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~isPartOf:"Econometric reviews"
~isPartOf:"Journal of international money and finance"
~subject:"Korrelation"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Korrelation
ARCH model
93
ARCH-Modell
93
Volatility
49
Volatilität
49
Theorie
39
Theory
39
Estimation
24
Schätzung
24
Time series analysis
16
Zeitreihenanalyse
16
Estimation theory
15
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15
Exchange rate
14
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14
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13
Capital income
13
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13
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12
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12
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Statistischer Test
8
EU countries
7
EU-Staaten
7
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7
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7
GARCH
7
International financial market
7
Internationaler Finanzmarkt
7
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Aufsatz in Zeitschrift
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13
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English
13
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Teräsvirta, Timo
2
Becker, Christoph
1
Berben, Robert-Paul
1
Catani, Paul
1
Chang, Kook-hyun
1
Connor, Gregory
1
Ferreira, Miguel A.
1
Golosnoy, Vasyl
1
Gribisch, Bastian
1
Heil, Thomas L. A.
1
Jansen, Willem Jos
1
Javed, Farrukh
1
Jondeau, Eric
1
Kim, Myung-jig
1
Kwan, W.
1
Li, Wai Keung
1
Liesenfeld, Roman
1
Ng, K. W.
1
Orme, Chris D.
1
Peter, Franziska Julia
1
Prange, Philipp
1
Rockinger, Michael
1
Schmidt, Wolfgang M.
1
Shadat, Wasel
1
Silvennoinen, Annastiina
1
Suurlaht, Anita
1
Virk, Nader
1
Yin, Meiqun
1
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Econometric reviews
Journal of international money and finance
Finance research letters
25
Research in international business and finance
23
Economic modelling
21
Journal of empirical finance
20
Energy economics
18
Applied economics
16
International review of financial analysis
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of international financial markets, institutions & money
16
International review of economics & finance : IREF
15
Journal of banking & finance
14
Economics letters
11
Journal of econometrics
11
Applied economics letters
9
The North American journal of economics and finance : a journal of financial economics studies
9
Computational economics
8
Journal of financial econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
8
The journal of futures markets
7
International journal of forecasting
6
Review of quantitative finance and accounting
6
The European journal of finance
6
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International Journal of Energy Economics and Policy : IJEEP
5
International journal of economics and financial issues : IJEFI
5
Journal of forecasting
5
Journal of risk and financial management : JRFM
5
Econometrics : open access journal
4
Global business review
4
International journal of finance & economics : IJFE
4
Investment management and financial innovations
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Applied financial economics
3
Econometric theory
3
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3
Global finance journal
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ECONIS (ZBW)
13
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1
Measuring 25 years of global equity market co-movement using a time-varying spatial model
Heil, Thomas L. A.
;
Peter, Franziska Julia
;
Prange, Philipp
- In:
Journal of international money and finance
128
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013438365
Saved in:
2
Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel
;
Orme, Chris D.
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 551-576
Persistent link: https://www.econbiz.de/10012039397
Saved in:
3
European equity market integration and joint relationship of conditional volatility and correlations
Virk, Nader
;
Javed, Farrukh
- In:
Journal of international money and finance
71
(
2017
),
pp. 53-77
Persistent link: https://www.econbiz.de/10011787669
Saved in:
4
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 599-621
Persistent link: https://www.econbiz.de/10011795292
Saved in:
5
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
Saved in:
6
Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of international money and finance
53
(
2015
),
pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
Saved in:
7
How past market movements affect correlation and volatility
Becker, Christoph
;
Schmidt, Wolfgang M.
- In:
Journal of international money and finance
50
(
2015
),
pp. 78-107
Persistent link: https://www.econbiz.de/10010465421
Saved in:
8
Dynamic stock market covariances in the Eurozone
Connor, Gregory
;
Suurlaht, Anita
- In:
Journal of international money and finance
37
(
2013
),
pp. 353-370
Persistent link: https://www.econbiz.de/10010209054
Saved in:
9
A multivariate threshold varying conditional correlations model
Kwan, W.
;
Li, Wai Keung
;
Ng, K. W.
- In:
Econometric reviews
29
(
2010
)
1
,
pp. 20-38
Persistent link: https://www.econbiz.de/10003943399
Saved in:
10
The Copula-GARCH model of conditional dependencies : an international stock market application
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of international money and finance
25
(
2006
)
5
,
pp. 827-853
Persistent link: https://www.econbiz.de/10003405036
Saved in:
1
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