//--> //--> //--> //-->
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
~type_genre:"Arbeitspapier"
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
Can Fundamental Factors Explai...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
GARCH
128
ARCH model
126
ARCH-Modell
126
Volatility
78
Volatilität
78
Theorie
65
Theory
65
Estimation
55
Schätzung
55
Börsenkurs
40
Share price
40
Forecasting model
37
Prognoseverfahren
37
Time series analysis
36
Zeitreihenanalyse
36
Estimation theory
30
Schätztheorie
30
Capital income
29
Kapitaleinkommen
29
Correlation
22
Korrelation
22
Risikomaß
20
Risk measure
20
Portfolio selection
18
Portfolio-Management
18
Aktienmarkt
17
Stock market
17
Markov chain
16
Markov-Kette
16
Deutschland
14
Dynamic conditional correlations
14
Exchange rate
14
GARCH-Prozess
14
Germany
14
Wechselkurs
14
Statistical distribution
12
Statistische Verteilung
12
Aktienindex
11
Stochastic process
11
Stochastischer Prozess
11
more ...
less ...
Online availability
All
Free
141
Undetermined
5
Type of publication
All
Book / Working Paper
162
Type of publication (narrower categories)
All
Arbeitspapier
Article in journal
989
Aufsatz in Zeitschrift
989
Working Paper
332
Graue Literatur
170
Non-commercial literature
170
Article
89
Hochschulschrift
39
Thesis
36
research-article
33
Aufsatz im Buch
15
Book section
15
Conference paper
8
Konferenzbeitrag
8
Bibliografie enthalten
3
Bibliography included
3
Collection of articles written by one author
3
Sammlung
3
Collection of articles of several authors
2
Lehrbuch
2
Research Report
2
Sammelwerk
2
Textbook
2
Aufsatzsammlung
1
Case study
1
Conference Paper
1
Congress Report
1
Fallstudie
1
Preprint
1
Report
1
more ...
less ...
Language
All
English
160
German
3
Author
All
Ledoit, Olivier
9
Wolf, Michael
9
Lütkepohl, Helmut
8
McAleer, Michael
7
Engle, Robert F.
6
Ardia, David
4
Caporale, Guglielmo Maria
4
Chlebus, Marcin
4
De Nard, Gianluca
4
Gupta, Rangan
4
Manera, Matteo
4
Mittnik, Stefan
4
Bauwens, Luc
3
Bos, Charles S.
3
Byström, Hans N. E.
3
Claessen, Holger
3
Dijk, Herman K. van
3
Hoogerheide, Lennart F.
3
Koopman, Siem Jan
3
Ling, Shiqing
3
Netšunajev, Aleksei
3
Paolella, Marc S.
3
Rottmann, Horst
3
Schlaak, Thore
3
Walther, Thomas
3
Asai, Manabu
2
Auer, Benjamin R.
2
Bauer, Matthias
2
Baur, Dirk G.
2
Clark, Todd E.
2
Drenovak, Mikica
2
Fortin, Ines
2
Hol Uspensky, Eugenie
2
Jelic, Ranko
2
Kaiser, Thomas
2
Klein, Tony
2
Krämer, Walter
2
Kuzmics, Christoph
2
Lanza, Alessandro
2
Li, Wai Keung
2
more ...
less ...
Institution
All
Shakai-Keizai-Kenkyūsho <Osaka>
3
Nationalekonomiska Institutionen <Lund>
1
University of York / Department of Economics and Related Studies
1
Published in...
All
Discussion paper / Tinbergen Institute
16
Working papers
11
CESifo working papers
9
Working paper series / University of Zurich, Department of Economics
9
Working paper
8
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
CORE discussion papers : DP
4
IES working paper
4
CFS working paper series
3
Discussion paper / Institute of Social and Economic Research
3
Working paper series / Department of Economics, School of Economics and Management, University of Lund
3
Working papers on finance
3
Department of Economics working paper series
2
Discussion paper
2
Economics and finance working paper series
2
Finmap working paper
2
Global financial markets : working papers
2
Kieler Arbeitspapiere
2
Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics
2
Reihe Ökonomie
2
Research paper series / Swiss Finance Institute
2
SFB 649 discussion paper
2
Swiss Finance Institute Research Paper
2
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
2
Tübinger Diskussionsbeitrag
2
Tübinger Diskussionsbeiträge
2
Weidener Diskussionspapiere
2
AGDI working paper
1
AWI discussion paper series
1
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
1
BB working paper series / Bangladesh Bank
1
CEMMAP working papers / Centre for Microdata Methods and Practice
1
Cahiers d'etudes / Banque Centrale du Luxembourg
1
Cahiers du Département d'Econométrie
1
Cardiff economics working papers
1
CefES paper series
1
DNB working papers
1
Discussion paper / Department of Economics, University of California San Diego
1
Discussion paper / ICMA Centre, Henley Business School, University of Reading
1
Discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
162
Showing
1
-
10
of
162
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/
GARCH
…
Persistent link: https://www.econbiz.de/10011518597
Saved in:
2
Beyond sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier
;
Wolf, Michael
;
Zhao, Zhao
-
2016
Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...
Persistent link: https://www.econbiz.de/10011571257
Saved in:
3
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2017
-
Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/
GARCH
…
Persistent link: https://www.econbiz.de/10011640555
Saved in:
4
A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics
Asai, Manabu
;
McAleer, Michael
-
2016
, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA-
GARCH
model of Ling and McAleer (2003 …
Persistent link: https://www.econbiz.de/10011531101
Saved in:
5
Asymptotic theory for extended asymmetric multivariate
GARCH
processes
Asai, Manabu
;
McAleer, Michael
-
2016
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical...
Persistent link: https://www.econbiz.de/10011531127
Saved in:
6
Is the financial sector Luxembourg's engine of growth?
Guarda, Paolo
;
Rouabah, Abdelaziz
-
2015
Persistent link: https://www.econbiz.de/10011542373
Saved in:
7
How smooth is the stock market integration of CEE-3?
Baumöhl, Eduard
;
Lyócsa, Štefan
-
2014
Persistent link: https://www.econbiz.de/10010412920
Saved in:
8
Understanding dynamic conditional correlations between commodities futures markets
Behmiri, Niaz Bashiri
;
Manera, Matteo
;
Nicolini, Marcella
-
2016
markets over the period 1998-2014 with a DCC-
GARCH
model. We look at the factors influencing those correlations, adopting a …
Persistent link: https://www.econbiz.de/10011451631
Saved in:
9
Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin
;
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
Saved in:
10
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->