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Search: subject:"Volatility clustering"
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Volatility clustering
90
Volatilität
80
Volatility
79
volatility clustering
73
ARCH-Modell
60
ARCH model
59
Theorie
41
Zeitreihenanalyse
35
Börsenkurs
34
Theory
34
Time series analysis
31
Share price
29
Volatility Clustering
28
Capital income
20
Kapitaleinkommen
20
Schätzung
16
Aktienmarkt
15
Estimation
15
GARCH
15
Stock market
15
Finanzmarkt
13
Forecasting model
13
Prognoseverfahren
13
Portfolio-Management
11
Risikomaß
11
Risk measure
11
Welt
11
Financial market
10
Leverage effect
10
Portfolio selection
10
World
10
Cluster analysis
9
Clusteranalyse
9
Herd Behavior
9
India
9
Indien
9
Fat Tails
8
Speculative Dynamics
8
Aktienindex
7
Stock index
7
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Online availability
All
Free
84
Undetermined
80
CC license
7
Type of publication
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Article
135
Book / Working Paper
64
Type of publication (narrower categories)
All
Article in journal
66
Aufsatz in Zeitschrift
66
Working Paper
20
Arbeitspapier
10
Graue Literatur
10
Non-commercial literature
10
Article
8
Aufsatz im Buch
4
Book section
4
research-article
3
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2
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Language
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English
115
Undetermined
78
Spanish
3
German
2
French
1
Author
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Alfarano, Simone
12
Lux, Thomas
12
Lin, Shih-kuei
4
Morone, Andrea
4
Xu, Dinghai
4
Chauveau, Thierry
3
Cremers, Heinz
3
Diks, Cees
3
Diongue, Abdou Kâ
3
Fabozzi, Frank J.
3
Guegan, Dominique
3
He, Xue-zhong
3
Huber, Jürgen
3
Ji, Jiangyu
3
Kirchler, Michael
3
Krasnosselski, Nikolai
3
Li, Kai
3
Sanddorf, Walter
3
Subbotin, Alexander
3
Wagner, Friedrich
3
Wirjanto, Tony S.
3
Wolff, Rodney C.
3
Yamamoto, Ryuichi
3
Zhao, Lin
3
Arias, Olga Chacón
2
Armeanu, Daniel Ștefan
2
Bertschinger, Nils
2
Bruzgė, Rasa
2
Burks, Nathan
2
Chang, Charles
2
Chiarella, Carl
2
Driaunys, Kęstutis
2
Duță, Violeta
2
Fadahunsi, Adetokunbo
2
Franke, Reiner
2
Gherghina, Ștefan Cristian
2
Ghysels, Eric
2
Grecu, Alex
2
He, Xue-Zhong
2
Hibbert, Ann Marie
2
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Institution
All
EconWPA
4
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
HAL
3
Society for Computational Economics - SCE
3
Tinbergen Instituut
3
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Departament d'Economia, Universitat Jaume I
2
Griswold Center for Economic Policy Studies, Department of Economics
2
Banque de France
1
C.E.P.R. Discussion Papers
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Department of Economics and Finance, College of Business and Administration
1
Department of Economics, Ryerson University
1
Department of Economics, University of California-San Diego (UCSD)
1
Deutsche Bundesbank
1
East Asian Bureau of Economic Research (EABER)
1
Finance Discipline Group, Business School
1
Frankfurt School of Finance and Management
1
Max-Planck-Institut für Ökonomik, Max-Planck-Gesellschaft
1
Rimini Centre for Economic Analysis (RCEA)
1
Tinbergen Institute
1
University of Bonn, Germany
1
University of Stellenbosch. Faculty of Economic and Management Sciences. Graduate School of Business.
1
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Published in...
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Physica A: Statistical Mechanics and its Applications
14
Discussion paper / Tinbergen Institute
4
Economics Working Paper
4
Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
4
Journal of Risk and Financial Management
4
Journal of risk and financial management : JRFM
4
MPRA Paper
4
Tinbergen Institute Discussion Papers
4
Computing in Economics and Finance 2002
3
Finance
3
Journal of Banking & Finance
3
Journal of Economic Interaction and Coordination
3
Post-Print / HAL
3
Quantitative finance
3
Tinbergen Institute Discussion Paper
3
Afro-Asian Journal of Finance and Accounting : AAJFA
2
Annals - Economy Series
2
Annals of Economics and Finance
2
Applied economics
2
Asian Academy of Management Journal of Accounting and Finance
2
Computational Economics
2
Documents de travail du Centre d'Economie de la Sorbonne
2
Economic modelling
2
Economía Mexicana NUEVA ÉPOCA
2
Frankfurt School - Working Paper Series
2
Global business review
2
International journal of theoretical and applied finance
2
Journal of Advanced Studies in Finance
2
Journal of Economic Dynamics and Control
2
Journal of banking & finance
2
Journal of business economics and management
2
Journal of economic behavior & organization : JEBO
2
Journal of economic dynamics & control
2
Journal of empirical finance
2
Quantitative Finance
2
The European Journal of Finance
2
Working Papers / Departament d'Economia, Universitat Jaume I
2
Working Papers / Griswold Center for Economic Policy Studies, Department of Economics
2
Acta Universitatis Danubius. OEconomica
1
Applied mathematical finance
1
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Source
All
RePEc
94
ECONIS (ZBW)
81
EconStor
18
BASE
3
Other ZBW resources
3
Showing
131
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140
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199
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131
A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles
;
Fuh, Cheng-Der
;
Lin, Shih-Kuei
- In:
Journal of Banking & Finance
37
(
2013
)
8
,
pp. 3204-3217
provides the leptokurtic return features, volatility smile, and
volatility
clustering
observed empirically for the Dow Jones …
Persistent link: https://www.econbiz.de/10010679264
Saved in:
132
Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010
Wan, Yang
;
Clutter, Michael L.
;
Siry, Jacek P.
;
Mei, Bin
- In:
Forest Policy and Economics
28
(
2013
)
C
,
pp. 15-22
), and unemployment (UNEMP) on daily industry portfolios. Empirical results indicated the existence of
volatility
clustering
…
Persistent link: https://www.econbiz.de/10010636213
Saved in:
133
Volatility
clustering
, leverage, size, or contagion effects : the fluctuations of Asian real estate investment trust returns
Tsai, I-Chun
- In:
Journal of Asian economics
27
(
2013
),
pp. 18-32
Persistent link: https://www.econbiz.de/10010190282
Saved in:
134
A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles
;
Fuh, Cheng-der
;
Lin, Shih-kuei
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
Saved in:
135
Analyzing the impact of futures trading on spot price volatility : evidence from the spot electricity market in France and Germany
Kalantzis, Fotis G.
;
Milonas, Nikolaos T.
- In:
Energy economics
36
(
2013
),
pp. 454-463
Persistent link: https://www.econbiz.de/10009724667
Saved in:
136
Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
Chauveau, Thierry
;
Subbotin, Alexander
- In:
Journal of economic dynamics & control
37
(
2013
)
5
,
pp. 1040-1065
Persistent link: https://www.econbiz.de/10009738270
Saved in:
137
Impact of introducing derivatives trading on volatilities of sectoral stock indices in India
Pal, Suparna Nandy
;
Chattopadhyay, Arup Kr.
- In:
Research bulletin / The Institute of Cost Accountants …
38
(
2013
),
pp. 168-184
Persistent link: https://www.econbiz.de/10011419780
Saved in:
138
A noise trader model as a generator of apparent financial power laws and long memory
Alfarano, Simone
;
Lux, Thomas
-
2005
In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and
volatility
clustering
…
Persistent link: https://www.econbiz.de/10010295050
Saved in:
139
A noise trader model as a generator of apparent financial power laws and long memory
Alfarano, Simone
;
Lux, Thomas
-
Institut für Volkswirtschaftslehre, …
-
2005
In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and
volatility
clustering
…
Persistent link: https://www.econbiz.de/10005082927
Saved in:
140
To be or not: feeding information in standard minority games
Corelli, Angelo
- In:
The Journal of Risk Finance
13
(
2012
)
2
,
pp. 171-178
, stylized facts arise, such as fat tailed distribution of returns and
volatility
clustering
. If speculators abandon price taking …
Persistent link: https://www.econbiz.de/10014901603
Saved in:
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