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~isPartOf:"Applied financial economics"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Search: subject_exact:"ARCH model"
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ARCH model
666
ARCH-Modell
666
Volatility
396
Volatilität
396
Theorie
209
Theory
209
Estimation
195
Schätzung
195
Time series analysis
161
Zeitreihenanalyse
161
Capital income
158
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158
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124
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124
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122
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664
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664
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664
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Francq, Christian
15
Zakoïan, Jean-Michel
11
Teräsvirta, Timo
8
Bauwens, Luc
7
Bollerslev, Tim
7
Hafner, Christian M.
7
Paolella, Marc S.
7
Zhu, Ke
7
Engle, Robert F.
6
Huang, Zhuo
6
Ling, Shiqing
6
Tse, Yiu Kuen
6
Conrad, Christian
5
Iglesias, Emma M.
5
Laurent, Sébastien
5
Li, Wai Keung
5
Maheu, John M.
5
Caporin, Massimiliano
4
Dijk, Dick van
4
Dufays, Arnaud
4
Ghysels, Eric
4
Hallin, Marc
4
Horváth, Lajos
4
Karanasos, Menelaos
4
Li, Dong
4
Li, Guodong
4
Lucas, André
4
Ma, Feng
4
McAleer, Michael
4
Mittnik, Stefan
4
Patton, Andrew J.
4
Sheppard, Kevin
4
Tsui, Albert K.
4
Wang, Tianyi
4
Wang, Yudong
4
Xiu, Dacheng
4
Zhang, Yaojie
4
Andreou, Elena
3
Arouri, Mohamed
3
Chiang, Min-Hsien
3
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HFDF <2, 1998, Zürich>
1
Published in...
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Applied financial economics
Economic modelling
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
259
Finance research letters
191
Applied economics
163
International review of financial analysis
144
International review of economics & finance : IREF
125
Research in international business and finance
125
The North American journal of economics and finance : a journal of financial economics studies
123
Journal of banking & finance
113
Economics letters
109
Journal of international financial markets, institutions & money
107
Discussion paper / Tinbergen Institute
98
International journal of forecasting
96
Journal of risk and financial management : JRFM
88
Journal of forecasting
87
Applied economics letters
79
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
76
The European journal of finance
74
The journal of futures markets
74
Econometric theory
73
Econometric Institute research papers
69
Working paper
68
International Journal of Energy Economics and Policy : IJEEP
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
International journal of finance & economics : IJFE
51
International journal of economics and financial issues : IJEFI
49
Econometric reviews
47
Journal of international money and finance
46
International journal of economics and finance
45
Review of quantitative finance and accounting
44
CREATES research paper
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
42
The econometrics journal
40
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ECONIS (ZBW)
666
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
3
Dynamic dependence of futures basis between the Chinese and international grains markets
Wang, Hao
;
Dong, Yizhe
;
Sun, Mingli
;
Shi, Baofeng
;
Ji, Hao
- In:
Economic modelling
130
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014451147
Saved in:
4
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
5
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
6
Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Zhao, Xiaojun
;
Zhang, Na
;
Zhang, Yali
;
Xu, Chao
;
Shang, …
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-
Persistent link: https://www.econbiz.de/10014578531
Saved in:
7
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
8
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
9
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
10
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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