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  • Search: subject:"conditional heteroscedasticity"
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Year of publication
Subject
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ARCH-Modell 11,497 ARCH model 11,496 Volatilität 7,189 Volatility 7,187 Theorie 3,221 Theory 3,220 Estimation 2,914 Schätzung 2,913 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 1,063 Wechselkurs 1,063 GARCH 1,001 USA 965 United States 960 Correlation 959 Korrelation 959 Portfolio selection 860 Portfolio-Management 860 Aktienindex 816 Stock index 816 Risk 805 Risiko 798 Financial market 725
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Online availability
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Free 3,827 Undetermined 3,448 CC license 386
Type of publication
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Article 7,864 Book / Working Paper 3,718 Other 1
Type of publication (narrower categories)
All
Article in journal 7,501 Aufsatz in Zeitschrift 7,501 Graue Literatur 1,828 Non-commercial literature 1,828 Working Paper 1,816 Arbeitspapier 1,813 Aufsatz im Buch 275 Book section 275 Hochschulschrift 131 Thesis 105 Conference paper 46 Konferenzbeitrag 46 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 23 Sammelwerk 23 Aufsatzsammlung 14 Bibliografie enthalten 11 Bibliography included 11 Systematic review 11 Übersichtsarbeit 11 Konferenzschrift 9 Lehrbuch 9 Case study 8 Fallstudie 8 Textbook 8 Article 6 Forschungsbericht 6 Rezension 4 Amtsdruckschrift 2 Conference proceedings 2 Government document 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1 Diskette 1 Elektronischer Datenträger als Beilage 1 Festschrift 1 Floppy disk 1
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Language
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English 11,445 German 44 Undetermined 40 Spanish 23 French 13 Polish 6 Portuguese 4 Czech 2 Bulgarian 1 Hungarian 1 Italian 1 Lithuanian 1 Romanian 1 Russian 1 Swedish 1 Turkish 1 Chinese 1
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Author
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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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Institution
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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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Published in...
All
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 Applied financial economics 104 Journal of international financial markets, institutions & money 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) 11,511 RePEc 57 EconStor 10 BASE 4 Other ZBW resources 1
Showing 11 - 20 of 11,583
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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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Dynamic conditional correlation between green and grey energy ETF markets using cDCC-MGARCH model
Algarhi, Amr Saber - In: Applied economics letters 32 (2025) 6, pp. 835-842
Persistent link: https://www.econbiz.de/10015329872
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Are there other fish in the sea? : exploring the hedge, diversifier and safe-haven features of ESG investments
Pedini, Luca; Severini, Sabrina - In: Studies in economics and finance 42 (2025) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10015199632
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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - 2025
This paper studies the volatility of electricity spot prices in the Nordic market (Sweden, Finland, Denmark, and Norway) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, we provide strong evidence of nonlinear regime...
Persistent link: https://www.econbiz.de/10015358886
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Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models
Gherghina, Ştefan Cristian; Constantinescu, … - 2025
The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia-Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by...
Persistent link: https://www.econbiz.de/10015358888
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Twitter-based market uncertainty and global stock volatility predictability
Ma, Yong; Li, Shuaibing; Zhou, Mingtao - 2025
Persistent link: https://www.econbiz.de/10015337993
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Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions
Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025
Persistent link: https://www.econbiz.de/10015371777
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Market broadening and future volatility : a study of Russell 2000 and S&P 500 equal weight ETFs
Valadkhani, Abbas; O'Mahony, Barry - 2025
Persistent link: https://www.econbiz.de/10015372579
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Improved gradient scaling for score-driven filters with an application to stock market volatility
Blazsek, Szabolcs; Escribano, Álvaro; Ayala, Astrid - 2025
Persistent link: https://www.econbiz.de/10015396160
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