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  • Search: subject:"Volatility clustering"
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Year of publication
Subject
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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
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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)
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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 Thesis 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
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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
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RePEc 94 ECONIS (ZBW) 81 EconStor 18 BASE 3 Other ZBW resources 3
Showing 81 - 90 of 199
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An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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Listing of bank nifty on futures segment of NSE and its impact on spot market volatility
Lakshmi, V. D. M. V.; Joshi, Medha Shriram - In: Praj̄nȧn : journal of social and management sciences 44 (2016) 4, pp. 293-314
Persistent link: https://www.econbiz.de/10011490053
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Impact of individual stock derivatives introduction in India on its underlying spot market volatility
Nandy, Suparna; Chattopadhyay, Arup Kumar - In: Asia-Pacific journal of management research and … 12 (2016) 2, pp. 109-133
Persistent link: https://www.econbiz.de/10011720262
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Volatility clustering : a nonlinear theoretical approach
He, Xue-zhong; Li, Kai; Wang, Chuncheng - In: Journal of economic behavior & organization : JEBO 130 (2016), pp. 274-297
Persistent link: https://www.econbiz.de/10011701919
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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Do expirations of Bank nifty contracts on F&O segment of NSE affect spot market volatility?
Lakshmi, VDMV; Joshi, Medha Shriram - In: GITAM journal of management : a quarterly publication … 14 (2016) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011656178
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BL-GARCH model with elliptical distributed innovations
Diongue, Abdou Kâ; Guegan, Dominique; Wolff, Rodney C. - HAL - 2010
two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that … returns, when the features of interest manifest as volatility clustering and leverage effects. …
Persistent link: https://www.econbiz.de/10010738634
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Modeling Volatility in Emerging Stock Markets Of India And China
Joshi, Prashant - In: Journal of Quantitative Economics 8 (2010) January, pp. 86-94
captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Chinese stock …
Persistent link: https://www.econbiz.de/10010850666
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Price Dynamics in a Market with Heterogeneous Investment Horizons and Boundedly Rational Traders.
Subbotin, Alexander; Chauveau, Thierry - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
volatility clustering. …
Persistent link: https://www.econbiz.de/10008520970
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