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  • Search: subject:"conditional heteroskedasticity models"
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Year of publication
Subject
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ARCH model 6 ARCH-Modell 6 Time series analysis 4 Volatility 4 Volatilität 4 Zeitreihenanalyse 4 Estimation theory 3 Schätztheorie 3 Statistical distribution 2 Statistische Verteilung 2 Theorie 2 Theory 2 (Generalized) Autoregressive conditional heteroskedasticity models 1 (Generalized) Random coefficient autoregressive models 1 Autocorrelation 1 Autokorrelation 1 Autoregressive panel data models 1 BHK Models 1 Börsenkurs 1 CKLS Models 1 Capital income 1 Capital market returns 1 Clean Energy 1 Component generalized autoregressive conditional heteroskedasticity models 1 Conditional Heteroskedasticity Models 1 Country risk 1 Credit derivative 1 Credit risk 1 Crisis 1 Energiemarkt 1 Energy market 1 Estimation 1 Exchange rate 1 Forecasting model 1 GED distribution 1 Generalized AutoRegressive Conditional Heteroskedasticity models 1 Generalized Autoregressive Conditional Heteroskedasticity Models 1 Hybrid Generalized Autoregressive Conditional Heteroskedasticity-Long Short-Term Memory Framework 1 Kapitaleinkommen 1 Kapitalmarktrendite 1
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Online availability
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Free 5 CC license 2 Undetermined 1
Type of publication
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Article 7 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6
Language
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English 6 Undetermined 2
Author
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Brik, Hatem 1 Cayton, Peter Julian 1 Chandra, S. 1 Charef, Fahima 1 Gamboa-Estrada, Fredy 1 Hassan, Andrés Ramírez 1 Heuvel, Edwin R. van den 1 Mapa, Dennis 1 Ouakdi, Jihene El 1 Ramírez, Juan Carlos Botero 1 Regis, Marta 1 Rodriguez, Gabriel 1 Romero, José Vicente 1 Serra, Paulo 1 Taniguchi, Masanobu 1
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Institution
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UNIVERSIDAD EAFIT 1
Published in...
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Academic journal of economic studies 1 Annals of the Institute of Statistical Mathematics 1 Borsa Istanbul Review 1 DOCUMENTOS DE TRABAJO CIEF 1 Econometric reviews 1 International Journal of Energy Economics and Policy : IJEEP 1 Revista de análisis económico 1 The Philippine review of economics : a joint publication of the University of the Philippines, School of Economics and the Philippine Economic Society 1
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Source
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ECONIS (ZBW) 6 RePEc 2
Showing 1 - 8 of 8
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Interplay of volatility and geopolitical tensions in clean energy markets : a comprehensive GARC-ISTM forecasting approach
Brik, Hatem; Ouakdi, Jihene El - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 4, pp. 92-107
Persistent link: https://www.econbiz.de/10014634872
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Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786
Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures,...
Persistent link: https://www.econbiz.de/10014635386
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Random autoregressive models : a structured overview
Regis, Marta; Serra, Paulo; Heuvel, Edwin R. van den - In: Econometric reviews 41 (2022) 2, pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
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Modeling the volatility of exchange rates: GARCH Models
Charef, Fahima - In: Academic journal of economic studies 3 (2017) 1, pp. 39-47
Persistent link: https://www.econbiz.de/10011603508
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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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Time-varying conditional Johnson Su density in Value-at-Risk methodology
Cayton, Peter Julian; Mapa, Dennis - In: The Philippine review of economics : a joint … 52 (2015) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10011416114
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La volatilidad de la tasa de interés a corto plazo: Un ejercicio para la economía Colombiana, 2001-2006
Ramírez, Juan Carlos Botero; Hassan, Andrés Ramírez - UNIVERSIDAD EAFIT - 2008
Resumen:Este artículo analiza diversas metodologías para la modelación de la volatilidad de la tasa de interés a corto plazo. Específicamente se analizarán los resultados que se obtienen a través de la especificación CKLS, Heterocedasticidad Condicionada y Mixta. Los hechos estilizados...
Persistent link: https://www.econbiz.de/10010762834
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Estimating Functions for Nonlinear Time Series Models
Chandra, S.; Taniguchi, Masanobu - In: Annals of the Institute of Statistical Mathematics 53 (2001) 1, pp. 125-141
Persistent link: https://www.econbiz.de/10005616436
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