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  • Search: subject:"Volatility component"
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Year of publication
Subject
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ARCH-Modell 11 ARCH model 10 BEKK 8 DCC 8 Volatility 8 Volatilität 8 Principal Component Analysis 7 asymptotic properties 7 Estimation 6 Principal Volatility Component Analysis 6 Schätzung 6 Vector time-varying conditional heteroskedasticity 6 GARCH-MIDAS 5 LM test 5 Theorie 5 Theory 5 Correlation 4 Hauptkomponentenanalyse 4 Korrelation 4 Principal component analysis 4 Time series analysis 4 Volatility Component Models 4 Zeitreihenanalyse 4 Multivariate Analyse 3 Multivariate analysis 3 Capital income 2 Forecast evaluation 2 Kapitaleinkommen 2 Long-Term Volatility 2 Long-term Volatility 2 Mincer-Zarnowitz regression 2 Mixed-Frequency Data 2 Statistische Methodenlehre 2 long-term volatility 2 volatility component model 2 volatility persistence 2 Asymptotic properties 1 Börsenkurs 1 Capital market returns 1 Commodity exchange 1
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Online availability
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Free 13 Undetermined 3
Type of publication
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Book / Working Paper 14 Article 4
Type of publication (narrower categories)
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Working Paper 10 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 14 Undetermined 4
Author
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McAleer, Michael 8 Conrad, Christian 7 Schienle, Melanie 5 Kleen, Onno 2 Abebe, Teshome Hailemeskel 1 Hu, Yu-Pin 1 Legesse, Belaineh 1 Tsay, Ruey S. 1 Wang, Qi 1 Wang, Zerong 1 Woldesenbet, Emmanuel Gabreyohannes 1
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Institution
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Department of Economics and Finance, College of Business and Economics 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Tinbergen Instituut 1
Published in...
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Discussion Paper Series 2 Discussion paper series / University of Heidelberg, Department of Economics 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Discussion paper / Tinbergen Institute 1 Documentos de Trabajo del ICAE 1 Econometric Institute Research Papers 1 Econometric Institute research papers 1 Global business review 1 Journal of banking & finance 1 KIT Working Paper Series in Economics 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Papers in Economics 1 Working paper 1 Working paper series in economics 1
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Source
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ECONIS (ZBW) 10 EconStor 4 RePEc 4
Showing 1 - 10 of 18
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Statistical analysis of price volatility of agricultural commodities traded at the Ethiopian commodity exchange (ECX) using multiplicative GARCH-MIDAS two-component model
Abebe, Teshome Hailemeskel; Woldesenbet, Emmanuel … - In: Global business review 23 (2022) 4, pp. 925-945
Persistent link: https://www.econbiz.de/10013387258
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Testing for an omitted multiplicative long-term component in GARCH models
Conrad, Christian; Schienle, Melanie - 2019
We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...
Persistent link: https://www.econbiz.de/10011959464
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Testing for an omitted multiplicative long-term component in GARCH models
Conrad, Christian; Schienle, Melanie - 2019 - This draft: May 20, 2018
We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...
Persistent link: https://www.econbiz.de/10011958200
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On the statistical properties of multiplicative GARCH models
Conrad, Christian; Kleen, Onno - 2016
We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and...
Persistent link: https://www.econbiz.de/10011688279
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On the statistical properties of multiplicative GARCH models
Conrad, Christian; Kleen, Onno - 2016
We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and...
Persistent link: https://www.econbiz.de/10011453119
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VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi; Wang, Zerong - In: Journal of banking & finance 116 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
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Testing for an omitted multiplicative long-term component in GARCH models
Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242
We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...
Persistent link: https://www.econbiz.de/10012795900
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Misspecification Testing in GARCH-MIDAS Models
Conrad, Christian; Schienle, Melanie - 2015
We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of an...
Persistent link: https://www.econbiz.de/10011422306
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Misspecification testing in GARCH-MIDAS models
Conrad, Christian; Schienle, Melanie - 2015
We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of an...
Persistent link: https://www.econbiz.de/10011348939
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key …
Persistent link: https://www.econbiz.de/10010377227
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