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person:"Chang, Chia-Lin"
~person:"Kumar, Dilip"
~subject:"Zeitreihenanalyse"
~subject:"Ölpreis"
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Search: subject_exact:"GARCH-Modell"
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Zeitreihenanalyse
Ölpreis
ARCH model
114
ARCH-Modell
114
Volatility
96
Volatilität
96
Estimation
45
Schätzung
45
Capital income
32
Kapitaleinkommen
32
Spillover effect
32
Spillover-Effekt
32
Oil price
29
Commodity derivative
26
Rohstoffderivat
26
Time series analysis
23
Forecasting model
22
Prognoseverfahren
22
Welt
20
World
20
Taiwan
18
Estimation theory
15
Schätztheorie
15
Theorie
15
Theory
15
Spot market
14
Spotmarkt
14
Hedging
13
International tourism
13
Internationaler Tourismus
13
Exchange rate
12
Risikomaß
12
Risk measure
12
Wechselkurs
12
Futures
11
Portfolio selection
11
Portfolio-Management
11
USA
11
United States
11
Börsenkurs
10
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20
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7
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Book / Working Paper
23
Article
19
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Article in journal
19
Aufsatz in Zeitschrift
19
Arbeitspapier
17
Graue Literatur
17
Non-commercial literature
17
Working Paper
17
Language
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English
42
Author
All
Chang, Chia-Lin
Kumar, Dilip
McAleer, Michael
74
Ma, Feng
36
Teräsvirta, Timo
29
Gupta, Rangan
26
Caporin, Massimiliano
21
Lütkepohl, Helmut
20
Koopman, Siem Jan
17
Bauwens, Luc
15
Hammoudeh, Shawkat
15
Wang, Yudong
15
Bouri, Elie
14
Lucas, André
14
Zhang, Yaojie
14
Filis, George
13
Hafner, Christian M.
13
Hansen, Peter Reinhard
13
Huang, Zhuo
13
Nguyen, Duc Khuong
13
Caporale, Guglielmo Maria
12
Conrad, Christian
12
Degiannakis, Stavros
12
Ji, Qiang
12
Saikkonen, Pentti
12
Serletis, Apostolos
12
Wei, Yu
12
Allen, David E.
11
Francq, Christian
11
Hallin, Marc
11
Medeiros, Marcelo C.
11
Mensi, Walid
11
Rombouts, Jeroen V. K.
11
Silvennoinen, Annastiina
11
Engle, Robert F.
10
Li, Wai Keung
10
Nelson, Daniel B.
10
Nielsen, Morten Ørregaard
10
Rahbek, Anders
10
Ruiz, Esther
10
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University of Canterbury / Dept. of Economics and Finance
1
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Econometric Institute research papers
11
Working paper
4
Discussion paper / Tinbergen Institute
2
Economic modelling
2
Energy economics
2
International review of economics & finance : IREF
2
Theoretical economics letters
2
American journal of finance and accounting
1
Decision
1
Econometrics : open access journal
1
Economics letters
1
IIMB management review
1
Journal of economic research
1
Margin: the journal of applied economic research
1
Paradigm : the journal of Institute of Management Technology
1
Review of accounting & finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of prediction markets
1
Tinbergen Institute Discussion Paper 2018-052/III
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ECONIS (ZBW)
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31
Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market
Kumar, Dilip
;
Maheswaran, S.
- In:
Decision
40
(
2013
)
1/2
,
pp. 117-134
Persistent link: https://www.econbiz.de/10010381136
Saved in:
32
An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
33
Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip
;
Maheswaran, S.
- In:
Review of accounting & finance
12
(
2013
)
1
,
pp. 23-43
Persistent link: https://www.econbiz.de/10010126725
Saved in:
34
Return, volatility and risk spillover from oil prices and the US dollar exchange rate to the Indian industrial sectors
Kumar, Dilip
;
Maheswaran, S.
- In:
Margin: the journal of applied economic research
7
(
2013
)
1
,
pp. 61-91
Persistent link: https://www.econbiz.de/10009738171
Saved in:
35
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
36
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
37
Volatility persistence in the presence of structural breaks in the Indian banking sector
Kumar, Dilip
;
Maheswaran, S.
- In:
Paradigm : the journal of Institute of Management Technology
15
(
2011
)
1/2
,
pp. 8-17
Persistent link: https://www.econbiz.de/10011758435
Saved in:
38
Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669344
Saved in:
39
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669351
Saved in:
40
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2010
Persistent link: https://www.econbiz.de/10008669993
Saved in:
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