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~institution:"Centre for Analytical Finance <Århus>"
~institution:"Finance Discipline Group, Business School"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
ARCH model
10
ARCH-Modell
10
GARCH
6
Theorie
6
Theory
6
Time series analysis
5
Volatility
4
Volatilität
4
Estimation
2
Heteroscedasticity
2
Heteroskedastizität
2
Schätzung
2
1999-2000
1
ARCH
1
Bond market
1
Capital income
1
Interest rate
1
Kapitaleinkommen
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Preistheorie
1
Price theory
1
Rentenmarkt
1
Robust statistics
1
Robustes Verfahren
1
Simulation
1
Spillover effect
1
Spillover-Effekt
1
Statistical distribution
1
Statistische Verteilung
1
USA
1
United States
1
Zins
1
asymmetric GARCH models
1
asymmetry
1
autocorrelation function of squared observations
1
buyouts
1
conditional overlay
1
conditional variance model
1
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Book / Working Paper
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Arbeitspapier
5
Graue Literatur
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Non-commercial literature
5
Working Paper
5
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English
5
Author
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Koulikov, Dmitri
2
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Lunde, Asger
1
Rahbek, Anders
1
Tolver Jensen, Søren
1
Institution
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Centre for Analytical Finance <Århus>
Finance Discipline Group, Business School
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
5
Ekonomiska forskningsinstitutet <Stockholm>
3
Econometrisch Instituut <Rotterdam>
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
National Bureau of Economic Research
2
University of Canterbury / Dept. of Economics and Finance
2
William Davidson Institute <Ann Arbor, Mich.>
2
Center for Economic Research <Tilburg>
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
European University Institute / Department of Economics
1
Fachhochschule Stralsund / Fachbereich Wirtschaft
1
Gottfried Wilhelm Leibniz Universität Hannover
1
Institut für Schweizerisches Bankwesen <Zürich>
1
International Center for Financial Asset Management and Engineering
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Konjunkturinstitutet <Stockholm>
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
1
Springer Fachmedien Wiesbaden
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
Taylor and Francis.
1
University of Chicago / Graduate School of Business
1
University of Chicago / Graduate School of Business / Department of Economics
1
University of Strathclyde / Department of Economics
1
Université de Montréal / Département de sciences économiques
1
Westfälische Wilhelms-Universität Münster
1
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
5
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ECONIS (ZBW)
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1
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
2
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
Saved in:
3
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
4
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
5
A comparison of volatility models : does anything beat a
GARCH
(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
Saved in:
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