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~isPartOf:"Cardiff economics working papers"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Quantitative finance"
~isPartOf:"Research paper series / Swiss Finance Institute"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Asymmetry"
~subject:"Capital income"
~subject:"Forecasting model"
~subject:"Gold"
~subject:"Statistical distribution"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Asymmetry
Capital income
Forecasting model
Gold
Statistical distribution
Theorie
ARCH model
393
ARCH-Modell
393
Volatility
267
Volatilität
267
Estimation
132
Schätzung
132
Theory
122
Kapitaleinkommen
110
Time series analysis
105
Zeitreihenanalyse
105
Prognoseverfahren
86
Börsenkurs
82
Share price
82
Aktienmarkt
66
Stock market
66
Risikomaß
64
Risk measure
64
Correlation
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Korrelation
47
Estimation theory
40
Schätztheorie
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USA
37
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Welt
37
World
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36
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36
Statistische Verteilung
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Oil price
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Spillover effect
35
Spillover-Effekt
35
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Portfolio selection
32
Portfolio-Management
32
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244
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Aufsatz in Zeitschrift
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245
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Ma, Feng
6
Zhang, Yaojie
4
Gallo, Giampiero M.
3
Gerlach, Richard
3
Gupta, Rangan
3
Haas, Markus
3
Huang, Zhuo
3
Karanasos, Menelaos
3
Nam, Kiseok
3
Shi, Yanlin
3
Storti, Giuseppe
3
Todorova, Neda
3
Wang, Tianyi
3
Wang, Yudong
3
Aknouche, Abdelhakim
2
Aragó Manzana, Vicent
2
Badescu, Alexandru
2
Bauwens, Luc
2
Carnero, M. Angeles
2
Chan, Jennifer So Kuen
2
Chen Zhou
2
Chevallier, Julien
2
Christensen, Bent Jesper
2
Dark, Jonathan
2
Dimitrakopoulos, Stefanos
2
Dufays, Arnaud
2
Fałdziński, Marcin
2
Fiszeder, Piotr
2
Herwartz, Helmut
2
Ho, Kin-Yip
2
Jayawardena, Nirodha I.
2
Khashanah, Khaldoun
2
Kiliç, Rehim
2
Kim, Chang-jin
2
Kok Haur Ng
2
Lahiani, Amine
2
Li, Bin
2
Liang, Fang
2
Liu, Jing
2
Liu, Xiaoquan
2
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HFDF <2, 1998, Zürich>
1
Published in...
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Cardiff economics working papers
Economic modelling
Journal of empirical finance
Quantitative finance
Research paper series / Swiss Finance Institute
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
113
Finance research letters
113
Applied economics
88
International review of financial analysis
88
International journal of forecasting
86
Journal of econometrics
83
The North American journal of economics and finance : a journal of financial economics studies
81
Journal of forecasting
80
International review of economics & finance : IREF
72
Journal of banking & finance
64
Research in international business and finance
63
Journal of international financial markets, institutions & money
61
Economics letters
56
Journal of risk and financial management : JRFM
48
The European journal of finance
46
Applied financial economics
45
Applied economics letters
44
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
Journal of financial econometrics : official journal of the Society for Financial Econometrics
41
Econometric theory
38
Econometric reviews
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
29
International Journal of Energy Economics and Policy : IJEEP
29
International journal of finance & economics : IJFE
29
Review of quantitative finance and accounting
29
Computational economics
27
Journal of applied econometrics
27
Journal of financial econometrics
27
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
26
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
24
International journal of economics and finance
24
Pacific-Basin finance journal
24
Journal of risk
23
The econometrics journal
23
Cogent economics & finance
21
Risks : open access journal
21
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ECONIS (ZBW)
245
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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
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
3
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
4
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
5
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:
6
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
7
Volatility and dependence in cryptocurrency and financial markets : a copula approach
Liu, Jinan
;
Serletis, Apostolos
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 119-149
Persistent link: https://www.econbiz.de/10014506890
Saved in:
8
Optimal portfolio allocation and asset centrality revisited
Olmo, Jose
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1475-1490
Persistent link: https://www.econbiz.de/10012624148
Saved in:
9
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
10
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
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