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~isPartOf:"Economic modelling"
~isPartOf:"Economics letters"
~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
463
ARCH-Modell
463
Volatility
293
Volatilität
293
Estimation
137
Schätzung
137
Theorie
137
Theory
137
Time series analysis
112
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461
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463
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Karanasos, Menelaos
7
Huang, Zhuo
6
Conrad, Christian
5
Iglesias, Emma M.
5
Gupta, Rangan
4
Hafner, Christian M.
4
Hwang, Y.
4
Ma, Feng
4
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4
Todorova, Neda
4
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4
Wang, Yudong
4
Zhang, Yaojie
4
Arouri, Mohamed
3
Brooks, Chris
3
Caporin, Massimiliano
3
Demirer, Rıza
3
Engle, Robert F.
3
Fountas, Stilianos
3
Horváth, Lajos
3
Kumar, Dilip
3
Lahiani, Amine
3
Mittnik, Stefan
3
Paolella, Marc S.
3
Pittis, Nikitas
3
Shi, Yanlin
3
Shin, Dong-wan
3
Stentoft, Lars
3
Suardi, Sandy
3
Teräsvirta, Timo
3
Wu, Chongfeng
3
Yin, Libo
3
Ahmed, Abdullahi Dahir
2
Ali, Faek Menla
2
Ardia, David
2
Balaban, Ercan
2
Bauwens, Luc
2
Belkhouja, Mustapha
2
BenSaïda, Ahmed
2
Caporale, Guglielmo Maria
2
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HFDF <2, 1998, Zürich>
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Economic modelling
Economics letters
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
267
Finance research letters
203
Applied economics
164
Journal of econometrics
147
International review of financial analysis
144
Research in international business and finance
128
International review of economics & finance : IREF
125
The North American journal of economics and finance : a journal of financial economics studies
123
Journal of banking & finance
113
Journal of international financial markets, institutions & money
107
Applied financial economics
101
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
76
The journal of futures markets
74
Econometric theory
73
Econometric Institute research papers
69
Working paper
69
International Journal of Energy Economics and Policy : IJEEP
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
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
52
International journal of economics and financial issues : IJEFI
50
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
Computational economics
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
42
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ECONIS (ZBW)
463
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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
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. 1-21
Persistent link: https://www.econbiz.de/10014578531
Saved in:
3
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Zhang, Qian
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
4
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:
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
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
Saved in:
7
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
8
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:
9
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
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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