//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
isPartOf:"CREATES research paper"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"ARCH-Modell"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
ARCH model
43
ARCH-Modell
43
Time series analysis
19
Zeitreihenanalyse
19
Volatility
18
Volatilität
18
Estimation theory
12
Schätztheorie
12
Theorie
10
Theory
10
Estimation
8
Option pricing theory
8
Optionspreistheorie
8
Schätzung
8
Correlation
6
Korrelation
6
Modellierung
6
Scientific modelling
6
Capital income
5
Kapitaleinkommen
5
Börsenkurs
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Multivariate Analyse
4
Multivariate analysis
4
Share price
4
Stochastic process
4
Stochastischer Prozess
4
Autocorrelation
3
Autokorrelation
3
Heteroscedasticity
3
Heteroskedastizität
3
Markov chain
3
Markov-Kette
3
Risikoprämie
3
Risk premium
3
Statistical test
3
Statistischer Test
3
USA
3
United States
3
more ...
less ...
Online availability
All
Free
43
Type of publication
All
Book / Working Paper
43
Type of publication (narrower categories)
All
Arbeitspapier
43
Graue Literatur
43
Non-commercial literature
43
Working Paper
43
Language
All
English
43
Author
All
Teräsvirta, Timo
9
Rahbek, Anders
5
Silvennoinen, Annastiina
5
Christoffersen, Peter F.
4
Hansen, Peter Reinhard
4
Amado, Cristina
3
Rombouts, Jeroen V. K.
3
Stentoft, Lars
3
Violante, Francesco
3
Cavaliere, Giuseppe
2
Grassi, Stefano
2
Jacobs, Kris
2
Kristensen, Dennis
2
Lange, Theis
2
Lunde, Asger
2
Nielsen, Morten Ørregaard
2
Pedersen, Rasmus Søndergaard
2
Agosto, Arianna
1
Andersen, Torben
1
Andreasen, Martin Møller
1
Archakov, Ilya
1
Babaoğlu, Kadir
1
Bauwens, Luc
1
Bohn Nielsen, Heino
1
Catani, Paul
1
Dahl, Christian M.
1
Demetrescu, Matei
1
Dias, Gustavo Fruet
1
Dufays, Arnaud
1
Dziubinski, Matt
1
Feunou, Bruno
1
Fokianos, Konstantinos
1
Hafner, Christian M.
1
Hall, Anthony D.
1
Han, Heejoon
1
Heston, Steven L.
1
Horel, Guillaume
1
Huang, Zhuo
1
Huang, Zhuowei
1
Iglesias, Emma M.
1
more ...
less ...
Published in...
All
CREATES research paper
Energy economics
253
Finance research letters
169
Applied economics
159
Economic modelling
155
Journal of econometrics
147
International review of financial analysis
136
Journal of empirical finance
132
Research in international business and finance
125
The North American journal of economics and finance : a journal of financial economics studies
123
International review of economics & finance : IREF
113
Journal of banking & finance
113
Economics letters
109
Journal of international financial markets, institutions & money
107
Applied financial economics
101
Discussion paper / Tinbergen Institute
98
International journal of forecasting
93
Journal of risk and financial management : JRFM
88
Journal of forecasting
85
Applied economics letters
77
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
76
Econometric theory
73
The European journal of finance
70
The journal of futures markets
70
Econometric Institute research papers
69
Working paper
68
Journal of financial econometrics : official journal of the Society for Financial Econometrics
65
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
International Journal of Energy Economics and Policy : IJEEP
61
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
International journal of economics and financial issues : IJEFI
49
Econometric reviews
46
International journal of finance & economics : IJFE
46
Journal of international money and finance
46
International journal of economics and finance
45
Review of quantitative finance and accounting
44
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
40
The econometrics journal
40
more ...
less ...
Source
All
ECONIS (ZBW)
43
Showing
1
-
43
of
43
Sort
Relevance
Date (newest first)
Date (oldest first)
1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
7
Time-varying periodicity in intraday volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
8
Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2018
Persistent link: https://www.econbiz.de/10011864902
Saved in:
9
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
10
Volatility discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
11
Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
12
A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
13
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2015
Persistent link: https://www.econbiz.de/10010464687
Saved in:
14
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
Saved in:
15
Understanding volatility dynamics in the EU-ETS market
Sanin, María Eugenia
;
Violante, Francesco
; …
-
2015
Persistent link: https://www.econbiz.de/10011516991
Saved in:
16
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
-
2015
Persistent link: https://www.econbiz.de/10011516993
Saved in:
17
Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
-
2015
Persistent link: https://www.econbiz.de/10011516997
Saved in:
18
Which pricing approach for options under GARCH with non-normal innovations?
Simonato, Jean-Guy
;
Stentoft, Lars
-
2015
Persistent link: https://www.econbiz.de/10011327731
Saved in:
19
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
20
It’s all about volatility (of volatility) : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2013
Persistent link: https://www.econbiz.de/10009712566
Saved in:
21
Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782698
Saved in:
22
The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela
;
Schotman, Peter C.
-
2012
Persistent link: https://www.econbiz.de/10009576958
Saved in:
23
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
Saved in:
24
Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
-
2012
Persistent link: https://www.econbiz.de/10009660759
Saved in:
25
Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2012
Persistent link: https://www.econbiz.de/10009667363
Saved in:
26
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2012
Persistent link: https://www.econbiz.de/10009667377
Saved in:
27
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
Han, Heejoon
;
Kristensen, Dennis
-
2012
Persistent link: https://www.econbiz.de/10009537600
Saved in:
28
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
Saved in:
29
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
Saved in:
30
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009382620
Saved in:
31
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779686
Saved in:
32
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779696
Saved in:
33
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
Saved in:
34
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
35
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2010
Persistent link: https://www.econbiz.de/10003963064
Saved in:
36
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2010
Persistent link: https://www.econbiz.de/10008746092
Saved in:
37
How Non-Gaussian shocks affect risk premia in non-linear DSGE models
Andreasen, Martin Møller
-
2010
Persistent link: https://www.econbiz.de/10008659421
Saved in:
38
Option valuation with conditional heteroskedasticity and non-normality
Christoffersen, Peter F.
(
contributor
)
-
2009
Persistent link: https://www.econbiz.de/10003865667
Saved in:
39
First and second order non-linear cointegration models
Lange, Theis
-
2009
Persistent link: https://www.econbiz.de/10003849457
Saved in:
40
On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders
;
Lange, Theis
-
2009
Persistent link: https://www.econbiz.de/10003849498
Saved in:
41
Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2009
Persistent link: https://www.econbiz.de/10003849502
Saved in:
42
Poisson autoregression
Fokianos, Konstantinos
;
Rahbek, Anders
;
Tjøstheim, Dag
-
2009
Persistent link: https://www.econbiz.de/10003849524
Saved in:
43
Modelling the volatility-return trade-off when volatility may be nonstationary
Dahl, Christian M.
;
Iglesias, Emma M.
-
2009
Persistent link: https://www.econbiz.de/10003911875
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->