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~language:"eng"
~source:"econis"
~subject:"ARCH model"
~subject:"GARCH"
~type_genre:"Aufsatz im Buch"
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ARCH model
GARCH
ARCH-Modell
248
Volatility
131
Volatilität
131
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82
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82
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56
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56
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3
Ben Ameur, Hachmi
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3
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3
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2
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2
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2
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2
Christoffersen, Peter F.
2
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2
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2
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2
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2
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2
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2
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Louhichi, Wael
2
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Sin, Chor-yiu
2
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Handbook of financial time series
9
Forecasting volatility in the financial markets
8
Econometric analysis of financial and economic time series ; part a
7
Applied quantitative finance
5
Stock market volatility
5
Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...]
5
Contributions to financial econometrics : theoretical and practical issues
4
Econometric analysis of financial and economic time series ; part B
4
Handbook of research on emerging theories, models, and applications of financial econometrics
4
Robustness in econometrics
4
Essays on financial models
3
OPEC, oil prices and LNG
3
Risk management decisions and value under uncertainty
3
Advances in Management Research : Emerging Challenges and Trends
2
Asia-Pacific financial markets : integration, innovation and challenges
2
Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
2
Behavioral Finance and Asset Prices : The Influence of Investor's Emotions
2
China's rise and internationalization : regional and global challenges and impacts
2
Contemporary issues in business economics and finance
2
Dynamic optics in economics : quantitative, experimental and econometric analyses
2
East European transition and EU enlargement : a quantitative approach ; with 105 tables
2
Essays in nonlinear time series econometrics
2
Essays on Random Effects models and GARCH
2
Essays on financial time series models
2
Financial Market Dynamics after COVID 19 : The Contagion Effect of the Pandemic in Finance
2
Financial mathematics, volatility and covariance modelling
2
Financial modeling and risk management of energy and environmental instruments and derivates
2
Fractal approaches for modeling financial assets and predicting crises
2
Handbook of economic forecasting ; Vol. 1
2
Handbook of frontier markets : evidence from Mittle East North Africa and International Comparative Studies
2
Handbook of research methods and applications in empirical finance
2
Macromodels '99 : proceedings of the twenty six International Conference, december 1 - 4, 1999, Rydzyna - Poland
2
Mathematical and statistical methods in insurance and finance : [MAF2006 Conference, organized at the University of Salerno ; at the Campus of Fisciano]
2
Maximum likelihood estimation of misspecified models : twenty years later
2
New directions in macromodelling
2
Operations research models in banking management
2
Papers in efficiency, effectiveness and international competitiveness
2
Progress in financial markets research
2
Quantitative analysis in financial markets ; [Vol. 1]
2
Quantitative financial risk management
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1
Impact of the COVID-19 pandemic on volatility spillover across sectors in the US markets
Ahzam, Tariq Syed
- In:
Advances in Management Research : Emerging Challenges …
,
(pp. 229-236)
.
2022
Persistent link: https://www.econbiz.de/10014434885
Saved in:
2
Oil price uncertainty : panel evidence from the G7 and BRICS countries
Serletis, Apostolos
;
Xu, Libo
- In:
Behavioral Finance and Asset Prices : The Influence of …
,
(pp. 3-21)
.
2023
Persistent link: https://www.econbiz.de/10014282544
Saved in:
3
Diversification benefits and cross-volatility effects in cryptocurrency portfolios : a diagonal BEKK model perspective on Bitcoin and Bitgreen
Gupta, Muskan
;
Bhatnagar, Mukul
;
Kumar, Pawan
;
Taneja, …
- In:
Artificial intelligence and machine learning-powered …
,
(pp. 1-22)
.
2024
Persistent link: https://www.econbiz.de/10014524934
Saved in:
4
Averaging heterogeneous autoregression models with heteroskedastic errors : theory and an application to cryptocurrency volatility forecasting
Gao, Ziwen
;
Lehrer, Steven F.
;
Xie, Tian
;
Zhang, Xinyu
- In:
Essays in honor of Subal Kumbhakar
,
(pp. 99-131)
.
2024
Persistent link: https://www.econbiz.de/10014559151
Saved in:
5
Forecasting and backtesting of market risks in emerging markets
Fantazzini, Dean
- In:
Risk assessment and financial regulation in emerging …
,
(pp. 199-223)
.
2021
-by-step analysis with R and Russian market data is provided. Four classes of models are considered (
GARCH
, HAR, ARFIMA, and realized-
GARCH
…
Persistent link: https://www.econbiz.de/10012591721
Saved in:
6
Digital finance and financial services
Özer, Mustafa
- In:
Digitalization and the Future of Financial Services : …
,
(pp. 1-17)
.
2022
Persistent link: https://www.econbiz.de/10013414805
Saved in:
7
The impact of quantitative easing on stock market : evidence from Greece
Karagiannopoulou, Sofia
;
Patsis, Paris
;
Sariannidis, …
- In:
Business Development and Economic Governance in …
,
(pp. 297-313)
.
2022
Persistent link: https://www.econbiz.de/10013415082
Saved in:
8
Modelling and forecasting the volatility of the Nordic power market : an application of the
GARCH
-jump process
Dutta, Anupam
- In:
Revisiting Electricity Market Reforms : Lessons for …
,
(pp. 143-158)
.
2022
Persistent link: https://www.econbiz.de/10013447658
Saved in:
9
Return and volatility linkages between Bitcoin, gold price, and oil price : evidence from diagonal BEKK-
GARCH
model
Surachai Chancharat
;
Julaluk Butda
-
2022
Persistent link: https://www.econbiz.de/10013197429
Saved in:
10
The impact of market uncertainty on the systematic risk of clean energy stocks
Sadorsky, Perry A.
- In:
Applications in Energy Finance : The Energy Sector, …
,
(pp. 171-193)
.
2022
Persistent link: https://www.econbiz.de/10013283201
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