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Search: subject:"conditional heteroscedasticity"
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ARCH-Modell
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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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ECONIS (ZBW)
11,513
RePEc
57
EconStor
10
BASE
4
Other ZBW resources
1
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11501
Adaptive testing in ARCH models
Linton, Oliver
;
Steigerwald, Douglas G.
-
1995
Persistent link: https://www.econbiz.de/10000585298
Saved in:
11502
Sign- and volatility-switching ARCH models : theory and applications to international stock markets
Fornari, Fabio
-
1995
Persistent link: https://www.econbiz.de/10013452468
Saved in:
11503
Non-linear dependence and
conditional
heteroscedasticity
in stock returns evidence from the norwegian thinly traded equity market
Solibakke, P. B.
- In:
The European Journal of Finance
11
(
2005
)
2
,
pp. 111-136
seems to be
conditional
heteroscedasticity
. However, the most thinly traded assets still report significant non …
Persistent link: https://www.econbiz.de/10005438039
Saved in:
11504
Is there a diversification benefit from investing in the Arab Gulf stock markets? A multivariate GARCH analysis
Maghyereh, Aktham
;
Al-Zoubi, Haitham
;
Abderraheem, Sadeq
- In:
Global Business and Economics Review
7
(
2005
)
4
,
pp. 324-342
. We find that
conditional
heteroscedasticity
is present in all these markets and also that conditional volatility responds …
Persistent link: https://www.econbiz.de/10005747316
Saved in:
11505
Is there a diversification benefit from investing in the Arab Gulf stock markets? A multivariate GARCH analysis
Maghyereh, Aktham
;
Al-Zoubi, Haitham
;
Abderraheem, Sadeq
- In:
Global Business and Economics Review
7
(
2005
)
4
,
pp. 324-342
. We find that
conditional
heteroscedasticity
is present in all these markets and also that conditional volatility responds …
Persistent link: https://www.econbiz.de/10005753922
Saved in:
11506
Is there a diversification benefit from investing in the Arab Gulf stock markets? A multivariate GARCH analysis
Maghyereh, Aktham
;
Al-Zoubi, Haitham
;
Abderraheem, Sadeq
- In:
Global Business and Economics Review
7
(
2005
)
4
,
pp. 324-342
. We find that
conditional
heteroscedasticity
is present in all these markets and also that conditional volatility responds …
Persistent link: https://www.econbiz.de/10008538966
Saved in:
11507
Fitting the moments : a comparison of ARCH and regime switching models for daily stock returns
Sola, Martin
;
Timmermann, Allan
-
1994
Persistent link: https://www.econbiz.de/10000914034
Saved in:
11508
Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai
-
1994
Persistent link: https://www.econbiz.de/10000896902
Saved in:
11509
Modelling volatility in the foreign exchange market with ARCH processes
Fell, John P. C.
-
1994
Persistent link: https://www.econbiz.de/10000898898
Saved in:
11510
A note on the normalized errors in ARCH and stochastic volatility models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000899491
Saved in:
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