//--> //--> //--> //-->
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
person:"Rombouts, Jeroen V. K."
~person:"Francq, Christian"
~person:"Kang, Sang Hoon"
~subject:"Bayes-Statistik"
~subject:"Portfolio selection"
~subject:"Portfolio-Management"
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
Search: subject_exact:"GARCH model"
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
Bayes-Statistik
Portfolio selection
Portfolio-Management
ARCH model
107
ARCH-Modell
107
Volatility
38
Volatilität
38
Theorie
35
Theory
35
Estimation theory
31
Schätztheorie
31
Time series analysis
24
Zeitreihenanalyse
24
Estimation
21
Schätzung
21
Aktienmarkt
17
Risikomaß
17
Risk measure
17
Stock market
17
Börsenkurs
16
Share price
16
Spillover effect
15
Spillover-Effekt
15
Bayesian inference
12
Forecasting model
12
Multivariate Analyse
12
Multivariate analysis
12
Prognoseverfahren
12
Capital income
10
Kapitaleinkommen
10
Maximum likelihood estimation
10
Maximum-Likelihood-Schätzung
10
Markov chain
9
Markov-Kette
9
USA
8
United States
8
Induktive Statistik
7
Option pricing theory
7
Optionspreistheorie
7
Statistical inference
7
more ...
less ...
Online availability
All
Free
9
Undetermined
7
Type of publication
All
Book / Working Paper
11
Article
10
Type of publication (narrower categories)
All
Graue Literatur
11
Non-commercial literature
11
Arbeitspapier
10
Article in journal
10
Aufsatz in Zeitschrift
10
Working Paper
10
Hochschulschrift
1
Thesis
1
more ...
less ...
Language
All
English
21
Author
All
Rombouts, Jeroen V. K.
Francq, Christian
Kang, Sang Hoon
Bauwens, Luc
24
Ardia, David
20
McAleer, Michael
13
Ledoit, Olivier
12
Hoogerheide, Lennart F.
11
Wolf, Michael
11
Chang, Chia-Lin
8
Chen, Cathy W. S.
8
Engle, Robert F.
8
Pozzi, Lorenzo
8
Billio, Monica
7
Bollerslev, Tim
7
Christoffersen, Peter F.
7
De Nard, Gianluca
7
Diebold, Francis X.
7
Dufays, Arnaud
7
Hammoudeh, Shawkat
7
Maheu, John M.
7
Mensi, Walid
7
Dijk, Herman K. van
6
Gupta, Rangan
6
Paolella, Marc S.
6
Politis, Dimitris N.
6
Tiwari, Aviral Kumar
6
Asai, Manabu
5
Casarin, Roberto
5
Chevallier, Julien
5
Dellaportas, Petros
5
Guesmi, Khaled
5
Pipień, Mateusz
5
Polak, Pawel
5
Rengifo, Erick W.
5
Andersen, Torben
4
Arouri, Mohamed
4
Bouri, Elie
4
Caporin, Massimiliano
4
Galeano, Pedro
4
Hafner, Christian M.
4
more ...
less ...
Published in...
All
CORE discussion paper : DP
3
Journal of econometrics
3
The North American journal of economics and finance : a journal of financial economics studies
3
CORE discussion papers : DP
2
CREATES research paper
2
Cahiers de recherche / HEC Montréal, Institut d'Economie Appliquée
1
Discussion papers / UCL, Département des Sciences Economiques
1
ERIM report series research in management
1
Econometric reviews
1
Economic modelling
1
Journal of international financial markets, institutions & money
1
Nouvelle série
1
The econometrics journal
1
more ...
less ...
Source
All
ECONIS (ZBW)
21
Showing
1
-
10
of
21
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries
Mensi, Walid
;
Hammoudeh, Shawkat
;
Xuan Vinh Vo
;
Kang, …
- In:
Journal of international financial markets, …
75
(
2021
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012820834
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
4
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
Saved in:
5
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
6
Risk spillovers and portfolio management between developed and BRICS stock markets
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
41
(
2017
),
pp. 133-155
Persistent link: https://www.econbiz.de/10011878945
Saved in:
7
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009504878
Saved in:
8
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009382620
Saved in:
9
Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
Economic modelling
51
(
2015
),
pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
Saved in:
10
Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2009
Persistent link: https://www.econbiz.de/10003850942
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->