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  • Search: subject_exact:"ARCH model"
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Year of publication
Subject
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ARCH model 8,294 ARCH-Modell 8,273 Volatilität 5,083 Volatility 5,082 Theorie 3,233 Theory 3,233 USA 2,851 United States 2,849 Estimation 2,363 Schätzung 2,362 Börsenkurs 1,703 Share price 1,703 Stock market 1,551 Capital income 1,550 Kapitaleinkommen 1,550 Aktienmarkt 1,549 Zeitreihenanalyse 1,399 Time series analysis 1,394 Prognoseverfahren 1,137 Forecasting model 1,136 Exchange rate 840 Wechselkurs 839 GARCH 711 Spillover effect 690 Spillover-Effekt 690 Estimation theory 684 Schätztheorie 684 Welt 667 World 667 Risikomaß 657 Risk measure 657 Aktienindex 630 Stock index 630 Correlation 554 Korrelation 551 Oil price 548 Ölpreis 548 Financial crisis 431 Finanzkrise 426 Portfolio selection 413
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Online availability
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Free 2,332 Undetermined 2,019
Type of publication
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Article 5,832 Book / Working Paper 2,480
Type of publication (narrower categories)
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Article in journal 5,581 Aufsatz in Zeitschrift 5,581 Graue Literatur 1,602 Non-commercial literature 1,602 Working Paper 1,597 Arbeitspapier 1,595 Aufsatz im Buch 224 Book section 224 Hochschulschrift 125 Thesis 102 Collection of articles written by one author 33 Sammlung 33 Conference paper 29 Konferenzbeitrag 29 Collection of articles of several authors 24 Sammelwerk 24 Aufsatzsammlung 11 Bibliografie enthalten 11 Bibliography included 11 Systematic review 11 Übersichtsarbeit 11 Case study 8 Fallstudie 8 Forschungsbericht 8 Lehrbuch 7 Commentary 6 Dissertation u.a. Prüfungsschriften 6 Kommentar 6 Konferenzschrift 6 Amtsdruckschrift 4 Government document 4 Conference proceedings 2 Mehrbändiges Werk 2 Multi-volume publication 2 Rezension 2 Accompanied by computer file 1 Article 1 Bibliografie 1 Biografie 1 Biography 1
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Language
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English 8,195 German 47 Spanish 22 Undetermined 18 French 13 Polish 6 Portuguese 4 Czech 2 Bulgarian 1 Hungarian 1 Italian 1 Romanian 1 Swedish 1 Turkish 1 Chinese 1
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Author
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McAleer, Michael 196 Chang, Chia-Lin 80 Engle, Robert F. 60 Caporale, Guglielmo Maria 57 Hafner, Christian M. 52 Teräsvirta, Timo 51 Bauwens, Luc 43 Karanasos, Menelaos 40 Gupta, Rangan 39 Caporin, Massimiliano 38 Bollerslev, Tim 37 Rombouts, Jeroen V. K. 37 Francq, Christian 34 Conrad, Christian 33 Herwartz, Helmut 33 Laurent, Sébastien 33 Spagnolo, Nicola 33 Kumar, Dilip 31 Paolella, Marc S. 31 Asai, Manabu 30 Linton, Oliver 29 McMillan, David G. 29 Zakoïan, Jean-Michel 29 Mittnik, Stefan 27 Serletis, Apostolos 27 Allen, David E. 24 Koopman, Siem Jan 24 Saikkonen, Pentti 24 Shephard, Neil G. 24 Degiannakis, Stavros 23 Ma, Feng 23 Nguyen, Duc Khuong 23 Silvennoinen, Annastiina 23 Andersen, Torben 22 Ardia, David 22 Hansen, Peter Reinhard 22 Hsing, Yu 22 Bouri, Elie 21 Chiang, Thomas C. 21 Lütkepohl, Helmut 21
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Institution
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National Bureau of Economic Research 25 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 17 Ekonomiska forskningsinstitutet <Stockholm> 14 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> 5 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 European University Institute / Department of Economics 3 National Institute of Economic and Social Research 3 University of Chicago / Graduate School of Business 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Brown University / Department of Economics 2 Center for Economic Research <Tilburg> 2 Econometric Society 2 Federal Reserve Bank of St. Louis 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 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 Birmingham Business School 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Centre for Quantitative Economics & Computing 1 Chambre de commerce et d'industrie de Paris 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 Department of Econometrics and Business Statistics, Monash Business School 1 Deutschland / Bundesministerium für Wirtschaft 1 Deutschland <Bundesrepublik> / Auswärtiges Amt 1 Deutschland <Bundesrepublik> / Bundesminister der Finanzen 1 Deutschland <Bundesrepublik> / Bundesminister für den Marshallplan 1
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Published in...
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Energy economics 192 Economic modelling 143 Applied economics 139 Journal of econometrics 131 Journal of empirical finance 111 Applied financial economics 107 Journal of banking & finance 106 Discussion paper / Tinbergen Institute 101 International review of financial analysis 100 Economics letters 99 Finance research letters 87 The North American journal of economics and finance : a journal of financial economics studies 87 Journal of international financial markets, institutions & money 86 Research in international business and finance 86 International review of economics & finance : IREF 77 Journal of forecasting 70 Econometric Institute research papers 69 Econometric theory 69 Applied economics letters 65 International journal of forecasting 65 The journal of futures markets 65 Journal of financial econometrics : official journal of the Society for Financial Econometrics 64 The European journal of finance 62 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 54 Journal of risk and financial management : JRFM 54 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 53 Journal of international money and finance 53 International journal of economics and financial issues : IJEFI 50 International journal of economics and finance 47 The empirical economics letters : a monthly international journal of economics 47 International Journal of Energy Economics and Policy : IJEEP 46 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 45 Econometric reviews 44 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 44 Working paper 44 Review of quantitative finance and accounting 43 CREATES research paper 41 Journal of applied econometrics 37 CORE discussion papers : DP 32 CESifo working papers 30
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Source
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ECONIS (ZBW) 8,277 RePEc 20 USB Cologne (EcoSocSci) 9 EconStor 3 ArchiDok 2 BASE 1
Showing 1 - 50 of 8,312
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Term structure modeling under volatility uncertainty
Hölzermann, Julian - In: Mathematics and financial economics 16 (2022) 2, pp. 317-343
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The effect of index option trading on stock market volatility in China : an empirical investigation
Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19
In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility...
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Asymmetric relationship between exchange rate volatility and oil price : case study of Thai-Baht
Supanee Harnphattananusorn - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 86-92
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Volatility spillover between stock returns and oil prices during the Covid-19 pandemic in ASEAN
Alexandri, Mohammad Benny; Supriyanto, Supriyanto - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 126-133
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Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic : evidence from DCC-GARCH and wavelet analysis
Özdemir, Onur - In: Financial innovation : FIN 8 (2022), pp. 1-38
This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether, Cardano, Litecoin, and Eos from November 17, 2019, to January 25, 2021. The study captures the financial...
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On the volatility of cryptocurrencies
Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022
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Bootstrapped nonlinear impulse-response analysis : the FTSE100 (UK) and the NDX100 (US) indices 2012-2021
Solibakke, Per Bjarte - In: International journal of computational economics and … 12 (2022) 1/2, pp. 197-221
Persistent link: https://ebtypo.dmz1.zbw/10012939622
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://ebtypo.dmz1.zbw/10012813880
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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
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Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto - In: Computational management science 19 (2022) 1, pp. 99-132
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Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.; Gupta, Rangan; Bouri, Elie - 2022
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Effects of real exchange rate volatility on trade : empirical analysis of the United States exports to BRICS
Ekanayake, E. M.; Dissanayake, Amila - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-21
This paper analyzes the effects of real exchange rate volatility on the United States’ exports to BRICS. It focuses on the top 20 export products (defined by the 2-digit Harmonized System codes) from the United States to Brazil, Russia, India, China, and South Africa, and uses quarterly data...
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Mean-variance relationship and uncertainty
Kim, Jun Sik - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 23-45
This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to...
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A comparison of international market indices for measuring market efficiency based on price-volume relationship
Çıralı, Sunay - In: Journal of capital markets studies 6 (2022) 1, pp. 90-105
Purpose - The main purpose of the research is to determine if the relationship between trading volume and price changes is connected to market effectiveness and to use the volume-price relationship to compare the efficiency levels of foreign markets. The degree of the relationship is determined...
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White Swan - the pandemic crisis, lockdown and unlock effect on the Indian stock market
Narinder Pal Singh; Goel, Himanshu - In: Global business & economics review 26 (2022) 2, pp. 152-162
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Stock market reactions during different phases of the COVID-19 pandemic : cases of Italy and Spain
Keliuotyte-Staniuleniene, Greta; Kviklis, Julius - In: Economies : open access journal 10 (2022) 1, pp. 1-32
The COVID-19 pandemic and pandemic-induced lockdowns and quarantine establishments have inevitably affected individuals, businesses, and governments. At the same time, the spread of the COVID-19 pandemic had a dramatic impact on financial markets all over the world and caused an increased level...
Persistent link: https://ebtypo.dmz1.zbw/10012800500
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan - 2022
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Real-time forecast of DSGE models with time-varying volatility in GARCH form
Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan - 2022
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...
Persistent link: https://ebtypo.dmz1.zbw/10012804913
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The variability and volatility of sleep: an archetypal approach
Hamermesh, Daniel S.; Pfann, Gerard A. - 2022
Using Dutch time-diary data from 1975-2005 covering over 10,000 respondents for 7 consecutive days each, we show that individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional heteroscedasticity: The absolute values of deviations from...
Persistent link: https://ebtypo.dmz1.zbw/10012805079
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Volatility modeling and dependence structure of ESG and conventional investments
Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25
The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of selected ESG indices and conventional ones and...
Persistent link: https://ebtypo.dmz1.zbw/10012805838
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Are GARCH and DCC values of 10 cryptocurrencies affected by COVID-19?
Yan, Kejia; Yan, Huqin; Gupta, Rakesh - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
This paper examines the dynamic conditional correlations among 10 cryptocurrencies and the possibility of hedging investment strategies among multiple cryptocurrencies over the period affected by COVID-19 from 2017 to 2022. After studying the relationship between Bitcoin, Ethereum, and the other...
Persistent link: https://ebtypo.dmz1.zbw/10013161876
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - 2022
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Outliers and time-varying jumps in the cryptocurrency markets
Dutta, Anupam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-7
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps...
Persistent link: https://ebtypo.dmz1.zbw/10013163949
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The effect of inflation targeting (it) policy on the inflation uncertainty and economic growth in selected African and European countries
Nene, Shelter Thelile; Ilesanmi, Kehinde Damilola; … - In: Economies : open access journal 10 (2022) 2, pp. 1-16
The study assessed the effect of inflation targeting (IT) policy on inflation uncertainty and economic growth in African and European IT countries. This study contributes to the existing knowledge by analysing and comparing the African IT and European IT countries using two advanced approaches...
Persistent link: https://ebtypo.dmz1.zbw/10013164167
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The volatility of rupiah exchange rate impact on main commodity exports to the OIC member states
Handoyo, Rossanto Dwi; Sari, Agustin Dwi Prihandika; … - In: Economies : open access journal 10 (2022) 4, pp. 1-18
This study analysed the impact of the volatility of the rupiah exchange rate on four main commodities exported from Indonesia to six member countries of the Organisation of the Islamic Cooperation (OIC) (Saudi Arabia, Malaysia, Pakistan, United Arab Emirates, Turkey, and Bangladesh). The study...
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Risk transmission between green markets and commodities
Naeem, Muhammad Abubakr; Sitara Karim; Jamasb, Tooraj; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013166380
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Risk transmission between green markets and commodities
Naeem, Muhammad Abubakr; Sitara Karim; Jamasb, Tooraj; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013173335
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Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models
Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225
Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional emerging stock market indices, hedged with oil, gold, and the VSTOXX as well as four emerging-country sectoral CDS indices (raw materials, industry, health care, and...
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Nonlinear contagion between stock and real estate markets : international evidence from a local Gaussian correlation approach
Bouri, Elie; Gupta, Rangan; Wang, Shixuan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2089-2109
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Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa
Van Eyden, Reneé; Aye, Goodness C. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013166947
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Effects of conditional oil volatility on exchange rate and stock markets returns
Bouazizi, Tarek; Mrad, Fatma; Hamida, Arafet; Nafti, Sawsen - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 2, pp. 53-71
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Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: evidence from VAR-MGARCH estimations
Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - 2022
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Interdependence between WTI crude oil prices and the US equity market
Pruchnicka-Grabias, Izabela - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 2, pp. 226-232
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Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Kielmann, Julia; Manner, Hans; Min, Aleksey - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1543-1574
Persistent link: https://ebtypo.dmz1.zbw/10013197238
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Trading for speculators : the role of physical actors in the financialization of coffee, cocoa and cotton value chains
Tröster, Bernhard; Gunter, Ulrich - 2022
The prices of cash crops are crucial to the livelihood of millions of households in developing countries. While the influence of financial investors on the determination of global commodity prices on derivative exchanges is extensively discussed, the role of physical actors in the global value...
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Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012700481
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Public sector policy of estimating model for renewable energy
Suhendro, Saring; Matalia, Mega; Sari Indah Oktanti … - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 5, pp. 609-613
Persistent link: https://ebtypo.dmz1.zbw/10012704744
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Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19
This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU...
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Spillover effects in the financial year cycle for Indian markets
Bhatia, Parul - In: Asian journal of accounting research 6 (2021) 1, pp. 38-54
Persistent link: https://ebtypo.dmz1.zbw/10012492642
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Analysis of financial contagion in influential African stock markets
Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9
Drawing from the experience of the global financial crisis that sprang forth from the US stock market, an empirical assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African, Nigeria, Egypt, Kenya, Tunisia) is presented. Monthly...
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Exchange rate volatility and its effect on intra-East Africa Community regional trade
Mosbei, Thomas; Samoei, Silas Kiprono; Tison, Clement … - In: Latin American journal of trade policy 4 (2021) 9, pp. 43-53
Persistent link: https://ebtypo.dmz1.zbw/10012512355
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Predicting crude oil prices during a pandemic : a comparison of Arima and Garch models
Haque, Mohammad Imdadul; Shaik, Abdul Rahman - In: Montenegrin journal of economics 17 (2021) 1, pp. 197-207
Persistent link: https://ebtypo.dmz1.zbw/10012436043
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Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://ebtypo.dmz1.zbw/10012436893
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New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Settar, Abdeljalil; Fatmi, Nadia Idrissi; Badaoui, Mohammed - In: Central European journal of economic modelling and … 13 (2021) 1, pp. 55-74
Persistent link: https://ebtypo.dmz1.zbw/10012439109
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Relationship between country risk volatility and indices based on unstructured information
Llada, Martín - In: Estudios de economía 48 (2021) 2, pp. 175-218
This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina's country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One standard...
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Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; Shin, … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012651332
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Reassessment of volatility transmission among South Asian equity markets
Aziz, Tariq; Marwat, Jahanzeb; Mustafa, Sheraz; Kumar, … - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 1, pp. 587-597
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Forecasting the Artificial Intelligence index returns : a hybrid approach
Zhang, Yue-jun; Zhang, Han; Gupta, Rangan - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012692569
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Predicting stock return and volatility with machine learning and econometric models: a comparative case study of the Baltic stock market
Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - 2021
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