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~isPartOf:"Economic modelling"
~isPartOf:"International journal of economics and finance"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"ARCH model"
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ARCH model
462
ARCH-Modell
462
Volatility
300
Volatilität
300
Estimation
156
Schätzung
156
Theorie
141
Theory
141
Capital income
130
Kapitaleinkommen
130
Time series analysis
118
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118
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102
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102
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92
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92
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79
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Estimation theory
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35
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460
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Aufsatz in Zeitschrift
Article in journal
462
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2
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2
Konferenzbeitrag
2
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2
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Engle, Robert F.
6
Bauwens, Luc
5
Huang, Zhuo
5
Teräsvirta, Timo
5
Hafner, Christian M.
4
Horváth, Lajos
4
Karanasos, Menelaos
4
Ma, Feng
4
Wang, Tianyi
4
Wang, Yudong
4
Zhang, Yaojie
4
Arouri, Mohamed
3
Caporin, Massimiliano
3
Conrad, Christian
3
Dufays, Arnaud
3
Francq, Christian
3
Iglesias, Emma M.
3
Kumar, Dilip
3
Lahiani, Amine
3
Li, Wai Keung
3
Lucas, André
3
Maheu, John M.
3
Mittnik, Stefan
3
Paolella, Marc S.
3
Sheppard, Kevin
3
Shi, Yanlin
3
Stentoft, Lars
3
Todorova, Neda
3
Trojani, Fabio
3
Tsay, Ruey S.
3
Tse, Yiu Kuen
3
Tsui, Albert K.
3
Wu, Chongfeng
3
Abdalla, Suliman Zakaria Suliman
2
Ahmed, Abdullahi Dahir
2
Amado, Cristina
2
Audrino, Francesco
2
Azimi, Mohammad Naim
2
Belkhouja, Mustapha
2
BenSaïda, Ahmed
2
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HFDF <2, 1998, Zürich>
1
Published in...
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Economic modelling
International journal of economics and finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
259
Finance research letters
191
Applied economics
163
Journal of econometrics
146
International review of financial analysis
144
International review of economics & finance : IREF
125
Research in international business and finance
125
The North American journal of economics and finance : a journal of financial economics studies
123
Journal of banking & finance
113
Economics letters
109
Journal of international financial markets, institutions & money
107
Applied financial economics
101
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
74
The journal of futures markets
74
Econometric theory
73
International Journal of Energy Economics and Policy : IJEEP
63
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
51
International journal of economics and financial issues : IJEFI
49
Econometric reviews
47
Journal of international money and finance
46
Review of quantitative finance and accounting
44
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
42
The econometrics journal
40
Computational economics
39
Pacific-Basin finance journal
38
Cogent economics & finance
37
Journal of applied econometrics
37
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ECONIS (ZBW)
462
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462
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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
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
3
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:
4
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:
5
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
6
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-
Persistent link: https://www.econbiz.de/10014578531
Saved in:
7
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:
8
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:
9
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:
10
The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants
Pan, Beier
- In:
Economic modelling
124
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463273
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