EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"generalized autoregressive conditional heteroskedasticity"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 29 ARCH-Modell 29 Volatility 19 Volatilität 19 Estimation 18 Schätzung 18 Schätztheorie 16 Estimation theory 15 Generalized Autoregressive Conditional Heteroskedasticity 14 Time series analysis 13 Zeitreihenanalyse 13 Capital income 12 Kapitaleinkommen 12 generalized autoregressive conditional heteroskedasticity 9 Wechselkurs 8 Exchange rate 7 GARCH-Prozess 7 Outliers 7 USA 7 United States 7 Aktienindex 6 Aktienmarkt 6 Börsenkurs 6 Oil price 6 Stock index 6 Stock market 6 Theorie 6 Ölpreis 6 Share price 5 Theory 5 Welt 5 Deutschland 4 Dummy variable 4 Exchange rates 4 Extreme value distribution 4 GARCH-t 4 Generalized AutoRegressive Conditional Heteroskedasticity 4 Germany 4 Gold 4 Lagrange Multiplier test 4
more ... less ...
Online availability
All
Free 57 CC license 4
Type of publication
All
Book / Working Paper 33 Article 23 Other 1
Type of publication (narrower categories)
All
Article in journal 20 Aufsatz in Zeitschrift 20 Working Paper 19 Arbeitspapier 14 Graue Literatur 14 Non-commercial literature 14 Hochschulschrift 2 Thesis 2
more ... less ...
Language
All
English 45 Undetermined 11 German 1 Indonesian 1
Author
All
Lucas, André 7 Franses, Philip Hans 5 Koopman, Siem Jan 5 Doornik, Jurgen A. 4 Ooms, Marius 4 Blasques, Francisco 3 Dijk, Dick van 3 Meitz, Mika 3 Saikkonen, Pentti 3 Abaoub, Ezzeddine 2 Akram, Tanweer 2 Belhaj, Fethi 2 Fortin, Ines 2 Giannarakis, Grigoris 2 Gorgi, Paolo 2 Kuzmics, Christoph 2 Lasak, Katarzyna 2 Sariannidis, Nikolaos 2 Schaumburg, Julia 2 van Dijk, Dick 2 Abdlaziz, Rizgar Abdlkarim 1 Abdurehman, Abderezak Ali 1 Adamu, Peter 1 Afsal, E. M. 1 Ahmed, Naeem 1 Algaeed, Abdulaziz Hamad 1 Ataev, Jasur 1 Bass, Alexander 1 Baur, Dirk G. 1 Belasri, Yassine 1 Brik, Hatem 1 Caporale, Guglielmo Maria 1 Chih‐Chiang Wu 1 Chuponov, Sanat 1 Conrad, Christian 1 Datta, Shoumen 1 Dijk, D.J.C. van 1 Drimbetas, Evagelos 1 Ellaia, Rachid 1 Eratalay, M. Hakan 1
more ... less ...
Institution
All
Tinbergen Instituut 3 Department of Economics, Oxford University 2 Tinbergen Institute 2 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 International Food Policy Research Institute (IFPRI) 1 School of Economics, Singapore Management University 1 İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 1
more ... less ...
Published in...
All
International Journal of Energy Economics and Policy : IJEEP 9 International journal of economics and financial issues : IJEFI 7 Tinbergen Institute Discussion Papers 5 Discussion paper / Tinbergen Institute 4 Tinbergen Institute Discussion Paper 4 Borsa Istanbul Review 2 Economics Series Working Papers / Department of Economics, Oxford University 2 Reihe Ökonomie 2 BSP working paper series 1 Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometric reviews 1 IFPRI discussion papers 1 IHS economics series : working paper 1 International Journal of Economics and Financial Issues 1 Journal of Forecasting 1 Journal of economic integration : jei 1 Kieler Arbeitspapiere 1 Koç University-TUSIAD Economic Research Forum Working Papers 1 Tübinger Diskussionsbeitrag 1 Working Paper 1 Working Papers / School of Economics, Singapore Management University 1 Working paper series 1 Working papers / Rutgers University, Department of Economics 1 Working papers / The Levy Economics Institute 1
more ... less ...
Source
All
ECONIS (ZBW) 36 RePEc 14 EconStor 5 BASE 2
Showing 1 - 10 of 57
Cover Image
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:
Cover Image
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:
Cover Image
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 … conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the …
Persistent link: https://www.econbiz.de/10014635386
Saved in:
Cover Image
Euro interest rate swap yields: A GARCH analysis Tanweer Akram (Citibank) and Khawaja Mamun (Sacred Heart University (SHU))
Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023
a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014474478
Saved in:
Cover Image
Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja - 2023
a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014438498
Saved in:
Cover Image
Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2022
Persistent link: https://www.econbiz.de/10013399810
Saved in:
Cover Image
Balance sheet approach to forecasting currency in circulation
Glova, Adrian Matthew G.; Hernandez, Roy R. - 2022
Persistent link: https://www.econbiz.de/10014318687
Saved in:
Cover Image
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
Saved in:
Cover Image
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...
Persistent link: https://www.econbiz.de/10012606022
Saved in:
Cover Image
Predicting stock return and volatility with machine learning and econometric models: a comparative case study of the Baltic stock market
Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - 2021
Persistent link: https://www.econbiz.de/10012694117
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...