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Search: subject_exact:"ARCH-Modell"
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ARCH-Modell
10,560
ARCH model
10,357
Volatilität
6,420
Volatility
6,353
Schätzung
2,981
Estimation
2,929
Theorie
2,693
Theory
2,616
Kapitaleinkommen
2,288
Capital income
2,279
Börsenkurs
2,268
Share price
2,235
Aktienmarkt
2,024
Stock market
2,011
Zeitreihenanalyse
1,825
Prognoseverfahren
1,807
Time series analysis
1,786
Forecasting model
1,779
Spillover-Effekt
1,069
Spillover effect
1,064
Schätztheorie
1,060
Estimation theory
1,051
Risikomaß
1,027
Risk measure
1,022
GARCH
987
USA
963
Wechselkurs
943
Exchange rate
929
United States
925
Welt
880
World
872
Korrelation
819
Correlation
811
Ölpreis
731
Oil price
728
Portfolio-Management
686
Portfolio selection
683
Aktienindex
638
Stock index
624
Finanzmarkt
586
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3,418
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Article
7,115
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3,463
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6,846
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6,846
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1,873
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1,695
Non-commercial literature
1,695
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1,683
Aufsatz im Buch
255
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255
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136
Thesis
104
Conference paper
39
Konferenzbeitrag
39
Collection of articles written by one author
36
Sammlung
36
Collection of articles of several authors
26
Sammelwerk
26
Aufsatzsammlung
15
Bibliografie enthalten
13
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13
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11
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11
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9
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8
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8
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8
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7
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6
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6
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6
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3
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3
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2
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Government document
2
Mehrbändiges Werk
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10,470
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54
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23
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13
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6
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4
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2
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2
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1
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1
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1
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1
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McAleer, Michael
213
Chang, Chia-Lin
83
Gupta, Rangan
77
Ma, Feng
65
Hafner, Christian M.
64
Bauwens, Luc
62
Teräsvirta, Timo
62
Engle, Robert F.
60
Caporale, Guglielmo Maria
57
Caporin, Massimiliano
52
Conrad, Christian
50
Karanasos, Menelaos
48
Bouri, Elie
44
Herwartz, Helmut
43
Francq, Christian
42
Laurent, Sébastien
40
Rombouts, Jeroen V. K.
39
Paolella, Marc S.
37
Zakoïan, Jean-Michel
37
Asai, Manabu
34
Bollerslev, Tim
33
Zhang, Yaojie
33
Ardia, David
32
Kumar, Dilip
32
McMillan, David G.
32
Saikkonen, Pentti
32
Serletis, Apostolos
32
Mittnik, Stefan
31
Linton, Oliver
29
Rahbek, Anders
29
Silvennoinen, Annastiina
29
Christoffersen, Peter F.
28
Allen, David E.
27
Hansen, Peter Reinhard
27
Huang, Zhuo
27
Kang, Sang Hoon
27
Koopman, Siem Jan
27
Degiannakis, Stavros
26
Hammoudeh, Shawkat
26
Tiwari, Aviral Kumar
26
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All
National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Ekonomiska forskningsinstitutet <Stockholm>
15
Centre for Analytical Finance <Århus>
10
University of Canterbury / Dept. of Economics and Finance
8
Econometrisch Instituut <Rotterdam>
7
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
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
Federal Reserve Bank of St. Louis
2
Gottfried Wilhelm Leibniz Universität Hannover
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
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
Université de Montréal / Département de sciences économiques
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
Canada / Mines Branch (1950- )
1
Centre for Quantitative Economics & Computing
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Deakin University
1
Deutschland / Bundesministerium für Wirtschaft
1
Deutschland <Bundesrepublik> / Auswärtiges Amt
1
Deutschland <Bundesrepublik> / Bundesminister der Finanzen
1
Deutschland <Bundesrepublik> / Bundesminister für den Marshallplan
1
Erasmus Research Institute of Management
1
Fachhochschule Stralsund / Fachbereich Wirtschaft
1
Federal Reserve Bank of San Francisco
1
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Published in...
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Energy economics
267
Finance research letters
205
Applied economics
164
Economic modelling
155
Journal of econometrics
147
International review of financial analysis
144
Journal of empirical finance
134
Research in international business and finance
131
International review of economics & finance : IREF
125
The North American journal of economics and finance : a journal of financial economics studies
123
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
96
Journal of risk and financial management : JRFM
88
Journal of forecasting
87
Applied economics letters
79
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
76
The European journal of finance
76
The journal of futures markets
74
Econometric theory
73
Econometric Institute research papers
69
Working paper
69
International Journal of Energy Economics and Policy : IJEEP
65
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
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 finance & economics : IJFE
52
International journal of economics and financial issues : IJEFI
50
Econometric reviews
47
Journal of international money and finance
46
International journal of economics and finance
45
Review of quantitative finance and accounting
44
CREATES research paper
43
Computational economics
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
42
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Source
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ECONIS (ZBW)
10,364
EconStor
199
USB Cologne (EcoSocSci)
9
OLC EcoSci
4
ArchiDok
2
Showing
8,451
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8451
Transaction costs and price volatility : new evidence from the Tokyo stock exchange
Liu, Shinhua
;
Zhu, Zhen
- In:
Journal of financial services research : JFSR
36
(
2009
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10003870093
Saved in:
8452
Volatility spill-overs in commodity spot prices : new empirical results
Dahl, Christian M.
;
Iglesias, Emma M.
- In:
Economic modelling
26
(
2009
)
3
,
pp. 601-607
Persistent link: https://www.econbiz.de/10003870631
Saved in:
8453
Extreme value GARCH modelling with Bayesian inference
Zhao, Xin
;
Oxley, Les
;
Scarrott, Carl
;
Reale, Marco
-
2009
Persistent link: https://www.econbiz.de/10003871114
Saved in:
8454
Variation in stock return risks : an international comparison
Chiou, Wan-jiun Paul
;
Lee, Alice C.
;
Lee, Cheng F.
- In:
Review of Pacific Basin financial markets and policies
12
(
2009
)
2
,
pp. 245-266
Persistent link: https://www.econbiz.de/10003871586
Saved in:
8455
On the relationship between stock prices and exchange rates for India
Narayan, Paresh Kumar
- In:
Review of Pacific Basin financial markets and policies
12
(
2009
)
2
,
pp. 289-308
Persistent link: https://www.econbiz.de/10003871588
Saved in:
8456
A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-Wong
;
Chung, Sang-kuck
- In:
Seoul journal of economics
22
(
2009
)
3
,
pp. 289-310
Persistent link: https://www.econbiz.de/10003899891
Saved in:
8457
Corporate governance and volatility in the capital markets : Brazil case study
Rogers, Pablo
;
Securato, José Roberto
- In:
Corporate ownership & control : international …
7
(
2009/10
)
1
,
pp. 40-51
Persistent link: https://www.econbiz.de/10003900228
Saved in:
8458
A copula-based regime-switching GARCH model for optimal futures hedging
Lee, Hsiang-tai
- In:
The journal of futures markets
29
(
2009
)
10
,
pp. 946-972
Persistent link: https://www.econbiz.de/10003900947
Saved in:
8459
Liquidity and hedging effectiveness under futures mispricing : international evidence
Andani, A.
;
Lafuente, J. A.
;
Novales, Alfonso
- In:
The journal of futures markets
29
(
2009
)
11
,
pp. 1050-1066
Persistent link: https://www.econbiz.de/10003900969
Saved in:
8460
Conditional quantile estimation for GARCH models
Xiao, Zhijie
;
Koenker, Roger
-
2009
Persistent link: https://www.econbiz.de/10003901820
Saved in:
8461
Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
Pantelidis, Theologos
;
Pittis, Nikitas
- In:
Journal of forecasting
28
(
2009
)
7
,
pp. 612-630
Persistent link: https://www.econbiz.de/10003902230
Saved in:
8462
Volatility in exchange rate components and the volume of international trade
Tadesse, Bedassa
- In:
The International trade journal
23
(
2009
)
2
,
pp. 110-141
Persistent link: https://www.econbiz.de/10003907001
Saved in:
8463
A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano
;
Dalessandro, Antonio
;
Neugebauer, Matthias
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
4
,
pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
Saved in:
8464
Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 373-411
Persistent link: https://www.econbiz.de/10003907524
Saved in:
8465
A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
Saved in:
8466
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
8467
The value premium and time-varying volatility
Li, Xiafei
;
Brooks, Chris
;
Miffre, Joëlle
- In:
Journal of business finance & accounting : JBFA
36
(
2009
)
9/10
,
pp. 1252-1272
Persistent link: https://www.econbiz.de/10003909854
Saved in:
8468
The effects of inflation uncertainty : some international evidence
Rahman, Sajjadur
;
Serletis, Apostolos
- In:
Journal of economic studies
36
(
2009
)
5/6
,
pp. 541-550
Persistent link: https://www.econbiz.de/10003915975
Saved in:
8469
Re-examination of volatility dynamics in Istanbul Stock Exchange
Tokat, Hakki Arda
- In:
Investment management and financial innovations
6
(
2009
)
1
,
pp. 192-198
Persistent link: https://www.econbiz.de/10003917897
Saved in:
8470
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.
;
So, Mike Ka-pui
;
Lin, Edward M. H.
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Saved in:
8471
The power of weather
Huurman, Christian
;
Ravazzolo, Francesco
;
Chen Zhou
-
2009
Persistent link: https://www.econbiz.de/10003920018
Saved in:
8472
Sequential conditional correlations : inference and evaluation
Palandri, Alessandro
- In:
Journal of econometrics
153
(
2009
)
2
,
pp. 122-132
Persistent link: https://www.econbiz.de/10003920281
Saved in:
8473
Assessment of the exchange rate convergence in euro-candidate countries
Stavárek, Daniel
- In:
Amfiteatru economic : an economic and business research …
11
(
2009
)
25
,
pp. 159-180
Persistent link: https://www.econbiz.de/10008665263
Saved in:
8474
Modelación del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH
Rivera Palacio, David Mauricio
- In:
Revista de economía del Rosario
12
(
2009
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10003930167
Saved in:
8475
Forecasting performance of asymmetric GARCH stock market volatility models
Lee, Ho Jin
- In:
Dae oe gyeong je yeon gu
13
(
2009
)
2
,
pp. 109-143
Persistent link: https://www.econbiz.de/10003930495
Saved in:
8476
Return and volatility linkages in Indian equity market : evidence from ARCH and GARCH model
Padhan, Purna Chandra
- In:
The Indian journal of economics
89
(
2009
)
3
,
pp. 445-463
Persistent link: https://www.econbiz.de/10003931608
Saved in:
8477
On the multivariate EGARCH model
Jane, Ten-Der
;
Ding, Cherng G.
- In:
Applied economics letters
16
(
2009
)
16/18
,
pp. 1757-1761
Persistent link: https://www.econbiz.de/10003932399
Saved in:
8478
An empirical analysis of the US dollar, yen and eurodollar exchange shock mean and volatility spillover to domestic and China stock markets
Wei, Ching Chun
- In:
International journal of economics
3
(
2009
)
1
,
pp. 61-76
Persistent link: https://www.econbiz.de/10003932421
Saved in:
8479
Spillover effects on government bond yields in euro zone : does full financial integration exist in European government bond markets?
Balli, Faruk
- In:
Journal of economics and finance
33
(
2009
)
4
,
pp. 331-363
Persistent link: https://www.econbiz.de/10003933761
Saved in:
8480
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
8481
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935360
Saved in:
8482
The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model
Marshall, Andrew P.
;
Maulana, Tb Nur Ahmad
;
Tang, Leilei
- In:
International review of financial analysis
18
(
2009
)
5
,
pp. 250-259
Persistent link: https://www.econbiz.de/10003936603
Saved in:
8483
Improved marketing decision making in a customer churn prediction context using generalized additive models
Coussement, Kristof
;
Benoit, Dries F.
;
Van den Poel, Dirk
-
2009
Persistent link: https://www.econbiz.de/10003936779
Saved in:
8484
(I)rationality of investors on Croatian stock market : explaining the impact of American indices on Croatian stock market
Sajter, Domagoj
;
Ćorić, Tomislav
- In:
Zagreb international review of economics & business
12
(
2009
)
2
,
pp. 57-72
Persistent link: https://www.econbiz.de/10008858903
Saved in:
8485
Stationarity of a family of GARCH processes
Liu, Ji-chun
- In:
The econometrics journal
12
(
2009
)
3
,
pp. 436-446
Persistent link: https://www.econbiz.de/10003948829
Saved in:
8486
Managing exchange rate volatility : a comparative counterfactual analysis of Singapore, 1994 - 2003
Wilson, Peter
;
Ng Shang Ren, Henry
- In:
The Singapore economic review : journal of the Economic …
54
(
2009
)
4
,
pp. 543-568
Persistent link: https://www.econbiz.de/10003957180
Saved in:
8487
Value-at-risk-based risk management on exchange traded funds : the Taiwanese experience
Liu, Hung-Chun
;
Cheng, Yu-Ju
;
Tzou, Yi-Pin
- In:
Banks and bank systems : international research journal
4
(
2009
)
2
,
pp. 20-28
Persistent link: https://www.econbiz.de/10003988582
Saved in:
8488
Poisson autoregression
Fokianos, Konstantinos
;
Rahbek, Anders
;
Tjøstheim, Dag
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
488
,
pp. 1430-1440
Persistent link: https://www.econbiz.de/10003992981
Saved in:
8489
Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
Xiao, Zhijie
;
Koenker, Roger
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
488
,
pp. 1696-1712
Persistent link: https://www.econbiz.de/10003993253
Saved in:
8490
Do futures stabilize the volatility of the agricultural spot prices? : evidence from Thailand
Pinjisakikool, Teerapong
- In:
EuroEconomica
(
2009
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10008702601
Saved in:
8491
Hedging effectiveness with S&P 500 index futures under different volatility regimes
Xu, Weijun
;
Li, Yang
- In:
Financial hedging
,
(pp. 95-117)
.
2009
Persistent link: https://www.econbiz.de/10008799131
Saved in:
8492
On stock market illiquidity of the NSE of India
Sen, Som Sankar
- In:
The Icfai University journal of financial economics
7
(
2009
)
3/4
,
pp. 95-104
Persistent link: https://www.econbiz.de/10008823928
Saved in:
8493
Stock returns and volatility : evidence from select emerging markets
Arora, Ravinder Kumar
;
Das, Himadri
;
Jain, Pramod Kumar
- In:
Review of Pacific Basin financial markets and policies
12
(
2009
)
4
,
pp. 567-592
Persistent link: https://www.econbiz.de/10008825091
Saved in:
8494
Handbook of financial time series
Andersen, Torben
(
ed.
);
Davis, Richard A.
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003494231
Saved in:
8495
Did liberalisation change the Indian business cycle?
Paul, Paksha Biru
- In:
The Indian economic journal
57
(
2009
)
3
,
pp. 93-117
Persistent link: https://www.econbiz.de/10003981714
Saved in:
8496
Essays on aggregation and cointegration of econometric models
Silvestrini, Andrea
-
2009
Persistent link: https://www.econbiz.de/10003986597
Saved in:
8497
Towards decoding currency volatilities
Jüttner, Dieter Johannes P.
;
Leung, Wayne
- In:
Multinational finance journal : MF ; quarterly …
13
(
2009
)
1/2
,
pp. 103-134
Persistent link: https://www.econbiz.de/10008654486
Saved in:
8498
Modeling volatility in foreign currency option pricing
Hoque, Ariful
;
Chan, Felix
;
Manzur, Meher
- In:
Multinational finance journal : MF ; quarterly …
13
(
2009
)
3/4
,
pp. 189-208
Persistent link: https://www.econbiz.de/10008654497
Saved in:
8499
Structure and asymptotic theory for multivariate asymmetric conditional volatility
McAleer, Michael
;
Hoti, Suhejla
;
Chan, Felix
- In:
Econometric reviews
28
(
2009
)
5
,
pp. 422-440
Persistent link: https://www.econbiz.de/10003873066
Saved in:
8500
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
Hammoudeh, Shawkat M.
;
Yuan, Yuan
;
McAleer, Michael
- In:
The quarterly review of economics and finance : journal …
49
(
2009
)
3
,
pp. 829-842
Persistent link: https://www.econbiz.de/10003873635
Saved in:
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