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~subject:"Forecasting model"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Forecasting model
ARCH model
10,252
ARCH-Modell
10,252
Volatilität
6,256
Volatility
6,253
Estimation
2,902
Schätzung
2,901
Theorie
2,586
Theory
2,586
Capital income
2,250
Kapitaleinkommen
2,250
Börsenkurs
2,203
Share price
2,203
Aktienmarkt
1,989
Stock market
1,989
Zeitreihenanalyse
1,778
Time series analysis
1,775
Prognoseverfahren
1,743
Spillover effect
1,043
Spillover-Effekt
1,043
Estimation theory
1,040
Schätztheorie
1,040
Risikomaß
1,014
Risk measure
1,014
GARCH
934
USA
926
Exchange rate
921
Wechselkurs
921
United States
920
Welt
849
World
849
Correlation
807
Korrelation
806
Oil price
715
Ölpreis
715
Portfolio selection
673
Portfolio-Management
673
Aktienindex
615
Stock index
615
Statistical distribution
560
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750
Free
546
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Article
1,244
Book / Working Paper
498
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1,213
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1,213
Graue Literatur
245
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245
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235
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235
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30
Book section
30
Hochschulschrift
19
Thesis
14
Collection of articles of several authors
5
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5
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4
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4
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2
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1,732
German
6
French
3
Italian
1
Author
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Ma, Feng
59
Gupta, Rangan
46
Zhang, Yaojie
32
McAleer, Michael
28
Liang, Chao
23
Wang, Yudong
20
Wei, Yu
19
Caporin, Massimiliano
17
Degiannakis, Stavros
16
Kumar, Dilip
15
Molnár, Peter
15
Ardia, David
13
Bouri, Elie
13
Chen, Cathy W. S.
13
Wu, Xinyu
13
Lu, Xinjie
12
Nonejad, Nima
12
Paolella, Marc S.
12
Wang, Jiqian
12
Ñíguez, Trino-Manuel
12
Catania, Leopoldo
11
Liu, Jing
11
Lux, Thomas
11
Wang, Lu
11
Blazsek, Szabolcs
10
Li, Yan
10
Trojani, Fabio
10
Wahab, M. I. M.
10
Audrino, Francesco
9
Barigozzi, Matteo
9
Chlebus, Marcin
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
Bollerslev, Tim
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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Published in...
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International journal of forecasting
80
Energy economics
73
Journal of forecasting
73
Finance research letters
56
International review of financial analysis
40
Applied economics
38
The North American journal of economics and finance : a journal of financial economics studies
38
International review of economics & finance : IREF
34
Journal of empirical finance
33
Economic modelling
26
Applied economics letters
21
Journal of econometrics
20
Journal of international financial markets, institutions & money
19
Applied financial economics
18
Department of Economics working paper series
17
Journal of banking & finance
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
The European journal of finance
16
Discussion paper / Tinbergen Institute
15
Economics letters
15
International journal of finance & economics : IJFE
15
Computational economics
14
Quantitative finance
14
Research in international business and finance
14
Journal of risk and financial management : JRFM
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Pacific-Basin finance journal
12
Journal of financial econometrics
11
Journal of risk
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
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)
1,742
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1
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1,742
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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
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:
5
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:
6
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:
7
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:
8
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:
9
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
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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