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  • Search: subject:"Volatility Persistence"
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Year of publication
Subject
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Volatilität 71 volatility persistence 70 Volatility 69 ARCH-Modell 59 ARCH model 58 Volatility persistence 46 Zeitreihenanalyse 29 Time series analysis 28 Schätzung 27 Estimation 25 Kapitaleinkommen 22 Aktienmarkt 21 Börsenkurs 21 Capital income 21 GARCH 21 Share price 21 Stock market 20 Welt 15 World 14 Theorie 13 Theory 12 Wechselkurs 11 long memory 11 EGARCH 10 Exchange rate 10 Forecasting model 10 Prognoseverfahren 10 Volatility Persistence 10 Long memory 9 Strukturbruch 9 Estimation theory 8 Schätztheorie 8 Structural break 8 Trading volume 8 structural breaks 8 Handelsvolumen der Börse 7 High frequency data 7 Spillover effect 7 Spillover-Effekt 7 trading volume 7
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Online availability
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Free 58 Undetermined 55 CC license 4
Type of publication
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Article 98 Book / Working Paper 33
Type of publication (narrower categories)
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Article in journal 64 Aufsatz in Zeitschrift 64 Working Paper 10 Article 6 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Aufsatz im Buch 1 Book section 1
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Language
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English 89 Undetermined 42
Author
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Caporale, Guglielmo Maria 9 Gil-Alana, Luis A. 8 Amado, Cristina 4 Charles, Amélie 3 Darné, Olivier 3 Dedi, Lidija 3 Gallo, Giampiero M. 3 Liesenfeld, Roman 3 Otranto, Edoardo 3 Teräsvirta, Timo 3 Yavas, Burhan F. 3 Abaoub, Ezzeddine 2 Abata, Matthew Adeolu 2 Agnihotri, Shalini 2 Aliyu, Mohammed Farid 2 Aydogan, Berna 2 Aziz, Tariq 2 Baklaci, Hasan F. 2 Belhaj, Fethi 2 Benavides, Guillermo 2 Chinthapalli, Usha Rekha 2 Conrad, Christian 2 Doguwa, Sani I. 2 Duță, Violeta 2 Gatheral, Jim 2 Gil-Alaña, Luis A. 2 Hamzaoui, Nessrine 2 Hillebrand, Eric 2 Igbinovia, Beauty 2 Jaisson, Thibault 2 Kang, Sang Hoon 2 Kiani, Khurshid M. 2 Kleen, Onno 2 Kumar, Dilip 2 Maheswaran, S. 2 Migiro, Stephen Oseko 2 Naik, Pramod Kumar 2 Omokehinde, Joshua Odutola 2 Omotosho, Babatunde S. 2 Regaieg, Boutheina 2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 3 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 2 EconWPA 2 HAL 2 Banco de México 1 CESifo 1 Centro Ricerche Nord Sud (CRENoS) 1 Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign 1 Department of Economics and Related Studies, University of York 1 Department of Economics, Florida International University 1 IÉSEG School of Management, Université Catholique de Lille 1 Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho 1 School of Economics and Management, University of Aarhus 1 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 1
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Published in...
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International journal of economics and financial issues : IJEFI 4 International review of financial analysis 4 MPRA Paper 4 Physica A: Statistical Mechanics and its Applications 4 Econometrics Working Papers Archive 3 Applied economics 2 DIW Discussion Papers 2 Decision 2 Discussion Papers of DIW Berlin 2 Econometrics 2 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 2 Finance research letters 2 Global business review 2 Review of Pacific Basin Financial Markets and Policies (RPBFMP) 2 The North American Journal of Economics and Finance 2 Tübinger Diskussionsbeiträge 2 2008 Conference, April 21-22, 2008, St. Louis, Missouri 1 Afro-Asian Journal of Finance and Accounting : AAJFA 1 American journal of finance and accounting 1 Asia-Pacific Financial Markets 1 Atlantic economic journal : AEJ 1 BNR economic review 1 CBN Journal of Applied Statistics 1 CBN journal of applied statistics 1 CESifo Working Paper 1 CESifo Working Paper Series 1 CREATES Research Papers 1 Central European Journal of Economic Modelling and Econometrics 1 Central European review of economics and management : CEREM 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Copernican Journal of Finance & Accounting : CJF&A 1 Discussion Paper Series 1 Discussion Papers / Department of Economics and Related Studies, University of York 1 Discussion paper series / University of Heidelberg, Department of Economics 1 Economic Modelling 1 Economic modelling 1 Economics and finance working paper series 1 Economies : open access journal 1 Ege Academic Review 1
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Source
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ECONIS (ZBW) 69 RePEc 50 EconStor 12
Showing 1 - 10 of 131
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Resilience in Jordan's stock market : sectoral volatility responses to financial, political, and health crises
Al Natour, Abdul Rahman - In: Risks : open access journal 13 (2025) 10, pp. 1-25
Sectoral vulnerability to distinct crisis types in small, open, and geopolitically exposed markets-such as Jordan-remains insufficiently quantified, constraining targeted policy design and portfolio allocation. This study's primary purpose is to establish a transparent, comparable metric of...
Persistent link: https://www.econbiz.de/10015492646
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Analyzing the South African equity market volatility and economic policy uncertainty during COVID-19
Ramakau, Thokozane; Mokatsanyane, Daniel; Matlhaku, Kago; … - In: Economies : open access journal 13 (2025) 10, pp. 1-22
This study examines the dynamics of equity market volatility and economic policy uncertainty (EPU) in South Africa during the COVID-19 pandemic. Using daily return data for sectoral indices and the JSE All Share Index (ALSI) from 1 January 2020 to 31 March 2022, the analysis explores both...
Persistent link: https://www.econbiz.de/10015475221
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Exchange rate behaviour in ASEAN countries : a sensitivity analysis
Umoru, David; Igbinovia, Beauty; Aliyu, Mohammed Farid - In: Central European review of economics and management : CEREM 8 (2024) 4, pp. 37-73
volatility persistence. We also found significant ARCH effect which instigated further estimations of the GARCH and FIGARCH … last long, influencing future volatility levels noticeably in all the countries. Exchange rate volatility persistence of …
Persistent link: https://www.econbiz.de/10015323451
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Exchange rate behaviour in ASEAN countries: A sensitivity analysis
Umoru, David; Igbinovia, Beauty; Aliyu, Mohammed Farid - In: The Central European Review of Economics and Management … 8 (2024) 4, pp. 37-73
volatility persistence. We also found significant ARCH effect which instigated further estimations of the GARCH and FIGARCH … last long, influencing future volatility levels noticeably in all the countries. Exchange rate volatility persistence of …
Persistent link: https://www.econbiz.de/10015323791
Saved in:
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Macroeconomic variables and time-varying volatility persistence of carbon market
Liu, Tianyu; Niu, Huawei; Yin, Xuebao - In: Applied economics 58 (2026) 6, pp. 1021-1040
Persistent link: https://www.econbiz.de/10015634946
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Volatility spillovers among Islamic countries and geopolitical risk
Rajput, Suresh Kumar Oad; Memon, Amjad Ali; Aziz, Tariq; … - In: Journal of Islamic accounting and business research 15 (2024) 5, pp. 729-745
Persistent link: https://www.econbiz.de/10015064086
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An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks : implications for forecasting
Patra, Saswat - In: International review of economics & finance : IREF 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014583719
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A new channel for global volatility propagation
Chen, Shuning; Wang, Jian-xin - In: The European journal of finance 30 (2024) 5, pp. 481-502
Persistent link: https://www.econbiz.de/10014547893
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A comparative analysis on probability of volatility clusters on cryptocurrencies, and FOREX currencies
Chinthapalli, Usha Rekha - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-23
In recent years, the attention of investors, practitioners and academics has grown in cryptocurrency. Initially, the cryptocurrency was designed as a viable digital currency implementation, and subsequently, numerous derivatives were produced in a range of sectors, including nonmonetary...
Persistent link: https://www.econbiz.de/10012622787
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A comparative analysis on probability of volatility clusters on cryptocurrencies, and FOREX currencies
Chinthapalli, Usha Rekha - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-23
In recent years, the attention of investors, practitioners and academics has grown in cryptocurrency. Initially, the cryptocurrency was designed as a viable digital currency implementation, and subsequently, numerous derivatives were produced in a range of sectors, including nonmonetary...
Persistent link: https://www.econbiz.de/10013200992
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