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  • Search: subject:"Multivariate GARCH"
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Year of publication
Subject
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Multivariate GARCH 354 ARCH-Modell 332 ARCH model 315 multivariate GARCH 281 Volatility 258 Volatilität 245 Schätzung 120 Estimation 118 Korrelation 91 Multivariate Analyse 91 Spillover-Effekt 91 Zeitreihenanalyse 91 Time series analysis 90 Correlation 88 Spillover effect 88 Multivariate analysis 83 Theorie 77 Börsenkurs 75 Aktienmarkt 71 Share price 70 Stock market 69 Theory 69 Estimation theory 62 Kapitaleinkommen 62 Schätztheorie 62 Capital income 61 Portfolio-Management 57 Portfolio selection 56 multivariate GARCH models 50 Welt 44 Ölpreis 44 Oil price 42 World 42 Rohstoffderivat 39 CAPM 38 Multivariate GARCH models 38 Commodity derivative 37 volatility spillovers 36 Exchange rate 31 Wechselkurs 30
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Online availability
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Free 486 Undetermined 258 CC license 9
Type of publication
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Article 465 Book / Working Paper 424 Other 9
Type of publication (narrower categories)
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Article in journal 288 Aufsatz in Zeitschrift 288 Working Paper 109 Graue Literatur 51 Non-commercial literature 51 Arbeitspapier 50 Article 14 research-article 4 Aufsatz im Buch 3 Book section 3 Conference paper 2 Konferenzbeitrag 2 Thesis 2 Congress Report 1 Konferenzschrift 1
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Language
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English 524 Undetermined 360 Portuguese 5 Spanish 5 French 3 German 1
Author
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McAleer, Michael 29 Chang, Chia-Lin 24 Tansuchat, Roengchai 19 Guesmi, Khaled 18 Ledoit, Olivier 18 Teräsvirta, Timo 18 Manera, Matteo 16 Wolf, Michael 16 Hafner, Christian M. 13 Silvennoinen, Annastiina 13 De Nard, Gianluca 11 Serletis, Apostolos 11 Teulon, Frédéric 11 Haas, Markus 10 Herwartz, Helmut 10 Antonakakis, Nikolaos 9 Caporin, Massimiliano 9 Cifarelli, Giulio 9 Mittnik, Stefan 9 Nguyen, Duc Khuong 9 Nicolini, Marcella 9 Engle, Robert F. 8 Papadamou, Stephanos 8 Violante, Francesco 8 Conrad, Christian 7 Funke, Michael 7 Khamkaew, Thanchanok 7 Lanza, Alessandro 7 Laurent, Sébastien 7 Paolella, Marc S. 7 Saleem, Kashif 7 Spagnolo, Nicola 7 Ahamada, Ibrahim 6 Aielli, Gian Piero 6 Asai, Manabu 6 Caporale, Guglielmo Maria 6 Grydaki, Maria 6 Hernandez, Manuel A. 6 Kirat, Djamel 6 McAleer, M.J. 6
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 27 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 12 Erasmus University Rotterdam, Econometric Institute 11 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 11 HAL 10 Econometric Society 8 Center for Financial Studies 6 Institut de Préparation à l'Administration et à la Gestion (IPAG) 6 School of Economics and Management, University of Aarhus 6 Department of Economics and Finance, College of Business and Economics 5 EconWPA 5 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 5 Institute of Economic Research, Kyoto University 5 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 4 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 4 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 4 European Central Bank 4 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 4 Society for Computational Economics - SCE 4 C.E.P.R. Discussion Papers 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 3 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 3 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 3 Fondazione ENI Enrico Mattei (FEEM) 3 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 3 National Centre for Econometric Research (NCER) 3 Nationalekonomiska Institutionen, Ekonomihögskolan 3 School of Economics and Finance, Business School 3 School of Economics and Political Science, Universität St. Gallen 3 Swiss Finance Institute 3 Tinbergen Institute 3 Tinbergen Instituut 3 Université Paris-Dauphine (Paris IX) 3 Agricultural and Applied Economics Association - AAEA 2 BANCO DE LA REPÚBLICA 2 Banca d'Italia 2 Banco de México 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 Centro Ricerche Nord Sud (CRENoS) 2
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Published in...
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MPRA Paper 27 Energy economics 16 CORE Discussion Papers 12 Working Paper 12 Applied economics 11 Econometric Institute Report 11 Econometric Institute Research Papers 11 Economic modelling 11 Economics Bulletin 10 Journal of banking & finance 10 Research in international business and finance 10 Energy Economics 9 Econometrics 8 Working paper series / University of Zurich, Department of Economics 8 SSE/EFI Working Paper Series in Economics and Finance 7 The North American journal of economics and finance : a journal of financial economics studies 7 Working Papers / HAL 7 CFS Working Paper Series 6 CREATES Research Papers 6 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 6 Tinbergen Institute Discussion Papers 6 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 6 BOFIT Discussion Papers 5 Discussion paper / Tinbergen Institute 5 Economic Modelling 5 Economics letters 5 Finance research letters 5 International Journal of Energy Economics and Policy : IJEEP 5 Journal of econometrics 5 Journal of international financial markets, institutions & money 5 KIER Working Papers 5 Mathematics and Computers in Simulation (MATCOM) 5 Working Papers in Economics 5 Working paper 5 "Marco Fanno" Working Papers 4 Discussion Paper Series 4 Documentos de Trabajo del ICAE 4 ECB Working Paper 4 Econometric reviews 4 Econometrics : open access journal 4
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Source
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RePEc 461 ECONIS (ZBW) 342 EconStor 73 BASE 18 Other ZBW resources 4
Showing 61 - 70 of 898
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Market integration and volatility spillover across major East Asian stock and Bitcoin markets : an empirical assessment
Zeng, Hongjun; Ahmed, Abdullahi Dahir - In: International journal of managerial finance : IJMF 19 (2023) 4, pp. 772-802
Persistent link: https://www.econbiz.de/10014326092
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An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Technological forecasting & social change : an … 186PA (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014250438
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Racial and ethnic disparities in unemployment and oil price uncertainty
Elder, John; Payne, James E. - In: Energy economics 119 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014280133
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The US-China trade war and the volatility linkages between energy and agricultural commodities
Cheng, Natalie Fang Ling; Hasanov, Akram Shavkatovich; … - In: Energy economics 120 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014284707
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Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models
Fakhfekh, Mohamed; Jeribi, Ahmed; Ghorbel, Ahmed; … - In: International journal of emerging markets 18 (2023) 4, pp. 978-1006
Persistent link: https://www.econbiz.de/10014333595
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Bitcoin connectedness to traditional asset-classes in times of COVID-19
Aloui, Chaker; Meo, Muhammad Saeed; Ben Hamida, Hela; … - In: International journal of trade and global markets 18 (2023) 4, pp. 315-338
Persistent link: https://www.econbiz.de/10015062144
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
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Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard; Pedersen, Rasmus Søndergaard; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
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Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis
Sinlapates, Parichat; Chancharat, Surachai - In: foresight 26 (2023) 1, pp. 84-97
Purpose This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP. Design/methodology/approach The multivariate BEKK-GARCH...
Persistent link: https://www.econbiz.de/10015343873
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