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isPartOf:"The econometrics journal"
~isPartOf:"Annals of financial economics"
~isPartOf:"Applied economics"
~subject:"Schätztheorie"
~subject:"Schätzung"
~subject:"Statistischer Test"
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Search: subject_exact:"ARCH-Modell"
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Schätztheorie
Schätzung
Statistischer Test
ARCH model
224
ARCH-Modell
224
Volatility
127
Volatilität
127
Estimation
67
Theorie
64
Theory
64
Börsenkurs
55
Share price
55
Aktienmarkt
46
Stock market
46
Time series analysis
46
Zeitreihenanalyse
46
Forecasting model
45
Prognoseverfahren
45
Capital income
42
Kapitaleinkommen
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Estimation theory
29
GARCH
29
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27
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USA
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Oil price
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Spillover effect
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Spillover-Effekt
17
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17
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15
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93
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93
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English
93
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Blazsek, Szabolcs
4
Kim, Jong-Min
4
Zhang, Yaojie
3
Hafner, Christian M.
2
Hwang, Sun Young
2
Jung, Hojin
2
Liang, Chao
2
Licht, Adrian
2
Ma, Feng
2
Paolella, Marc S.
2
Wei, Yu
2
Wen, Fenghua
2
Čížek, Pavel
2
Abadir, Karim Maher
1
Albulescu, Claudiu Tiberiu
1
Allen, David E.
1
Ardia, David
1
Arespa, Marta
1
Arvanitis, Stelios
1
Aubin, Christian
1
Ayala, Astrid Loretta
1
Bagirov, Miramir
1
Bampinas, Georgios
1
Banerjee, Ameet Kumar
1
Benlagha, Noureddine
1
Bilson, John F.
1
Bird, Graham R.
1
Bodman, Philip M.
1
Bojnec, Štefan
1
Boroumand, Raphaël Homayoun
1
Bose, Shekar
1
Casalin, Fabrizio
1
Chang, Bisharat Hussain
1
Chang, Kuang-liang
1
Charbonneau, Alain
1
Chatzikonstanti, Vasiliki
1
Cheng, Jen-chi
1
Chiu, Yen-Chen
1
Chowdhury, Biplob
1
Chuang, I-Yuan
1
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The econometrics journal
Annals of financial economics
Applied economics
Journal of econometrics
72
Energy economics
71
Finance research letters
63
Economic modelling
58
Journal of empirical finance
53
International review of economics & finance : IREF
52
International review of financial analysis
48
The North American journal of economics and finance : a journal of financial economics studies
48
Econometric theory
39
Economics letters
39
Journal of international financial markets, institutions & money
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
37
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
37
Discussion paper / Tinbergen Institute
36
International journal of forecasting
36
Journal of risk and financial management : JRFM
36
Applied economics letters
35
Research in international business and finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
Journal of banking & finance
30
International journal of economics and financial issues : IJEFI
29
Econometric reviews
27
Applied financial economics
26
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
24
International journal of finance & economics : IJFE
23
International journal of economics and finance
22
Journal of risk
22
The European journal of finance
22
Working paper
22
Econometric Institute research papers
21
Journal of forecasting
21
The journal of futures markets
21
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
21
Journal of financial econometrics
20
International Journal of Energy Economics and Policy : IJEEP
19
Review of quantitative finance and accounting
18
CREATES research paper
17
Computational economics
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ECONIS (ZBW)
93
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1
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10
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93
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date (oldest first)
1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Spillovers from stock markets to currency markets : evidence from Copula-CoVar with time-varying higher moments
Usman, Muhammad
;
Umar, Zaghum
;
Gubareva, Mariya
;
Dang …
- In:
Applied economics
55
(
2023
)
52
,
pp. 6091-6114
Persistent link: https://www.econbiz.de/10014381519
Saved in:
3
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
4
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
5
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
6
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
7
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
Saved in:
8
Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX
Wu, Xinyu
;
Xia, Michelle
;
Li, Xindan
- In:
Applied economics
55
(
2023
)
20
,
pp. 2273-2291
Persistent link: https://www.econbiz.de/10014294916
Saved in:
9
Forecasting stock market realized volatility : the role of global terrorist attacks
Wen, Danyan
;
He, Mengxi
;
Wang, Yudong
;
Zhang, Yaojie
- In:
Applied economics
55
(
2023
)
22
,
pp. 2551-2566
Persistent link: https://www.econbiz.de/10014295065
Saved in:
10
Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun
;
Hwang, Sun Young
;
Kim, Jong-Min
;
Kim, Sahm
- In:
Applied economics
55
(
2023
)
3
,
pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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