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Search: subject_exact:"ARCH model"
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ARCH model
155
ARCH-Modell
155
Volatility
108
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108
Estimation
52
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52
Aktienmarkt
41
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41
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35
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Arouri, Mohamed
3
Huang, Zhuo
3
Iglesias, Emma M.
3
Kumar, Dilip
3
Lahiani, Amine
3
Ma, Feng
3
Todorova, Neda
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2
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1
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Economic modelling
Energy economics
259
Finance research letters
191
Applied economics
163
Journal of econometrics
147
International review of financial analysis
144
Journal of empirical finance
133
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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Journal of financial econometrics : official journal of the Society for Financial Econometrics
64
International Journal of Energy Economics and Policy : IJEEP
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
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
International journal of economics and finance
45
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
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Computational economics
39
Pacific-Basin finance journal
38
Cogent economics & finance
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ECONIS (ZBW)
155
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51
Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model
Zhang, Heng-Guo
;
Su, Chi-Wei
;
Song, Yan
;
Qiu, Shuqi
; …
- In:
Economic modelling
67
(
2017
),
pp. 355-367
Persistent link: https://www.econbiz.de/10011813839
Saved in:
52
Return and volatility spillovers effects : evaluating the impact of Shanghai-Hong Kong Stock Connect
Huo, Rui
;
Ahmed, Abdullahi Dahir
- In:
Economic modelling
61
(
2017
),
pp. 260-272
Persistent link: https://www.econbiz.de/10011736875
Saved in:
53
Do oil producing countries offer international diversification benefits? : evidence from GCC countries
Mimouni, Karim
;
Charfeddine, Lanouar
;
Al-Azzam, Moh'd
- In:
Economic modelling
57
(
2016
),
pp. 263-280
Persistent link: https://www.econbiz.de/10011646913
Saved in:
54
Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis
- In:
Economic modelling
58
(
2016
),
pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
Saved in:
55
Short selling constraints and stock returns volatility : empirical evidence from the German stock market
Bohl, Martin T.
;
Reher, Gerrit
;
Wilfling, Bernd
- In:
Economic modelling
58
(
2016
),
pp. 159-166
Persistent link: https://www.econbiz.de/10011647079
Saved in:
56
Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Avdoulas, Christos
;
Bekiros, Stelios
;
Boubaker, Sabri
- In:
Economic modelling
58
(
2016
),
pp. 580-587
Persistent link: https://www.econbiz.de/10011647569
Saved in:
57
Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis
Kim, Hyun Seok
;
Min, Hong-ghi
;
McDonald, Judith Ann
- In:
Economic modelling
59
(
2016
),
pp. 9-22
Persistent link: https://www.econbiz.de/10011647590
Saved in:
58
A discussion on the innovation distribution of the Markov regime-switching GARCH model
Shi, Yanlin
;
Feng, Lingbing
- In:
Economic modelling
53
(
2016
),
pp. 278-288
Persistent link: https://www.econbiz.de/10011641034
Saved in:
59
Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis
Charfeddine, Lanouar
- In:
Economic modelling
53
(
2016
),
pp. 354-374
Persistent link: https://www.econbiz.de/10011641058
Saved in:
60
Is gold a hedge against inflation? : new evidence from a nonlinear ARDL approach
Hoang, Thi Hong Van
;
Lahiani, Amine
;
Heller, David
- In:
Economic modelling
54
(
2016
),
pp. 54-66
Persistent link: https://www.econbiz.de/10011641377
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