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  • Search: subject:"Range Based"
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Year of publication
Subject
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Volatility 37 Volatilität 36 ARCH model 22 ARCH-Modell 22 Theorie 19 Theory 19 Forecasting model 16 Prognoseverfahren 16 range-based volatility 12 Schätztheorie 11 Estimation theory 10 Estimation 9 Schätzung 9 Börsenkurs 8 Correlation 8 Range-based volatility 8 Share price 8 Capital income 7 Commodity derivative 7 Kapitaleinkommen 7 Korrelation 7 Portfolio selection 7 Portfolio-Management 7 Rohstoffderivat 7 exchange rates 7 volatility 6 Anlageverhalten 5 Behavioural finance 5 Financial crisis 5 Hedging 5 Range-based estimation 5 Stochastic process 5 Stochastischer Prozess 5 Time series analysis 5 Zeitreihenanalyse 5 absence of arbitrage 5 asynchronous trading 5 bid-ask bounce 5 bond returns 5 correlation 5
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Online availability
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Undetermined 35 Free 34
Type of publication
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Article 52 Book / Working Paper 28 Other 1
Type of publication (narrower categories)
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Article in journal 37 Aufsatz in Zeitschrift 37 Working Paper 5 Arbeitspapier 1 Article 1 Aufsatz im Buch 1 Book section 1 Graue Literatur 1 Non-commercial literature 1 research-article 1
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Language
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English 58 Undetermined 23
Author
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Podolskij, Mark 7 Brandt, Michael W. 5 Christensen, Kim 5 Diebold, Francis X. 5 Ma, Feng 5 Tseng, Tseng-Chan 4 Karanasos, Menelaos 3 Kartsaklas, A. 3 Kok Haur Ng 3 Liu, Jing 3 Skoczylas, Tomasz 3 Vetter, Mathias 3 Bhaumik, S. 2 Caporale, Guglielmo Maria 2 Chan, Jennifer So Kuen 2 Chung, Huimin 2 Dutta, Anupam 2 Guesmi, Khaled 2 Huang, Dengshi 2 Hung, Jui-Cheng 2 Karanasos, M. 2 Kartsaklas, Aris 2 Lahiani, Amine 2 Lai, Hung-Cheng 2 Mahieu, Ronald 2 Maillet, Bertrand 2 Miao, Daniel Wei-Chung 2 Michel, Thierry 2 Médecin, Jean-Philippe 2 Su, Yi Kai 2 Tan, Shay Kee 2 Wang, Jying-Nan 2 Wei, Yu 2 Wu, Chun-chou 2 Yfanti, Stavroula 2 Ziggel, Daniel 2 Al-Faryan, Mamdouh Abdulaziz Saleh 1 Alshammari, Saad 1 April 1 Arya, Himani 1
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Institution
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School of Economics and Management, University of Aarhus 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Center for Financial Studies 2 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 2 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Department of Economics, University of Peloponnese 1 Department of Economics, University of Pennsylvania 1 Dipartimento di Economia, Università Ca' Foscari Venezia 1 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. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Financial Institutions Center, Wharton School of Business 1 HAL 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institute for International Integration Studies (IIIS), Trinity College Dublin 1 William Davidson Institute, University of Michigan 1
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Published in...
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Economic modelling 4 CREATES Research Papers 3 MPRA Paper 3 Applied economics 2 CFS Working Paper Series 2 Economics Bulletin 2 International review of financial analysis 2 Technical Report 2 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 2 The North American journal of economics and finance : a journal of financial economics studies 2 Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Applied economics letters 1 Applied financial economics 1 Asian economic journal : journal of the East Asian Economic Association 1 Bank i kredyt 1 CESifo Working Paper 1 CESifo working papers 1 CFS Working Paper 1 Center for Financial Institutions Working Papers 1 Documents de travail du Centre d'Economie de la Sorbonne 1 ERIM Report Series Research in Management 1 Econometric Reviews 1 Economic Modelling 1 Energy economics 1 Finance and Stochastics 1 Finance research letters 1 Financial modeling and risk management of energy and environmental instruments and derivates 1 Global finance journal 1 International Journal of Information Security and Privacy (IJISP) 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of economics and business research : IJEBR 1 International journal of theoretical and applied finance 1 International review of economics & finance : IREF 1 Journal of Applied Statistics 1 Journal of Economic Studies 1 Journal of econometrics 1 Journal of economic dynamics & control 1 Journal of economic studies 1 Journal of empirical finance 1
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Source
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ECONIS (ZBW) 39 RePEc 34 EconStor 5 Other ZBW resources 2 BASE 1
Showing 1 - 10 of 81
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Multivariate range-based EGARCH models
Yan, Lili; Kellard, Neil M.; Lambercy, Lyudmyla - In: International review of financial analysis 100 (2025), pp. 1-23
Persistent link: https://www.econbiz.de/10015605469
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Modeling variance risk in financial markets using power-laws : new evidence from the Garman-Klass variance estimator
Fathi, Masoumeh; Grobys, Klaus - In: Quantitative finance 25 (2025) 7, pp. 1047-1072
Persistent link: https://www.econbiz.de/10015534177
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Stock-commodity correlations, optimal hedging, and climate risks
Demiralay, Sercan; Gencer, Hatice Gaye; Brauneis, Alexander - In: The journal of futures markets 45 (2025) 10, pp. 1693-1716
Persistent link: https://www.econbiz.de/10015464908
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Forecasting financial volatility : an approach based on Parkinson volatility measure with long memory stochastic range model
Zhi De Khoo; Kok Haur Ng; You Beng Koh; Kooi Huat Ng - In: Journal of empirical finance 82 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015432876
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Modelling and forecasting intraday volatility with range-based GARCH models for Indian stock market
Shakeel, Moonis; Arya, Himani - In: International journal of economics and business … 27 (2024) 4, pp. 633-650
Persistent link: https://www.econbiz.de/10015063292
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Optimal nonparametric range-based volatility estimation
Bollerslev, Tim; Li, Jia; Li, Qiyuan - In: Journal of econometrics 238 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015073787
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Analyzing commodity futures and stock market indices : hedging strategies using asymmetric dynamic conditional correlation models
Alshammari, Saad; Obeid, Hassan - In: Finance research letters 56 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014473654
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Range-based risk measures and their applications
Righi, Marcelo Brutti; Müller, Fernanda Maria - In: ASTIN bulletin : the journal of the International … 53 (2023) 3, pp. 636-657
Persistent link: https://www.econbiz.de/10014342970
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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An improved cat swarm search-based deep ensemble learning model for group recommender systems
Roy, Deepjyoti; Dutta, Mala - In: Journal of information & knowledge management : JIKM 21 (2022) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10013411146
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