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Search: subject:"conditional heteroscedasticity"
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ARCH-Modell
11,499
ARCH model
11,498
Volatilität
7,189
Volatility
7,187
Theorie
3,222
Theory
3,221
Estimation
2,915
Schätzung
2,914
Zeitreihenanalyse
2,351
Time series analysis
2,347
Börsenkurs
2,203
Share price
2,203
Capital income
2,197
Kapitaleinkommen
2,197
Prognoseverfahren
2,001
Forecasting model
1,999
Aktienmarkt
1,977
Stock market
1,977
Schätztheorie
1,530
Estimation theory
1,529
Risikomaß
1,129
Risk measure
1,129
Spillover effect
1,118
Spillover-Effekt
1,118
Welt
1,085
World
1,085
Exchange rate
1,064
Wechselkurs
1,064
GARCH
1,002
USA
965
Correlation
960
Korrelation
960
United States
960
Portfolio selection
860
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860
Aktienindex
816
Stock index
816
Risk
805
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798
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725
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1
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McAleer, Michael
224
Chang, Chia-Lin
91
Gupta, Rangan
91
Hafner, Christian M.
67
Bauwens, Luc
66
Engle, Robert F.
61
Teräsvirta, Timo
60
Caporale, Guglielmo Maria
59
Caporin, Massimiliano
57
Ma, Feng
51
Karanasos, Menelaos
50
Francq, Christian
46
Bouri, Elie
45
Rombouts, Jeroen V. K.
45
Herwartz, Helmut
42
Asai, Manabu
41
Bollerslev, Tim
41
Conrad, Christian
41
Laurent, Sébastien
41
Paolella, Marc S.
40
Kang, Sang Hoon
39
Linton, Oliver
39
Rahbek, Anders
39
Zakoïan, Jean-Michel
38
Serletis, Apostolos
36
Kumar, Dilip
33
McMillan, David G.
33
Ardia, David
32
Allen, David E.
31
Degiannakis, Stavros
31
Christoffersen, Peter F.
30
Koopman, Siem Jan
29
Saikkonen, Pentti
29
Spagnolo, Nicola
29
Hansen, Peter Reinhard
28
Lucas, André
28
Lütkepohl, Helmut
28
Mittnik, Stefan
28
Salisu, Afees A.
28
Silvennoinen, Annastiina
28
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National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
16
Ekonomiska forskningsinstitutet <Stockholm>
14
Centre for Analytical Finance <Århus>
10
Econometrisch Instituut <Rotterdam>
8
University of Canterbury / Dept. of Economics and Finance
8
Instituto Valenciano de Investigaciones Económicas
6
Shakai-Keizai-Kenkyūsho <Osaka>
6
European University Institute / Department of Economics
3
Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales)
3
National Institute of Economic and Social Research
3
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
Brown University / Department of Economics
2
Center for Economic Research <Tilburg>
2
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Department of International and European Economic Studies, Athens University of Economics and Business (AUEB)
2
Federal Reserve Bank of St. Louis
2
Gottfried Wilhelm Leibniz Universität Hannover
2
HFDF <2, 1998, Zürich>
2
London School of Economics and Political Science
2
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
2
Queen Mary College / Department of Economics
2
School of Finance and Business Economics <Perth, Western Australia>
2
Springer Fachmedien Wiesbaden
2
Svenska Handelshögskolan <Helsinki>
2
Tilburg University, Center for Economic Research
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
Université de Montréal / Département de sciences économiques
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
William Davidson Institute <Ann Arbor, Mich.>
2
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Bank of Canada
1
Bank of Greece
1
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG)
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft
1
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Energy economics
269
Finance research letters
211
Journal of econometrics
174
Economic modelling
170
Applied economics
164
Journal of empirical finance
140
International review of economics & finance : IREF
139
International review of financial analysis
139
Research in international business and finance
133
The North American journal of economics and finance : a journal of financial economics studies
128
Economics letters
123
Journal of banking & finance
117
Discussion paper / Tinbergen Institute
116
International journal of forecasting
112
Journal of forecasting
111
Journal of international financial markets, institutions & money
105
Applied financial economics
104
Journal of risk and financial management : JRFM
91
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
89
Applied economics letters
84
The European journal of finance
84
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
83
Econometric theory
80
The journal of futures markets
79
Journal of financial econometrics : official journal of the Society for Financial Econometrics
75
Working paper
75
International Journal of Energy Economics and Policy : IJEEP
71
Econometric Institute research papers
69
Computational economics
57
International journal of finance & economics : IJFE
55
Econometric reviews
54
CREATES research paper
53
International journal of economics and financial issues : IJEFI
52
Cogent economics & finance
51
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
51
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
51
Journal of international money and finance
50
Review of quantitative finance and accounting
48
International journal of economics and finance
46
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
44
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Source
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ECONIS (ZBW)
11,513
RePEc
57
EconStor
10
BASE
4
Other ZBW resources
1
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10851
Recent theoretical results for time series models with GARCH errors
Li, Wai Keung
;
Ling, Shiqing
;
McAleer, Michael
- In:
Journal of economic surveys
16
(
2002
)
3
,
pp. 245-269
Persistent link: https://www.econbiz.de/10001686256
Saved in:
10852
Bootstrapping financial time series
Ruiz, Esther
;
Pascual, Lorenzo
- In:
Journal of economic surveys
16
(
2002
)
3
,
pp. 271-300
Persistent link: https://www.econbiz.de/10001686258
Saved in:
10853
GRCH 2.2 : an Ox package for estimating and forecasting various ARCH models
Laurent, Sébastien
;
Peters, Jean-Philippe
- In:
Journal of economic surveys
16
(
2002
)
3
,
pp. 447-485
Persistent link: https://www.econbiz.de/10001686271
Saved in:
10854
Modelling and forecasting volatility at Warsaw stock exchange: application of ARCH-Models
Brzeszczyński, Janusz
- In:
East European transition and EU enlargement : a …
,
(pp. 337-353)
.
2002
Persistent link: https://www.econbiz.de/10001686531
Saved in:
10855
Looking for the pattern of GARCH type models in Polish stock exchange returns : comparison with indices of the EU and the East European stock markets
Fiszeder, Piotr
;
Románski, Jerzy
- In:
East European transition and EU enlargement : a …
,
(pp. 355-369)
.
2002
Persistent link: https://www.econbiz.de/10001686532
Saved in:
10856
Moment stucture of a family of first-order exponential GARCH models
He, Changli
;
Teräsvirta, Timo
;
Malmsten, Hans
- In:
Econometric theory
18
(
2002
)
4
,
pp. 868-885
Persistent link: https://www.econbiz.de/10001687472
Saved in:
10857
Estimation in an additive model when the components are linked parametrically
Carroll, Raymond J.
;
Härdle, Wolfgang
;
Mammen, Enno
- In:
Econometric theory
18
(
2002
)
4
,
pp. 886-912
Persistent link: https://www.econbiz.de/10001687478
Saved in:
10858
Market risk models for intraday data
Giot, Pierre
-
2002
Persistent link: https://www.econbiz.de/10001687727
Saved in:
10859
Backtesting derivative portfolios with filtered historical simulation (FHS)
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
European financial management : the journal of the …
8
(
2002
)
1
,
pp. 31-58
Persistent link: https://www.econbiz.de/10001688408
Saved in:
10860
An outlier robust GARCH model and forecasting volatiltity of exchange rate returns
Park, Beum-jo
- In:
Journal of forecasting
21
(
2002
)
5
,
pp. 381-393
Persistent link: https://www.econbiz.de/10001688513
Saved in:
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