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subject:"United States"
type_genre:"Article in journal"
~person:"Engle, Robert F."
~person:"Lanne, Markku"
~subject:"1953-1990"
~subject:"ARCH-Modell"
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United States
1953-1990
ARCH-Modell
Estimation
26
Schätzung
26
USA
17
Theorie
15
Theory
15
Volatility
8
Volatilität
8
Capital income
7
Kapitaleinkommen
7
Börsenkurs
6
Share price
6
Time series analysis
6
Zeitreihenanalyse
6
Option pricing theory
5
Optionspreistheorie
5
ARCH model
4
Forecasting model
4
Prognoseverfahren
4
Exchange rate
3
Japan
3
Wechselkurs
3
Yield curve
3
Zinsstruktur
3
Ankündigungseffekt
2
Announcement effect
2
Autocorrelation
2
Autokorrelation
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Bank risk
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Bankenaufsicht
2
Bankenkrise
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Banking crisis
2
Banking supervision
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Bankrisiko
2
Beta risk
2
Betafaktor
2
CAPM
2
Deutschland
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EU countries
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Article
18
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Article in journal
Arbeitspapier
31
Working Paper
31
Graue Literatur
30
Non-commercial literature
30
Aufsatz in Zeitschrift
18
Aufsatz im Buch
1
Book section
1
Collection of articles written by one author
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English
18
Author
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Engle, Robert F.
Lanne, Markku
Gupta, Rangan
67
Bahmani-Oskooee, Mohsen
38
Gil-Alaña, Luis A.
37
Caporale, Guglielmo Maria
28
Wohar, Mark E.
25
Kumar, Dilip
19
Ma, Feng
18
McAleer, Michael
18
Apergēs, Nikolaos
17
Bouri, Elie
17
Serletis, Apostolos
17
Balcilar, Mehmet
16
Tiwari, Aviral Kumar
15
Hamori, Shigeyuki
14
Heckman, James J.
14
Hsing, Yu
14
Bollerslev, Tim
13
Payne, James E.
13
Brooks, Robert
12
Cebula, Richard J.
12
Chiang, Thomas C.
12
Neumark, David
12
Salisu, Afees A.
12
Yoon, Seong-min
12
Chang, Tsangyao
11
Hammoudeh, Shawkat
11
Jawadi, Fredj
11
Koopman, Siem Jan
11
Malik, Farooq
11
Sarno, Lucio
11
Wu, Xinyu
11
Caporin, Massimiliano
10
Floros, Christos
10
Glaeser, Edward L.
10
Hamermesh, Daniel S.
10
Huang, Zhuo
10
Kang, Sang Hoon
10
Miller, Stephen M.
10
Adrangi, Bahram
9
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
The review of economics and statistics
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of financial economics
1
Journal of financial markets
1
Journal of money, credit and banking : JMCB
1
Review of derivatives research
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of finance : the journal of the American Finance Association
1
The review of financial studies
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ECONIS (ZBW)
18
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18
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1
A new time-varying parameter autoregressive model for U.S. inflation expectations
Lanne, Markku
;
Luoto, Jani
- In:
Journal of money, credit and banking : JMCB
49
(
2017
)
5
,
pp. 969-995
Persistent link: https://www.econbiz.de/10011946516
Saved in:
2
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
Noncausality and inflation persistence
Lanne, Markku
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 469-481
Persistent link: https://www.econbiz.de/10011339417
Saved in:
4
A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
Saved in:
5
A mixture mutliplicative error model for realized volatility
Lanne, Markku
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 594-616
Persistent link: https://www.econbiz.de/10003565744
Saved in:
6
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
7
Nob-linear GARCH models for highly persistent volatility
Lanne, Markku
;
Saikkonen, Pentti
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 251-276
Persistent link: https://www.econbiz.de/10003018967
Saved in:
8
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
Saved in:
9
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.
;
Patton, Andrew J.
- In:
Journal of financial markets
7
(
2004
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10001868857
Saved in:
10
Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku
;
Saikkonen, Pentti
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 96-125
Persistent link: https://www.econbiz.de/10002220969
Saved in:
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