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  • Search: subject:"generalised autoregressive conditional heteroskedasticity"
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Year of publication
Subject
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Generalised autoregressive conditional heteroskedasticity model 13 Volatility 13 generalised autoregressive conditional heteroskedasticity 12 ARCH-Modell 11 ARCH model 10 Volatilität 9 Autoregressive fractionally integrated moving average model 8 Long memory process 8 Periodic autoregressive model 8 Time series analysis 7 Zeitreihenanalyse 7 Estimation 5 Estimation theory 5 Long memory model 5 Realised volatility 5 Schätztheorie 5 Schätzung 5 Stochastic volatility model 5 Superior predictive ability 5 Unobserved components 5 ARMA-Modell 4 GARCH 4 GARCH models 4 Strompreis 4 ARCH-in mean model 3 ARMA model 3 Aktienindex 3 Aktienmarkt 3 Australia 3 Australian economy 3 Autoregressive Conditional Heteros-in mean model 3 EGARCH 3 GARCH model 3 Generalised Autoregressive Conditional Heteroskedasticity 3 Stock market 3 export prices 3 growth rate 3 neural networks 3 ANNs 2 ARIMA models 2
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Online availability
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Free 16 Undetermined 9 CC license 2
Type of publication
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Article 19 Book / Working Paper 13
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Working Paper 6 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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Undetermined 19 English 13
Author
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Koopman, Siem Jan 13 Carnero, M. Angeles 8 Ooms, Marius 8 Jungbacker, Borus 5 Hol, Eugenie 4 Karunaratne, Neil D. 3 Layton, Allan P. 3 Valadkhani, Abbas 3 Al-Zeaud, Hussein Ali 2 Bhuruth, Muddun 2 Binner, Jane M. 2 Bissoondeeal, Rakesh K. 2 Gazely, Alicia 2 Mootanah, Veemadevi P. 2 Abdalla, Abdelgader M.A. 1 Abrishami, Hamid 1 Ahmed, Wajid Shakeel 1 Ahrari, Mehdi 1 Akram, Tanweer 1 Al-Khouri, Ritab S. 1 Asteriou, Dimitrios 1 Azar, Samih Antoine 1 Bachaya, Allah 1 Begiazi, Kyriaki 1 Boonyasana, Kwanruetai 1 Chotia, Varun 1 Hol Uspensky, Eugenie 1 Kondakis, Nick 1 Latha, Challa Madhavi 1 Malepati, Venkataramanaiah 1 Mamun, Khawaja 1 Mathur, Shreya 1 Mehmood, Ahsan 1 Mehrara, Mohsen 1 Rao, K. Siva Nageswara 1 Rao, N. V. Muralidhar 1 Roumpis, Efthimios 1 SEKANTSI, Lira 1 Sheikh, Talha 1 Thomaidis, Nikos S. 1
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Institution
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Tinbergen Institute 3 Tinbergen Instituut 3 Society for Computational Economics - SCE 1
Published in...
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Tinbergen Institute Discussion Papers 6 Global Business and Economics Review 5 Discussion paper / Tinbergen Institute 3 Tinbergen Institute Discussion Paper 3 International Journal of Economics and Business Research 2 American Journal of Finance and Accounting 1 American journal of finance and accounting 1 Asia-Pacific journal of management research and innovation : APJMRI 1 Asian Academy of Management journal 1 Computing in Economics and Finance 2004 1 International Journal of Accounting and Finance 1 International Journal of Financial Markets and Derivatives 1 International journal of banking, accounting and finance 1 International journal of comparative management 1 International journal of economic policy in emerging economies 1 International journal of empirical economics 1 Review of Economic and Business Studies 1
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Source
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RePEc 18 ECONIS (ZBW) 10 EconStor 3 BASE 1
Showing 31 - 32 of 32
Cover Image
Sources of volatility in Australia's export prices: evidence from ARCH and GARCH modelling
Valadkhani, Abbas; Layton, Allan P.; Karunaratne, Neil D. - In: Global Business and Economics Review 7 (2005) 4, pp. 295-310
Australia has one of the more volatile set of export prices among OECD countries. This paper examines the extent to which Australia's export prices relate to the world prices, using quarterly time-series data spanning, the period 1969q4–2002q3. The empirical results based on dynamic least...
Persistent link: https://www.econbiz.de/10008538970
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Cover Image
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements
Hol, Eugenie; Koopman, Siem Jan; Jungbacker, Borus - Society for Computational Economics - SCE - 2004
of stochastic volatility models and generalised autoregressive conditional heteroskedasticity models for daily return …
Persistent link: https://www.econbiz.de/10005537649
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