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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"Estimation"
~subject:"Korrelation"
~subject:"Schätztheorie"
~subject:"Share price"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Engle, Robert F.
3
Boughrara, Adel
2
Chen, Yi-ting
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Francq, Christian
2
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2
Horváth, Lajos
2
Olmo, Jose
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Ur Rehman, Mobeen
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Azhar Mohamad
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Energy economics
102
Finance research letters
99
Applied economics
98
International review of economics & finance : IREF
80
Economic modelling
79
International review of financial analysis
76
Journal of econometrics
75
Research in international business and finance
74
Journal of empirical finance
72
The North American journal of economics and finance : a journal of financial economics studies
70
Journal of international financial markets, institutions & money
61
Journal of risk and financial management : JRFM
53
Economics letters
50
Journal of banking & finance
50
Applied economics letters
49
Discussion paper / Tinbergen Institute
49
International journal of forecasting
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
41
Econometric theory
40
International Journal of Energy Economics and Policy : IJEEP
37
Journal of forecasting
35
International journal of economics and financial issues : IJEFI
34
Applied financial economics
31
The European journal of finance
31
The journal of futures markets
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
International journal of economics and finance
28
Working paper
27
Econometric Institute research papers
25
Econometric reviews
25
International journal of finance & economics : IJFE
25
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
24
Journal of financial econometrics
24
Journal of risk
24
Review of quantitative finance and accounting
24
The empirical economics letters : a monthly international journal of economics
23
Cogent economics & finance
22
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1
Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets
Mensi, Walid
;
Ur Rehman, Mobeen
;
Maitra, Debasish
; …
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 139-157
Persistent link: https://www.econbiz.de/10014461547
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2
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
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3
Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region
Chebbi, Ali
;
Hedhli, Amel
- In:
The quarterly review of economics and finance : journal …
84
(
2022
),
pp. 430-445
Persistent link: https://www.econbiz.de/10013335886
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4
Financial contagion in the futures markets amidst global geo-economic events
Zainudin, Ahmad Danial
;
Azhar Mohamad
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 288-308
Persistent link: https://www.econbiz.de/10012656295
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5
On the effect of full-fledged IT adoption on stock returns and their conditional volatility : evidence from propensity score matching
Dridi, Ichrak
;
Boughrara, Adel
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 179-194
Persistent link: https://www.econbiz.de/10012655300
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6
Geopolitical risk and volatility spillovers in oil and stock markets
Smales, L. A.
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 358-366
Persistent link: https://www.econbiz.de/10012655491
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7
Volatility spillover between exchange rate and stock returns under volatility shifts
Malik, Farooq
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 605-613
Persistent link: https://www.econbiz.de/10012655581
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8
Another look at calendar anomalies
Chatzitzisi, Evanthia
;
Fountas, Stilianos
; …
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 823-840
Persistent link: https://www.econbiz.de/10012655712
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9
Housing price dynamics : the impact of stock market sentiment and the spillover effect
Zheng, Yao
;
Osmer, Eric
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 854-867
Persistent link: https://www.econbiz.de/10012655714
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10
Correlations and volatility spillovers between China and Southeast Asian stock markets
Zhong, Yi
;
Liu, Jiapeng
- In:
The quarterly review of economics and finance : journal …
81
(
2021
),
pp. 57-69
Persistent link: https://www.econbiz.de/10012656194
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