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Search: subject:"generalized autoregressive"
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ARCH-Modell
11,694
ARCH model
11,693
Volatilität
7,368
Volatility
7,361
Theorie
3,317
Theory
3,314
Estimation
2,993
Schätzung
2,992
Zeitreihenanalyse
2,442
Time series analysis
2,437
Börsenkurs
2,258
Share price
2,257
Capital income
2,247
Kapitaleinkommen
2,247
Prognoseverfahren
2,087
Forecasting model
2,085
Aktienmarkt
2,021
Stock market
2,020
Schätztheorie
1,571
Estimation theory
1,570
Risikomaß
1,158
Risk measure
1,158
Spillover effect
1,151
Spillover-Effekt
1,151
Welt
1,116
World
1,115
Wechselkurs
1,085
Exchange rate
1,084
GARCH
1,030
Correlation
987
Korrelation
987
USA
979
United States
974
Portfolio selection
893
Portfolio-Management
893
Risk
834
Aktienindex
833
Stock index
833
Risiko
828
Financial market
747
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Free
3,971
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3,567
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419
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8,062
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3,789
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3
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Article in journal
7,708
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1,874
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1,864
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1,864
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1,851
Aufsatz im Buch
281
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281
Hochschulschrift
147
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118
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47
Konferenzbeitrag
47
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35
Sammlung
35
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23
Sammelwerk
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Aufsatzsammlung
14
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14
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14
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12
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10
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10
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9
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6
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4
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English
11,717
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53
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32
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22
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13
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6
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4
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2
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1
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1
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Author
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McAleer, Michael
224
Gupta, Rangan
101
Chang, Chia-Lin
91
Bauwens, Luc
67
Hafner, Christian M.
67
Engle, Robert F.
62
Caporale, Guglielmo Maria
60
Teräsvirta, Timo
60
Caporin, Massimiliano
58
Lucas, André
56
Koopman, Siem Jan
52
Ma, Feng
52
Karanasos, Menelaos
51
Bouri, Elie
50
Francq, Christian
46
Rombouts, Jeroen V. K.
45
Herwartz, Helmut
43
Conrad, Christian
42
Laurent, Sébastien
42
Asai, Manabu
41
Kang, Sang Hoon
41
Bollerslev, Tim
40
Paolella, Marc S.
40
Linton, Oliver
39
Rahbek, Anders
39
Blasques, Francisco
38
Zakoïan, Jean-Michel
38
Blazsek, Szabolcs
37
McMillan, David G.
35
Serletis, Apostolos
35
Degiannakis, Stavros
34
Kumar, Dilip
34
Ardia, David
32
Saikkonen, Pentti
32
Allen, David E.
31
Christoffersen, Peter F.
30
Mittnik, Stefan
29
Salisu, Afees A.
29
Spagnolo, Nicola
29
Hansen, Peter Reinhard
28
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National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
16
Ekonomiska forskningsinstitutet <Stockholm>
14
Tinbergen Instituut
12
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
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
Department of Economics, Oxford University
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
Tinbergen Institute
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
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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
Deakin University
1
Edward Elgar Publishing
1
Erasmus Research Institute of Management
1
Erasmus University Rotterdam, Econometric Institute
1
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Published in...
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Energy economics
275
Finance research letters
218
Journal of econometrics
176
Applied economics
174
Economic modelling
172
International review of economics & finance : IREF
147
Journal of empirical finance
143
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
129
Discussion paper / Tinbergen Institute
128
Economics letters
128
International journal of forecasting
124
Journal of forecasting
123
Journal of banking & finance
117
Journal of international financial markets, institutions & money
105
Applied financial economics
103
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
94
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
93
Journal of risk and financial management : JRFM
91
The journal of futures markets
89
Applied economics letters
87
The European journal of finance
85
Econometric theory
82
Working paper
82
International Journal of Energy Economics and Policy : IJEEP
79
Journal of financial econometrics : official journal of the Society for Financial Econometrics
76
Econometric Institute research papers
69
International journal of finance & economics : IJFE
60
Computational economics
58
Econometric reviews
55
International journal of economics and financial issues : IJEFI
55
CREATES research paper
53
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Journal of international money and finance
52
Cogent economics & finance
51
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
51
Quantitative finance
48
Review of quantitative finance and accounting
48
International journal of economics and finance
46
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Source
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ECONIS (ZBW)
11,787
RePEc
34
EconStor
28
BASE
5
Showing
1
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11,854
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1
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
Saved in:
2
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
Saved in:
3
Forecasting gasoline market volatility using non-linear time series models
Kalaitzi, Athanasia Stylianou
;
Kalaitzi, Evgenia Stylianou
- In:
International Journal of Energy Economics and Policy : IJEEP
15
(
2025
)
4
,
pp. 139-151
Persistent link: https://www.econbiz.de/10015448658
Saved in:
4
Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges
;
Neuenkirch, Matthias
; …
- In:
Journal of applied econometrics
40
(
2025
)
4
,
pp. 455-470
Persistent link: https://www.econbiz.de/10015463303
Saved in:
5
Evaluating the effects of the monetary policy on the total stock market index in the Iranian economy : using the TVP-VAR and GARCH approaches
Zarei, Zhale
;
Hemmati, Maryam
;
Davoudi, Pedram
- In:
Iranian economic review : journal of University of Tehran
28
(
2024
)
3
,
pp. 899-920
Persistent link: https://www.econbiz.de/10015402933
Saved in:
6
Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrián
- In:
Macroeconomic dynamics
28
(
2024
)
1
,
pp. 32-50
Persistent link: https://www.econbiz.de/10014465380
Saved in:
7
The volatility spillover of global oil price uncertainty
Pícha, Kamil
;
Tichá, Lucie
;
Chuponov, Sanat
;
Ataev, Jasur
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
3
,
pp. 619-624
Persistent link: https://www.econbiz.de/10014533486
Saved in:
8
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
(SCDS) in Latin America at different tenures, focusing on their volatility. Using a component
generalized
autoregressive
…
Persistent link: https://www.econbiz.de/10014635386
Saved in:
9
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
10
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
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