact of foreign exchange trading volume on foreign exchange volatility
Kang, Jong Woo; Cabaero, Carlos - 2025
Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...
Persistent link: https://www.econbiz.de/10015194391
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015195169
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The shifted GARCH model with affine variance : applications in pricing
Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015197067
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