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~isPartOf:"Australian economic papers"
~isPartOf:"Cardiff economics working papers"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Research paper series / Swiss Finance Institute"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Bauwens, Luc"
~person:"Gallo, Giampiero M."
~person:"Haas, Markus"
~person:"Karanasos, Menelaos"
~person:"Lahiani, Amine"
~person:"Wang, Tianyi"
~subject:"Capital income"
~subject:"Forecasting model"
~subject:"Gold"
~subject:"Kapitaleinkommen"
~subject:"Statistical distribution"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"ARCH model"
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12
ARCH-Modell
12
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8
Volatilität
8
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Karanasos, Menelaos
Lahiani, Amine
Wang, Tianyi
Nam, Kiseok
3
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2
Carnero, M. Angeles
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Chen Zhou
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Australian economic papers
Cardiff economics working papers
Journal of empirical finance
Research paper series / Swiss Finance Institute
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Economic modelling
5
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3
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ECONIS (ZBW)
11
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1
The effects of economic uncertainty on financial volatility : a comprehensive investigation
Tong, Chen
;
Huang, Zhuo
;
Wang, Tianyi
;
Zhang, Cong
- In:
Journal of empirical finance
73
(
2023
),
pp. 369-389
Persistent link: https://www.econbiz.de/10014477040
Saved in:
2
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
3
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
4
Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos
;
Paraskevopoulos, Alexandros G.
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
Saved in:
5
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian
;
Karanasos, Menelaos
;
Zeng, Ning
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
Saved in:
6
Skew-normal mixture and Markov-switching GARCH processes
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10009515142
Saved in:
7
A component GARCH model with time varying weights
Bauwens, Luc
;
Storti, Giuseppe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
Saved in:
8
Volatility components and long memory-effects revisited
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
11
(
2007
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009513029
Saved in:
9
Volatility estimation via hidden Markov models
Rossi, Alessandro
;
Gallo, Giampiero M.
- In:
Journal of empirical finance
13
(
2006
)
2
,
pp. 203-230
Persistent link: https://www.econbiz.de/10003296949
Saved in:
10
A re-examination of the asymmetric power ARCH model
Karanasos, Menelaos
;
Kim, Jinki
- In:
Journal of empirical finance
13
(
2006
)
1
,
pp. 113-128
Persistent link: https://www.econbiz.de/10003278634
Saved in:
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