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  • Search: subject:"arch model"
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Year of publication
Subject
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ARCH model 3,793 ARCH-Modell 3,779 Volatility 2,345 Volatilität 2,340 Theorie 1,143 Theory 1,143 Schätzung 932 Estimation 931 Time series analysis 894 Zeitreihenanalyse 894 Börsenkurs 698 Share price 698 Capital income 690 Kapitaleinkommen 690 Forecasting model 662 Prognoseverfahren 662 Estimation theory 609 Schätztheorie 609 Stock market 504 Aktienmarkt 503 Exchange rate 342 Wechselkurs 342 Spillover effect 336 Spillover-Effekt 336 Risikomaß 334 Risk measure 334 Welt 318 World 318 Correlation 306 Korrelation 306 GARCH 283 Portfolio selection 244 Portfolio-Management 244 Risk 244 Financial market 242 Finanzmarkt 242 Risiko 242 Aktienindex 235 Stock index 235 Stochastic process 231
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Online availability
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Free 3,807 CC license 386
Type of publication
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Book / Working Paper 2,845 Article 962
Type of publication (narrower categories)
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Working Paper 1,435 Arbeitspapier 1,432 Graue Literatur 1,415 Non-commercial literature 1,415 Article in journal 960 Aufsatz in Zeitschrift 960 Hochschulschrift 33 Thesis 20 Collection of articles of several authors 8 Collection of articles written by one author 8 Sammelwerk 8 Sammlung 8 Conference paper 5 Forschungsbericht 5 Konferenzbeitrag 5 Systematic review 3 Übersichtsarbeit 3 Article 2 Aufsatzsammlung 2 Case study 2 Fallstudie 2 Konferenzschrift 1
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Language
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English 3,783 Undetermined 13 German 7 Spanish 3 French 1 Polish 1
Author
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McAleer, Michael 157 Chang, Chia-Lin 68 Caporale, Guglielmo Maria 42 Hafner, Christian M. 39 Bauwens, Luc 38 Gupta, Rangan 35 Teräsvirta, Timo 33 Caporin, Massimiliano 32 Rombouts, Jeroen V. K. 29 Conrad, Christian 28 Asai, Manabu 26 Engle, Robert F. 25 Allen, David E. 24 Koopman, Siem Jan 21 Rahbek, Anders 20 Silvennoinen, Annastiina 20 Bollerslev, Tim 19 Linton, Oliver 19 Lütkepohl, Helmut 18 Ardia, David 17 Diebold, Francis X. 17 Hansen, Peter Reinhard 17 Herwartz, Helmut 17 Karanasos, Menelaos 17 Sheppard, Kevin 17 Spagnolo, Nicola 17 Degiannakis, Stavros Antonios 16 Lucas, André 16 Paolella, Marc S. 16 Saikkonen, Pentti 16 Christoffersen, Peter F. 15 Mittnik, Stefan 15 Singh, Abhay Kumar 15 Xu, Yongdeng 15 Andersen, Torben 14 Laurent, Sébastien 14 Meitz, Mika 14 Miller, Stephen M. 14 Ravazzolo, Francesco 14 Shephard, Neil G. 14
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Institution
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National Bureau of Economic Research 21 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 16 Ekonomiska forskningsinstitutet <Stockholm> 11 Econometrisch Instituut <Rotterdam> 8 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Shakai-Keizai-Kenkyūsho <Osaka> 6 European University Institute / Department of Economics 3 National Institute of Economic and Social Research 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Center for Economic Research <Tilburg> 2 Econometric Society 2 Federal Reserve Bank of St. Louis 2 Instituto Valenciano de Investigaciones Económicas 2 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 2 Université de Montréal / Département de sciences économiques 2 Bank of Canada 1 Brown University / Department of Economics 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, University of Waterloo 1 Erasmus Research Institute of Management 1 Federal Reserve Bank of San Francisco 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Henley Business School, University of Reading 1 International Center for Financial Asset Management and Engineering 1 Leibniz-Institut für Agrarentwicklung in Transformationsökonomien 1 London School of Economics and Political Science 1 Nuffield College 1 Robert Schuman Centre for Advanced Studies 1 Rodney L. White Center for Financial Research 1 School of Accounting, Finance and Economics <Perth, Western Australia> 1 School of Economics and Management, University of Aarhus 1 School of Finance and Business Economics <Perth, Western Australia> 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Türkiye Cumhuriyet Merkez Bankası 1 Umeå Universitet / Institutionen för Nationalekonomi 1 Università di Bologna / Dipartimento di Scienze Economiche 1 Universität Bremen / Fachbereich Wirtschaftswissenschaft 1
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Published in...
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Discussion paper / Tinbergen Institute 109 Journal of risk and financial management : JRFM 91 International Journal of Energy Economics and Policy : IJEEP 70 Econometric Institute research papers 69 CREATES research paper 53 International journal of economics and financial issues : IJEFI 52 Cogent economics & finance 51 Working paper 49 CORE discussion papers : DP 36 Financial innovation : FIN 36 Risks : open access journal 36 Working papers 36 CESifo working papers 34 Econometrics : open access journal 31 International Journal of Financial Studies : open access journal 27 Economies : open access journal 26 SFB 649 discussion paper 26 CBN journal of applied statistics 22 Department of Economics working paper series 22 SSE EFI working paper series in economics and finance 21 CORE discussion paper : DP 20 Economics and finance working paper series 20 Cambridge working papers in economics 19 NBER working paper series 19 Quantitative finance and economics 19 Research paper series / Swiss Finance Institute 19 Working paper series 19 CFS working paper series 18 Iranian economic review : journal of University of Tehran 18 Discussion papers of interdisciplinary research project 373 16 IES working paper 14 IWQW discussion paper series 14 Discussion papers / Deutsches Institut für Wirtschaftsforschung 13 IMF working papers 13 NBER Working Paper 13 Swiss Finance Institute Research Paper 13 Borsa Istanbul Review 12 Working paper series / European Central Bank 12 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 11 Working paper / Department of Econometrics and Business Statistics, Monash University 11
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Source
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ECONIS (ZBW) 3,781 RePEc 19 EconStor 5 BASE 2
Showing 1 - 10 of 3,807
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Dynamic impact of foreign exchange trading volume on foreign exchange volatility
Kang, Jong Woo; Cabaero, Carlos - 2025
Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...
Persistent link: https://www.econbiz.de/10015194391
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Predicting cryptocurrency volatility : the power of model clustering
Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015195169
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The shifted GARCH model with affine variance : applications in pricing
Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015197067
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Trading VIX on volatility forecasts : another volatility puzzle?
Degiannakis, Stavros; Delis, Panagiotis; Filis, George; … - 2025
Persistent link: https://www.econbiz.de/10015197247
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Sovereign risk and stock market response to natural disasters in emerging economies
Bermúdez-Cespedes, Juan Pablo; Melo-Velandia, Luis Fernando - 2025
Persistent link: https://www.econbiz.de/10015326234
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Examining impact of inflation and inflation volatility on economic growth : evidence from European Union economies
Pappas, Anastasios; Boukas, Nikolaos - In: Economies : open access journal 13 (2025) 2, pp. 1-18
Examining the economies of the European Union from 2000 to 2023, we have found no strong evidence that the inflation rate has a negative impact on economic growth. In contrast, in line with conventional economic theory, higher interest rates are associated with lower economic growth. The results...
Persistent link: https://www.econbiz.de/10015210370
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Modeling gasoline price volatility
Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9
Persistent link: https://www.econbiz.de/10015210877
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Shocked: Electricity Price Volatility Spillovers in Europe
Cevik, Serhan - 2025
European electricity markets are in the midst of unprecedented changes-caused by Russia's invasion of Ukraine and the rise of renewable sources of energy. Using high-frequency data, this paper investigates volatility spillovers across 24 countries in the European Union (EU) during the period...
Persistent link: https://www.econbiz.de/10015328189
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Oil price shocks and airlines stock return and volatility : a GFEVD analysis
Cai, Yifei; Zhang, Yahua; Zhang, Anming - In: Economics of Transportation : the official journal of … 41 (2025), pp. 1-12
Persistent link: https://www.econbiz.de/10015329608
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Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital
Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23
Persistent link: https://www.econbiz.de/10015327028
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