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Search: subject_exact:"ARCH model"
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Zeitreihenanalyse
ARCH model
155
ARCH-Modell
155
Volatility
108
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108
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52
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52
Aktienmarkt
41
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41
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35
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Huang, Zhuo
2
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2
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2
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2
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1
Babikir, Ali
1
Bekiros, Stelios
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Economic modelling
Journal of econometrics
42
Journal of empirical finance
37
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
International journal of forecasting
30
Energy economics
29
Finance research letters
28
Applied economics
27
Economics letters
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
21
International review of financial analysis
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of forecasting
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Journal of risk and financial management : JRFM
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Research in international business and finance
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Econometric reviews
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International review of economics & finance : IREF
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12
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11
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11
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11
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10
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
International journal of finance & economics : IJFE
8
The European journal of finance
8
Applied economics letters
7
CBN journal of applied statistics
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Journal of economic dynamics & control
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ECONIS (ZBW)
31
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1
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:
2
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:
3
Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market
Liu, Wei
;
Garrett, Ian
- In:
Economic modelling
128
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
Saved in:
4
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
5
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
6
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
7
Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min
;
Taylor, James W.
;
Choo, Wei Chong
- In:
Economic modelling
93
(
2020
),
pp. 651-659
Persistent link: https://www.econbiz.de/10012430324
Saved in:
8
Dynamic frequency connectedness between oil and natural gas volatilities
Lovcha, Yuliya
;
Perez-Laborda, Alejandro
- In:
Economic modelling
84
(
2020
),
pp. 181-189
Persistent link: https://www.econbiz.de/10012210340
Saved in:
9
Testing extreme dependence in financial time series
Chaudhuri, Kausik
;
Sen, Rituparna
;
Tan, Zheng
- In:
Economic modelling
73
(
2018
),
pp. 378-394
Persistent link: https://www.econbiz.de/10012100537
Saved in:
10
Macroeconomic and financial effects of oil price shocks : evidence for the euro area
Morana, Claudio
- In:
Economic modelling
64
(
2017
),
pp. 82-96
Persistent link: https://www.econbiz.de/10011756484
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