//--> //--> //--> //-->
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
~isPartOf:"Applied economics"
~isPartOf:"Decision making and risk/return optimization in financial economics"
~isPartOf:"Economic modelling"
~isPartOf:"Working paper"
~person:"Blazsek, Szabolcs"
~person:"Cheffou, Abdoulkarim Idi"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Insolvency"
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:"ARCH model"
Narrow search
Delete all filters
| 9 applied filters
Year of publication
From:
To:
Subject
All
ARCH-Modell
Börsenkurs
Insolvency
ARCH model
11
Forecasting model
5
Prognoseverfahren
5
Time series analysis
5
Zeitreihenanalyse
5
Estimation
4
Schätzung
4
Theorie
4
Theory
4
Volatility
4
Volatilität
4
Beta-t-EGARCH
3
Financial crisis
3
Finanzkrise
3
Risikomaß
3
Risk measure
3
Aktienindex
2
Aktienmarkt
2
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
Dynamic conditional score (DCS) models
2
Estimation theory
2
Schätztheorie
2
Share price
2
Statistical distribution
2
Statistische Verteilung
2
Stock index
2
Stock market
2
Subprime crisis
2
USA
2
United States
2
Welt
2
World
2
density forecasts
2
quasi-autoregressive (QAR) model
2
Ansteckungseffekt
1
Beta risk
1
Betafaktor
1
Bull and bear markets
1
more ...
less ...
Online availability
All
Undetermined
8
Free
1
Type of publication
All
Article
10
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
9
Aufsatz in Zeitschrift
9
Arbeitspapier
1
Aufsatz im Buch
1
Book section
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
more ...
less ...
Language
All
English
11
Author
All
Blazsek, Szabolcs
Cheffou, Abdoulkarim Idi
McAleer, Michael
30
Chang, Chia-Lin
9
Zhang, Yaojie
9
Caporin, Massimiliano
8
Ma, Feng
8
Manera, Matteo
7
Jawadi, Fredj
6
Kim, Jong-Min
5
Roengchai Tansuchat
5
Chen, Chi-chung
4
Iglesias, Emma M.
4
Morana, Claudio
4
Todorova, Neda
4
Wang, Yudong
4
Allen, David E.
3
Arouri, Mohamed
3
Bouri, Elie
3
Chang, Kuang-liang
3
Charfeddine, Lanouar
3
Christiansen, Charlotte
3
Guo, Hui
3
Gupta, Rangan
3
Hammoudeh, Shawkat
3
Hamori, Shigeyuki
3
Huang, Zhuo
3
Jung, Hojin
3
Kumar, Dilip
3
Lahiani, Amine
3
Licht, Adrian
3
Liu, Jing
3
Liu, Li
3
Louhichi, Waël
3
Neely, Christopher J.
3
Nguyen, Duc Khuong
3
Nicolini, Marcella
3
Powell, Robert
3
Roca, Eduardo
3
Roubaud, David
3
more ...
less ...
Published in...
All
Applied economics
Decision making and risk/return optimization in financial economics
Economic modelling
Working paper
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Applied economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
Financial markets and portfolio management
1
Review of quantitative finance and accounting
1
The European journal of finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
11
Showing
1
-
10
of
11
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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:
2
Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012310604
Saved in:
3
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
4
Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj
;
Louhichi, Wael
;
Cheffou, Abdoulkarim Idi
; …
- In:
Decision making and risk/return optimization in …
,
(pp. 275-295)
.
2019
Persistent link: https://www.econbiz.de/10012134816
Saved in:
5
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
6
Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
45
,
pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
Saved in:
7
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
Saved in:
8
On the study of contagion in the context of the subprime crisis : a dynamic conditional correlation-multivariate GARCH approach
Hemche, Omar
;
Jawadi, Fredj
;
Maliki, Samir B.
;
Cheffou, …
- In:
Economic modelling
52
(
2016
),
pp. 292-299
Persistent link: https://www.econbiz.de/10011645655
Saved in:
9
On oil-US exchange rate volatility relationships : an intraday analysis
Jawadi, Fredj
;
Louhichi, Waël
;
Ameur, Hachmi Ben
; …
- In:
Economic modelling
59
(
2016
),
pp. 329-334
Persistent link: https://www.econbiz.de/10011647852
Saved in:
10
Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?
Blazsek, Szabolcs
;
Villatoro, Marco
- In:
Applied economics
47
(
2015
)
16/18
,
pp. 1764-1774
Persistent link: https://www.econbiz.de/10010511965
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->