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~subject:"Forecasting model"
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Search: subject:"Conditional heteroscedasticity"
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Forecasting model
ARCH-Modell
10,176
ARCH model
10,175
Volatilität
6,196
Volatility
6,194
Estimation
2,889
Schätzung
2,888
Theorie
2,578
Theory
2,577
Capital income
2,226
Kapitaleinkommen
2,226
Börsenkurs
2,185
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2,185
Aktienmarkt
1,966
Stock market
1,966
Zeitreihenanalyse
1,779
Time series analysis
1,775
Prognoseverfahren
1,713
Schätztheorie
1,045
Estimation theory
1,044
Spillover effect
1,027
Spillover-Effekt
1,027
Risikomaß
1,000
Risk measure
1,000
GARCH
931
USA
930
United States
924
Exchange rate
920
Wechselkurs
920
Welt
835
World
835
Correlation
803
Korrelation
802
Oil price
704
Ölpreis
704
Portfolio selection
660
Portfolio-Management
660
Aktienindex
612
Stock index
612
Financial market
556
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540
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Article
1,216
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1,702
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6
French
3
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1
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Ma, Feng
58
Gupta, Rangan
44
Zhang, Yaojie
31
McAleer, Michael
28
Liang, Chao
21
Wang, Yudong
19
Wei, Yu
19
Caporin, Massimiliano
17
Degiannakis, Stavros
15
Kumar, Dilip
15
Molnár, Peter
15
Ardia, David
13
Chen, Cathy W. S.
13
Wu, Xinyu
13
Lu, Xinjie
12
Nonejad, Nima
12
Paolella, Marc S.
12
Ñíguez, Trino-Manuel
12
Bouri, Elie
11
Catania, Leopoldo
11
Liu, Jing
11
Lux, Thomas
11
Wang, Jiqian
11
Blazsek, Szabolcs
10
Li, Yan
10
Trojani, Fabio
10
Wahab, M. I. M.
10
Audrino, Francesco
9
Barigozzi, Matteo
9
Engle, Robert F.
9
Hallin, Marc
9
Huang, Dengshi
9
McMillan, David G.
9
Mittnik, Stefan
9
Ravazzolo, Francesco
9
Salisu, Afees A.
9
Segnon, Mawuli
9
Wang, Lu
9
Bollerslev, Tim
8
Chlebus, Marcin
8
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National Bureau of Economic Research
3
University of Canterbury / Dept. of Economics and Finance
3
Brown University / Department of Economics
2
Gottfried Wilhelm Leibniz Universität Hannover
2
Instituto Valenciano de Investigaciones Económicas
2
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Centre for Quantitative Economics & Computing
1
Fachhochschule Stralsund / Fachbereich Wirtschaft
1
Federal Reserve Bank of San Francisco
1
Federal Reserve Bank of St. Louis
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Westfälische Wilhelms-Universität Münster
1
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International journal of forecasting
77
Journal of forecasting
72
Energy economics
70
Finance research letters
50
International review of financial analysis
40
The North American journal of economics and finance : a journal of financial economics studies
38
Applied economics
37
Journal of empirical finance
33
International review of economics & finance : IREF
31
Economic modelling
26
Applied economics letters
21
Journal of econometrics
20
Journal of international financial markets, institutions & money
19
Applied financial economics
18
Journal of banking & finance
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Department of Economics working paper series
15
Discussion paper / Tinbergen Institute
15
Economics letters
15
International journal of finance & economics : IJFE
15
Quantitative finance
14
Research in international business and finance
14
The European journal of finance
14
Journal of risk and financial management : JRFM
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Computational economics
12
Pacific-Basin finance journal
12
Journal of financial econometrics
11
Risks : open access journal
11
Working paper
11
Working papers
11
Econometric Institute research papers
10
International Journal of Energy Economics and Policy : IJEEP
10
Journal of risk
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Financial innovation : FIN
8
International journal of economics and finance
8
Journal of applied econometrics
8
Journal of commodity markets
8
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ECONIS (ZBW)
1,712
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1
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1,712
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1
Direct versus iterated multiperiod Value-at-Risk forecasts
Ruiz, Esther
;
Nieto, María Rosa
- In:
Journal of economic surveys
37
(
2023
)
3
,
pp. 915-949
Persistent link: https://www.econbiz.de/10014337985
Saved in:
2
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:
3
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:
4
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:
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
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:
7
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:
8
Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana
;
Russel, Edwin
;
Alam, Iskandar Ali
;
Widiarti
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
Saved in:
9
Deep learning for multivariate volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei
;
Matsuda, Yasumasa
-
2024
Persistent link: https://www.econbiz.de/10014526627
Saved in:
10
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Cucuringu, Mihai
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
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