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~subject:"ARCH model"
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ARCH model
Volatility
43,967
Volatilität
43,705
Theorie
13,203
Theory
12,927
Börsenkurs
10,118
Share price
9,979
Schätzung
9,361
Estimation
9,138
ARCH-Modell
7,361
Kapitaleinkommen
6,984
Welt
6,971
Capital income
6,957
World
6,829
Aktienmarkt
5,930
Stock market
5,873
Wechselkurs
5,368
Exchange rate
5,270
Zeitreihenanalyse
5,001
USA
4,909
Time series analysis
4,900
United States
4,744
Prognoseverfahren
4,528
Forecasting model
4,467
Stochastischer Prozess
4,320
Stochastic process
4,250
Optionspreistheorie
4,198
Option pricing theory
4,138
Structural break
3,808
Rohstoffpreis
3,799
Strukturbruch
3,787
Commodity price
3,623
Risk
3,387
Risiko
3,346
Portfolio-Management
3,016
Portfolio selection
3,004
Ölpreis
2,817
Oil price
2,797
volatility
2,720
Finanzmarkt
2,694
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2,669
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2,374
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303
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8
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McAleer, Michael
141
Gupta, Rangan
87
Chang, Chia-Lin
73
Ma, Feng
50
Bouri, Elie
44
Caporale, Guglielmo Maria
41
Bauwens, Luc
37
Kang, Sang Hoon
37
Kumar, Dilip
32
Caporin, Massimiliano
31
Bollerslev, Tim
30
Hafner, Christian M.
28
Hansen, Peter Reinhard
27
Teräsvirta, Timo
27
McMillan, David G.
26
Serletis, Apostolos
26
Zhang, Yaojie
26
Asai, Manabu
25
Degiannakis, Stavros
25
Salisu, Afees A.
25
Spagnolo, Nicola
25
Engle, Robert F.
24
Hammoudeh, Shawkat
23
Karanasos, Menelaos
23
Liang, Chao
23
Wu, Xinyu
23
Yoon, Seong-min
23
Andersen, Torben
22
Herwartz, Helmut
22
Koopman, Siem Jan
22
Mensi, Walid
22
Wang, Yudong
22
Conrad, Christian
20
Diebold, Francis X.
20
Wei, Yu
20
Laurent, Sébastien
19
Lucas, André
19
Rodriguez, Gabriel
19
Tiwari, Aviral Kumar
19
Allen, David E.
18
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National Bureau of Economic Research
12
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
7
Centre for Analytical Finance <Århus>
4
University of Canterbury / Dept. of Economics and Finance
4
Ekonomiska forskningsinstitutet <Stockholm>
3
Instituto Valenciano de Investigaciones Económicas
3
Brown University / Department of Economics
2
Econometrisch Instituut <Rotterdam>
2
Federal Reserve Bank of St. Louis
2
Gottfried Wilhelm Leibniz Universität Hannover
2
HFDF <2, 1998, Zürich>
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Bank of Canada
1
Center for Economic Research <Tilburg>
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Econometric Society
1
Erasmus Research Institute of Management
1
Federal Reserve Bank of San Francisco
1
HFDF <1, 1995, Zürich>
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
London School of Economics and Political Science
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Rodney L. White Center for Financial Research
1
School of Accounting, Economics and Finance <Geelong>
1
School of Accounting, Finance and Economics <Perth, Western Australia>
1
School of Economics and Finance <Brisbane>
1
School of Finance and Business Economics <Perth, Western Australia>
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Springer Fachmedien Wiesbaden
1
Svenska Handelshögskolan <Helsinki>
1
The Wharton Financial Institutions Center
1
University of Chicago / Graduate School of Business
1
Universität Bremen / Fachbereich Wirtschaftswissenschaft
1
Université de Genève / Institut de hautes études internationales
1
Université de Montréal / Département de sciences économiques
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
Westfälische Wilhelms-Universität Münster
1
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Published in...
All
Energy economics
235
Finance research letters
168
Economic modelling
133
International review of economics & finance : IREF
113
Applied economics
109
The North American journal of economics and finance : a journal of financial economics studies
106
International review of financial analysis
105
Research in international business and finance
97
Journal of empirical finance
96
International journal of forecasting
81
Journal of econometrics
76
Journal of forecasting
75
Journal of international financial markets, institutions & money
71
Journal of risk and financial management : JRFM
71
Discussion paper / Tinbergen Institute
70
Applied financial economics
62
Applied economics letters
59
Economics letters
59
International Journal of Energy Economics and Policy : IJEEP
58
Journal of banking & finance
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
The European journal of finance
48
Working paper
48
International journal of finance & economics : IJFE
47
The journal of futures markets
45
Journal of financial econometrics : official journal of the Society for Financial Econometrics
44
Cogent economics & finance
42
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
41
Econometric Institute research papers
39
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
37
Computational economics
35
International journal of economics and financial issues : IJEFI
35
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
33
International journal of economics and finance
33
Pacific-Basin finance journal
32
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
31
The empirical economics letters : a monthly international journal of economics
31
Review of quantitative finance and accounting
30
Econometric reviews
29
Global business review
29
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Source
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ECONIS (ZBW)
7,283
RePEc
4
ArchiDok
2
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1
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10
of
7,289
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date (newest first)
date (oldest first)
1
Commodity
volatility
breaks
Vivian, Andrew
;
Wohar, Mark E.
- In:
Journal of international financial markets, …
22
(
2012
)
2
,
pp. 395-422
Persistent link: https://www.econbiz.de/10009581694
Saved in:
2
Period specific
volatility
spillover based connectedness between oil and other commodity prices and their portfolio implications
Guhathakurta, Kousik
;
Dash, Saumya Ranjan
;
Maitra, Debasish
- In:
Energy economics
85
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012510102
Saved in:
3
Crude oil market and global financial crisis : structural break and market
volatility
analysis
Singh, Archana
;
Singh, Narinder Pal
- In:
International journal of economics and business research
13
(
2017
)
2
,
pp. 203-216
Persistent link: https://www.econbiz.de/10011714391
Saved in:
4
Dynamics of
volatility
spillovers with structural breaks in Indian foreign exchange market
Kashyap, Suresh
;
Kashyap, Sachin
- In:
International journal of business innovation and …
22
(
2020
)
4
,
pp. 488-505
Persistent link: https://www.econbiz.de/10012270943
Saved in:
5
Structural breaks and
volatility
spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi
- In:
Journal of management research
11
(
2019
)
2
,
pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
Saved in:
6
How are structural breaks related to stock return
volatility
persistence? : evidence from China and Japan
Tsuji, Chikashi
- In:
Modern economy
9
(
2018
)
10
,
pp. 1635-1643
Persistent link: https://www.econbiz.de/10011958946
Saved in:
7
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
8
An empirical analysis of structural breaks in world dry bulk shipping market
Dai, Lei
;
Jing, Danyue
;
Hu, Hao
;
Shi, Yifan
;
Lee, Seungwon
- In:
International journal of shipping and transport …
16
(
2023
)
1/2
,
pp. 141-153
Persistent link: https://www.econbiz.de/10013550365
Saved in:
9
Persistence of
volatility
of sovereign credit risk in presence of structural breaks
Ngene, Geoffrey
;
Carley, Hannah
;
Hassan, Mohammad Kabir
- In:
Journal of derivatives & hedge funds
20
(
2014
)
1
,
pp. 10-27
Persistent link: https://www.econbiz.de/10010463011
Saved in:
10
Market
volatility
transmission and central banking : what happened during the subprime crisis?
Bensafta, Kamel Malik
;
Semedo, Gervasio
- In:
International economic journal
28
(
2014
)
4
,
pp. 559-588
Persistent link: https://www.econbiz.de/10010504200
Saved in:
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