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~isPartOf:"Econometric Institute research papers"
~subject:"Börsenkurs"
~subject:"Estimation"
~subject:"Kapitalmarktrendite"
~subject:"Stochastic process"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Börsenkurs
Estimation
Kapitalmarktrendite
Stochastic process
Zeitreihenanalyse
ARCH model
69
ARCH-Modell
69
Volatility
40
Volatilität
40
Schätzung
16
Time series analysis
15
Theorie
14
Theory
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Spillover effect
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Oil price
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English
39
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McAleer, Michael
34
Chang, Chia-Lin
16
Asai, Manabu
4
Caporin, Massimiliano
4
Tansuchat, Roengchai
4
Allen, David E.
3
Franses, Philip Hans
3
Hafner, Christian M.
3
Chen, Chi-chung
2
Jimenez-Martin, Juan-Angel
2
Martinet, Guillaume Gaetan
2
Powell, Robert
2
Pérez Amaral, Teodosio
2
Roengchai Tansuchat
2
Singh, Abhay Kumar
2
Bodeutsch, Denice
1
Chan, Felix
1
Chen, Ping-Yu
1
Chu, LanFen
1
Dijk, Dick van
1
Hammoudeh, Shawkat M.
1
Hsu, Hui-Kuang
1
Hsu, Shu-Han
1
Leij, Marco van der
1
Medeiros, Marcelo C.
1
Paap, Richard
1
Pauwels, Laurent
1
Pooter, Michiel de
1
Yuan, Yuan
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Econometrisch Instituut <Rotterdam>
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116
Finance research letters
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101
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International review of economics & finance : IREF
83
Journal of empirical finance
79
International review of financial analysis
78
Journal of econometrics
77
The North American journal of economics and finance : a journal of financial economics studies
77
Research in international business and finance
71
Discussion paper / Tinbergen Institute
62
Journal of international financial markets, institutions & money
58
Journal of risk and financial management : JRFM
58
Applied economics letters
52
International journal of forecasting
52
Economics letters
50
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Journal of banking & finance
48
Journal of financial econometrics : official journal of the Society for Financial Econometrics
45
International Journal of Energy Economics and Policy : IJEEP
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
39
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37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
33
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33
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31
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Econometric reviews
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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1
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011785180
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
3
Asymptotic theory for rotated multivariate GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
-
2018
Persistent link: https://www.econbiz.de/10011920705
Saved in:
4
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
5
The correct egularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: June 2017
Persistent link: https://www.econbiz.de/10011668132
Saved in:
6
The fiction of full BEKK
Chang, Chia-Lin
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011823320
Saved in:
7
Theoretical and empirical differences between diagonal and full BEKK for risk management
Allen, David E.
;
McAleer, Michael
-
2017
Persistent link: https://www.econbiz.de/10011734887
Saved in:
8
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
9
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
Persistent link: https://www.econbiz.de/10011432589
Saved in:
10
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2015
-
Revised: February 2015
Persistent link: https://www.econbiz.de/10011346214
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