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Search: subject_exact:"ARCH-Modell"
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Forecasting model
Theorie
ARCH-Modell
10,339
ARCH model
10,136
Volatilität
6,238
Volatility
6,171
Schätzung
2,926
Estimation
2,874
Theory
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1,729
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1,046
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1,037
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1,022
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1,017
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1,000
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995
GARCH
966
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959
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930
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921
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834
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826
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McAleer, Michael
77
Ma, Feng
56
Gupta, Rangan
46
Caporin, Massimiliano
38
Bauwens, Luc
35
Hafner, Christian M.
33
Herwartz, Helmut
33
Paolella, Marc S.
30
Zhang, Yaojie
30
Engle, Robert F.
28
Laurent, Sébastien
27
Mittnik, Stefan
24
Ardia, David
22
Rombouts, Jeroen V. K.
22
Teräsvirta, Timo
22
Liang, Chao
21
Conrad, Christian
20
Francq, Christian
20
Zakoïan, Jean-Michel
20
Chen, Cathy W. S.
19
Saikkonen, Pentti
19
Wei, Yu
19
Koopman, Siem Jan
18
Kumar, Dilip
18
Wang, Yudong
18
Bollerslev, Tim
17
Chang, Chia-Lin
17
Degiannakis, Stavros
17
Jondeau, Eric
16
Karanasos, Menelaos
16
Lucas, André
16
Molnár, Peter
16
Asai, Manabu
15
Feng, Yuanhua
15
Haas, Markus
15
Linton, Oliver
15
He, Changli
14
Hoogerheide, Lennart F.
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Ling, Shiqing
14
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Ekonomiska forskningsinstitutet <Stockholm>
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
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Shakai-Keizai-Kenkyūsho <Osaka>
5
Instituto Valenciano de Investigaciones Económicas
4
University of Canterbury / Dept. of Economics and Finance
4
Econometrisch Instituut <Rotterdam>
3
European University Institute / Department of Economics
3
Brown University / Department of Economics
2
Gottfried Wilhelm Leibniz Universität Hannover
2
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1
Banca nazionale del lavoro / Ufficio studi
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Center for Economic Research <Tilburg>
1
Centre for Quantitative Economics & Computing
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Deutschland / Bundesministerium für Wirtschaft
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Deutschland <Bundesrepublik> / Auswärtiges Amt
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Erasmus Research Institute of Management
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Federal Reserve Bank of San Francisco
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International Center for Financial Asset Management and Engineering
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1
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1
National Institute of Economic and Social Research
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
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Springer Fachmedien Wiesbaden
1
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1
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1
Université de Genève / Institut de hautes études internationales
1
Université de Montréal / Département de sciences économiques
1
Westfälische Wilhelms-Universität Münster
1
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International journal of forecasting
82
Energy economics
79
Journal of forecasting
79
Finance research letters
70
Journal of empirical finance
67
Journal of econometrics
66
Applied economics
61
International review of financial analysis
61
The North American journal of economics and finance : a journal of financial economics studies
49
Economic modelling
45
Journal of banking & finance
44
Discussion paper / Tinbergen Institute
43
Economics letters
43
International review of economics & finance : IREF
43
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
Econometric theory
37
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
36
Journal of international financial markets, institutions & money
34
Working paper
31
Applied economics letters
30
Applied financial economics
30
Econometric reviews
28
Journal of applied econometrics
26
Econometric Institute research papers
24
Journal of risk and financial management : JRFM
24
Research in international business and finance
24
Computational economics
22
International journal of finance & economics : IJFE
22
Journal of financial econometrics
22
Quantitative finance
21
The econometrics journal
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
Journal of economic dynamics & control
18
Risks : open access journal
18
Journal of risk
17
Working papers
17
CORE discussion paper : DP
16
Department of Economics working paper series
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ECONIS (ZBW)
3,656
EconStor
77
ArchiDok
1
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Improving volatility forecasts : evidence from range-based models
Fałdziński, Marcin
;
Fiszeder, Piotr
;
Molnár, Peter
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014445632
Saved in:
3
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:
4
Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014505054
Saved in:
5
Bond indices maturities and changing macroeconomic conditions : evidence from South Africa
Moodley, Fabian
- In:
Journal of Economics and Financial Analysis
8
(
2024
)
1
,
pp. 57-73
Persistent link: https://www.econbiz.de/10014486924
Saved in:
6
Long-span multi-layer spillovers between moments of advanced equity markets : the role of climate risks
Foglia, Matteo
;
Plakandaras, Vasilios
;
Gupta, Rangan
; …
-
2024
Persistent link: https://www.econbiz.de/10014515694
Saved in:
7
The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Sheng, Lin Wen
;
Uddin, Mohammed Gazi Salah
;
Sen, Ding
; …
- In:
International review of financial analysis
91
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014446963
Saved in:
8
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:
9
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
10
Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014521267
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