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Search: subject_exact:"GARCH-Modell"
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ARCH model
10,355
ARCH-Modell
10,355
Volatilität
6,355
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6,349
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2,936
Schätzung
2,935
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2,627
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2,627
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2,281
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2,281
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2,244
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2,244
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2,015
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2,014
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1,794
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1,791
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1,779
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1,778
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1,064
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1,064
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1,048
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1,048
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1,022
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1,022
GARCH
945
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932
Wechselkurs
932
USA
931
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925
Welt
872
World
872
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812
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811
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729
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729
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McAleer, Michael
209
Chang, Chia-Lin
82
Gupta, Rangan
77
Ma, Feng
65
Bauwens, Luc
61
Engle, Robert F.
59
Hafner, Christian M.
59
Teräsvirta, Timo
56
Caporale, Guglielmo Maria
53
Caporin, Massimiliano
52
Bouri, Elie
44
Karanasos, Menelaos
44
Francq, Christian
42
Conrad, Christian
40
Laurent, Sébastien
40
Herwartz, Helmut
39
Rombouts, Jeroen V. K.
38
Zakoïan, Jean-Michel
37
Paolella, Marc S.
36
Asai, Manabu
34
Zhang, Yaojie
33
Kumar, Dilip
32
McMillan, David G.
32
Serletis, Apostolos
32
Bollerslev, Tim
31
Ardia, David
30
Linton, Oliver
29
Rahbek, Anders
29
Mittnik, Stefan
28
Saikkonen, Pentti
28
Allen, David E.
27
Huang, Zhuo
27
Kang, Sang Hoon
27
Silvennoinen, Annastiina
27
Christoffersen, Peter F.
26
Degiannakis, Stavros
26
Hammoudeh, Shawkat
26
Hansen, Peter Reinhard
26
Tiwari, Aviral Kumar
26
Wang, Yudong
26
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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>
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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
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1
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Bank of Canada
1
Canada / Mines Branch (1950- )
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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1
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1
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Erasmus Research Institute of Management
1
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1
Federal Reserve Bank of San Francisco
1
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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
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ECONIS (ZBW)
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3701
On the asymmetric impact of macro-variables on volatility
Amendola, Alessandra
;
Candila, Vincenzo
;
Gallo, Giampiero M.
- In:
Economic modelling
76
(
2019
),
pp. 135-152
Persistent link: https://www.econbiz.de/10012198276
Saved in:
3702
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
3703
Impacts of China's crash on Asia-Pacific financial integration : volatility interdependence, information transmission and market co-movement
Ahmed, Abdullahi Dahir
;
Huo, Rui
- In:
Economic modelling
79
(
2019
),
pp. 28-46
Persistent link: https://www.econbiz.de/10012199007
Saved in:
3704
Volatility transmission between prices of selected agricultural products with crude oil and exchanges rates in Ghana and Turkey
Damba, Osman Tahidu
;
Bilgic, Abdulbaki
;
Yavuz, Fahri
; …
- In:
Ghanaian journal of economics : GJE
7
(
2019
)
1
,
pp. 118-155
Persistent link: https://www.econbiz.de/10012199981
Saved in:
3705
Returns spillovers between tourism ETFs
Shu-Lien, Chang
;
Yun-Huan, Lee
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012200874
Saved in:
3706
Relationship between India VIX and other VIX
Ramasubramanian, H.
;
Sophia, Sharon
- In:
International economics & finance journal : (IEFJ)
14
(
2019
)
2
,
pp. 101-109
Persistent link: https://www.econbiz.de/10012428924
Saved in:
3707
Half-life volatility measure of the returns of some cryptocurrencies
John, Abonongo
;
Logubayom, Anuwoje Ida
;
Nero, Raymond
- In:
Inventi impact: microfinance & banking
(
2019
)
3
,
pp. 149-162
Persistent link: https://www.econbiz.de/10012430405
Saved in:
3708
Volatility experience of major world stock markets
Mallikarjuna, M.
;
Rao, R. Prabhakara
- In:
Theoretical and applied economics : GAER review
26
(
2019
)
4/621
,
pp. 35-52
Persistent link: https://www.econbiz.de/10012431889
Saved in:
3709
GARCH based VaR estimation : an empirical evidence from BRICS stock markets
Guptha, Sivakiran
;
Rao, R. Prabhakar
- In:
Theoretical and applied economics : GAER review
26
(
2019
)
4/621
,
pp. 201-218
Persistent link: https://www.econbiz.de/10012432615
Saved in:
3710
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
3711
Dynamics in the co-movement of economic growth and stock return : comparison between the United States and China
Jiang, Yu
- In:
Economic research
32
(
2019
)
1,2
,
pp. 1965-1976
Persistent link: https://www.econbiz.de/10012435294
Saved in:
3712
Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market
Giacalone, Massimiliano
;
Mattera, Raffaele
;
Cozzucoli, …
- In:
The empirical economics letters : a monthly …
18
(
2019
)
7
,
pp. 785-791
Persistent link: https://www.econbiz.de/10012315480
Saved in:
3713
Good and bad volatility spillovers : an asymmetric connectedness
BenSaïda, Ahmed
- In:
Journal of financial markets
43
(
2019
),
pp. 78-95
Persistent link: https://www.econbiz.de/10012316301
Saved in:
3714
Macroeconomic uncertainty, high-level innovation, and urban green development performance in China
Jin, Peizhen
;
Peng, Chong
;
Song, Malin
- In:
China economic review : an international journal
55
(
2019
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012317381
Saved in:
3715
Volatility estimation for Bitcoin : replication and robustness
Charles, Amélie
;
Darné, Olivier
- In:
International economics : a journal published by CEPII …
157
(
2019
),
pp. 23-32
Persistent link: https://www.econbiz.de/10012318682
Saved in:
3716
The accuracy of asymmetric GARCH model estimation
Charles, Amélie
;
Darné, Olivier
- In:
International economics : a journal published by CEPII …
157
(
2019
),
pp. 179-202
Persistent link: https://www.econbiz.de/10012318700
Saved in:
3717
Who is hurt by dollar-euro volatility in the euro zone?
Bahmani-Oskooee, Mohsen
;
Harvey, Hanafiah
- In:
International economics : a journal published by CEPII …
159
(
2019
),
pp. 36-47
Persistent link: https://www.econbiz.de/10012318801
Saved in:
3718
Empirical safety stock estimation based on kernel and GARCH models
Trapero, Juan R.
;
Cardós, Manuel
;
Kourentzes, Nikolaos
- In:
Omega : the international journal of management science
84
(
2018
),
pp. 199-211
Persistent link: https://www.econbiz.de/10011993170
Saved in:
3719
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
3720
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
3721
Good, bad cojumps and volatility forecasting : new evidence from crude oil and the U.S. stock markets
Chen, Yixiang
;
Ma, Feng
;
Zhang, Yaojie
- In:
Energy economics
81
(
2019
),
pp. 52-62
Persistent link: https://www.econbiz.de/10012172656
Saved in:
3722
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
3723
Volatility forecasting in commodity markets using macro uncertainty
Bakas, Dimitrios
;
Triantafyllou, Athanasios
- In:
Energy economics
81
(
2019
),
pp. 79-94
Persistent link: https://www.econbiz.de/10012172661
Saved in:
3724
Oil price uncertainty and unemployment
Kandemir Kocaaslan, Ozge
- In:
Energy economics
81
(
2019
),
pp. 577-583
Persistent link: https://www.econbiz.de/10012172871
Saved in:
3725
Futures-based forecasts : how useful are they for oil price volatility forecasting?
Chatziantoniou, Ioannis
;
Degiannakis, Stavros
;
Filis, George
- In:
Energy economics
81
(
2019
),
pp. 639-649
Persistent link: https://www.econbiz.de/10012172881
Saved in:
3726
Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
Chang, Chia-Lin
;
Liu, Chia-Ping
;
McAleer, Michael
- In:
Energy economics
81
(
2019
),
pp. 779-792
Persistent link: https://www.econbiz.de/10012172983
Saved in:
3727
Out-of-sample prediction of the oil futures market volatility : a comparison of new and traditional combination approaches
Zhang, Yaojie
;
Ma, Feng
;
Wei, Yu
- In:
Energy economics
81
(
2019
),
pp. 1109-1120
Persistent link: https://www.econbiz.de/10012173075
Saved in:
3728
Crude oil price shocks and hedging performance : a comparison of volatility models
Chun, Dohyun
;
Cho, Hoon
;
Kim, Jihun
- In:
Energy economics
81
(
2019
),
pp. 1132-1147
Persistent link: https://www.econbiz.de/10012173083
Saved in:
3729
Asymmetric volatility spillovers between oil and stock markets : evidence from China and the United States
Xu, Weiju
;
Ma, Feng
;
Wang, Chen
;
Zhang, Bing
- In:
Energy economics
80
(
2019
),
pp. 310-320
Persistent link: https://www.econbiz.de/10012173623
Saved in:
3730
Forecasting oil price volatility : forecast combination versus shrinkage method
Zhang, Yaojie
;
Wei, Yu
;
Zhang, Yi
;
Jin, Daxiang
- In:
Energy economics
80
(
2019
),
pp. 423-433
Persistent link: https://www.econbiz.de/10012173653
Saved in:
3731
Risk spillovers between oil and stock markets : a VAR for VaR analysis
Wen, Danyan
;
Wang, Gang-Jin
;
Ma, Chaoqun
;
Wang, Yudong
- In:
Energy economics
80
(
2019
),
pp. 524-535
Persistent link: https://www.econbiz.de/10012173682
Saved in:
3732
Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies : evidence from wavelet nonlinear denoised based quantile and Granger-causality...
Hamdi, Besma
;
Aloui, Mouna
;
Alqahtani, Faisal
;
Tiwari, …
- In:
Energy economics
80
(
2019
),
pp. 536-552
Persistent link: https://www.econbiz.de/10012173684
Saved in:
3733
Crude oil futures trading and uncertainty
Czudaj, Robert
- In:
Energy economics
80
(
2019
),
pp. 793-811
Persistent link: https://www.econbiz.de/10012173728
Saved in:
3734
On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model
Bedoui, Rihab
;
Braiek, Sana
;
Guesmi, Khaled
; …
- In:
Energy economics
80
(
2019
),
pp. 876-889
Persistent link: https://www.econbiz.de/10012173742
Saved in:
3735
Separating BRIC using Islamic stocks and crude oil : dynamic conditional correlation and volatility spillover analysis
Hassan, Kamrul
;
Hoque, Ariful
;
Gasbarro, Dominic
- In:
Energy economics
80
(
2019
),
pp. 950-969
Persistent link: https://www.econbiz.de/10012173757
Saved in:
3736
Essays on structural vector autoregressions identified through time-varying volatility
Schlaak, Thore
-
2019
Persistent link: https://www.econbiz.de/10012173758
Saved in:
3737
Volatility spillovers between crude oil and Chinese sectoral equity markets : evidence from a frequency dynamics perspective
Wang, Xunxiao
;
Wang, Yudong
- In:
Energy economics
80
(
2019
),
pp. 995-1009
Persistent link: https://www.econbiz.de/10012173766
Saved in:
3738
The impact of exchange rate volatility on the Nigerian economic growth: an empirical investigation
Ehikioya, Benjamin
- In:
Journal of economics & management
37
(
2019
)
3
,
pp. 45-68
Persistent link: https://www.econbiz.de/10012173849
Saved in:
3739
Forecasting value at risk (VaR) for emerging and developed markets
Naimy, Viviane
;
Bou Zeidan, Melissa
- In:
Estudios de economía aplicada : revista promovida por …
37
(
2019
)
3
,
pp. 153-174
Persistent link: https://www.econbiz.de/10012173924
Saved in:
3740
Leverage effect in energy futures revisited
Carnero, M. Angeles
;
Pérez, Ana
- In:
Energy economics
82
(
2019
),
pp. 237-252
Persistent link: https://www.econbiz.de/10012173930
Saved in:
3741
Exchange rate volatility and industrial output growth in Nigeria
Oseni, Isiaq O.
;
Alabi, Mumeen Olatunbosun
;
Adekunle, …
- In:
Journal of economics & management
38
(
2019
)
4
,
pp. 129-156
Persistent link: https://www.econbiz.de/10012173968
Saved in:
3742
Measuring return and volatility spillovers among sectoral stocks in Nigeria
Fasanya, Ismail Olaleke
;
Oyewole, Oluwatomisin
; …
- In:
Zagreb international review of economics & business
22
(
2019
)
2
,
pp. 71-93
Persistent link: https://www.econbiz.de/10012174084
Saved in:
3743
Dynamic impact of interest rate volatility and spillover effect of the U.S. interest rate on banking sector development of Turkey : empirical evidence from cointegration and causal...
Almahadin, Hamed Ahmad
;
Tuna, Gulcay
- In:
Asia-Pacific journal of accounting & economics : …
26
(
2019
)
5
,
pp. 577-588
Persistent link: https://www.econbiz.de/10012174276
Saved in:
3744
A study on the asymmetric effect to housing market price volatility
Choi, Chasoon
- In:
International journal of business and economics …
8
(
2019
)
6
,
pp. 406-413
Persistent link: https://www.econbiz.de/10012236947
Saved in:
3745
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Hou, Yang
;
Li, Steven
;
Wen, Fenghua
- In:
Energy economics
83
(
2019
),
pp. 119-143
Persistent link: https://www.econbiz.de/10012175247
Saved in:
3746
Multivariate analysis of East African currency exchange rate dynamics
Shiferaw, Yegnanew A.
- In:
Annals of economics and finance
20
(
2019
)
2
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012175620
Saved in:
3747
Return and volatility spillovers between currency and bond markets in India
Sahoo, Sudarsana
;
Kumar Behera, Harendra
;
Trivedi, Pushpa L.
- In:
Macroeconomics and finance in emerging market economies
12
(
2019
)
2
,
pp. 155-173
Persistent link: https://www.econbiz.de/10012176862
Saved in:
3748
The signal and the noise volatilities
Chaker, Selma
- In:
Research in international business and finance
50
(
2019
),
pp. 79-105
Persistent link: https://www.econbiz.de/10012177017
Saved in:
3749
Volatility spillover between Indian and mint stock exchanges : portfolio diversification implication
Yadav, Miklesh Prasad
;
Pandey, Asheesh
- In:
The Indian economic journal
67
(
2019
)
3/4
,
pp. 299-311
Persistent link: https://www.econbiz.de/10012390854
Saved in:
3750
Options valuation and calibration for leveraged exchange-traded funds with Heston-Nandi and inverse Gaussian GARCH models
Cao, Hongkai
;
Chatterjee, Rupak
;
Cui, Zhenyu
- In:
International journal of financial engineering
6
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012314515
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