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Search: subject:"ARCH model"
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ARCH model
10,442
ARCH-Modell
10,421
Volatilität
6,406
Volatility
6,405
Estimation
2,942
Schätzung
2,942
Theorie
2,622
Theory
2,622
Capital income
2,285
Kapitaleinkommen
2,285
Börsenkurs
2,241
Share price
2,241
Aktienmarkt
2,020
Stock market
2,020
Zeitreihenanalyse
1,816
Time series analysis
1,811
Prognoseverfahren
1,797
Forecasting model
1,796
Estimation theory
1,073
Schätztheorie
1,073
Spillover effect
1,069
Spillover-Effekt
1,069
Risikomaß
1,025
Risk measure
1,025
GARCH
953
Exchange rate
934
USA
934
Wechselkurs
934
United States
928
Welt
889
World
889
Correlation
819
Korrelation
818
Oil price
735
Ölpreis
735
Portfolio selection
689
Portfolio-Management
689
Aktienindex
630
Stock index
630
Financial market
572
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3,272
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3,098
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Article
7,179
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3,303
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6,899
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6,899
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1,706
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1,706
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1,695
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1,692
Aufsatz im Buch
255
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255
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136
Thesis
105
Conference paper
39
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39
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36
Sammlung
36
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26
Sammelwerk
26
Aufsatzsammlung
15
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13
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11
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9
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7
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6
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10,352
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51
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28
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22
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13
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6
Portuguese
4
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2
Bulgarian
1
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1
Italian
1
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1
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1
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1
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Author
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McAleer, Michael
209
Chang, Chia-Lin
82
Gupta, Rangan
80
Ma, Feng
65
Bauwens, Luc
62
Engle, Robert F.
61
Hafner, Christian M.
61
Teräsvirta, Timo
56
Caporale, Guglielmo Maria
53
Caporin, Massimiliano
52
Bouri, Elie
46
Francq, Christian
44
Karanasos, Menelaos
44
Laurent, Sébastien
41
Conrad, Christian
40
Herwartz, Helmut
39
Rombouts, Jeroen V. K.
38
Zakoïan, Jean-Michel
37
Paolella, Marc S.
36
Asai, Manabu
34
Zhang, Yaojie
33
Bollerslev, Tim
32
Kumar, Dilip
32
McMillan, David G.
32
Serletis, Apostolos
32
Ardia, David
30
Linton, Oliver
29
Rahbek, Anders
29
Huang, Zhuo
28
Kang, Sang Hoon
28
Saikkonen, Pentti
28
Allen, David E.
27
Mittnik, Stefan
27
Silvennoinen, Annastiina
27
Tiwari, Aviral Kumar
27
Christoffersen, Peter F.
26
Degiannakis, Stavros
26
Hammoudeh, Shawkat
26
Hansen, Peter Reinhard
26
Wang, Yudong
26
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National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Ekonomiska forskningsinstitutet <Stockholm>
15
Centre for Analytical Finance <Århus>
10
University of Canterbury / Dept. of Economics and Finance
8
Econometrisch Instituut <Rotterdam>
7
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
Instituto Valenciano de Investigaciones Económicas
6
Shakai-Keizai-Kenkyūsho <Osaka>
6
European University Institute / Department of Economics
3
National Institute of Economic and Social Research
3
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
Brown University / Department of Economics
2
Center for Economic Research <Tilburg>
2
Econometric Society
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
Federal Reserve Bank of St. Louis
2
Gottfried Wilhelm Leibniz Universität Hannover
2
London School of Economics and Political Science
2
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
2
Queen Mary College / Department of Economics
2
School of Finance and Business Economics <Perth, Western Australia>
2
Springer Fachmedien Wiesbaden
2
Svenska Handelshögskolan <Helsinki>
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
Université de Montréal / Département de sciences économiques
2
William Davidson Institute <Ann Arbor, Mich.>
2
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Bank of Canada
1
Canada / Mines Branch (1950- )
1
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
1
Centre for Quantitative Economics & Computing
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Deakin University
1
Department of Econometrics and Business Statistics, Monash Business School
1
Department of Economics, University of Waterloo
1
Deutschland / Bundesministerium für Wirtschaft
1
Deutschland <Bundesrepublik> / Auswärtiges Amt
1
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Published in...
All
Energy economics
272
Finance research letters
209
Applied economics
164
Economic modelling
156
Journal of econometrics
151
International review of financial analysis
144
Journal of empirical finance
134
Research in international business and finance
133
International review of economics & finance : IREF
125
The North American journal of economics and finance : a journal of financial economics studies
123
Economics letters
114
Journal of banking & finance
113
Journal of international financial markets, institutions & money
107
Applied financial economics
101
Discussion paper / Tinbergen Institute
99
International journal of forecasting
96
Journal of risk and financial management : JRFM
88
Journal of forecasting
87
Applied economics letters
80
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
76
The European journal of finance
76
The journal of futures markets
74
Econometric theory
73
Econometric Institute research papers
69
Working paper
69
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
International Journal of Energy Economics and Policy : IJEEP
65
Journal of financial econometrics : official journal of the Society for Financial Econometrics
65
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
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
52
International journal of economics and financial issues : IJEFI
50
Econometric reviews
47
Journal of international money and finance
47
International journal of economics and finance
45
Review of quantitative finance and accounting
44
CREATES research paper
43
Computational economics
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of risk
42
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Source
All
ECONIS (ZBW)
10,432
RePEc
32
USB Cologne (EcoSocSci)
9
EconStor
5
BASE
2
ArchiDok
2
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660
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651
Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
Xu, Yongdeng
- In:
Journal of time series econometrics
16
(
2024
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10015052951
Saved in:
652
Asymmetric price volatility spillover between capture fisheries and aquaculture markets
Deb, Prokash
;
Li, Wenying
- In:
Aquaculture economics & management : official journal …
28
(
2024
)
1
,
pp. 56-81
Persistent link: https://www.econbiz.de/10015053126
Saved in:
653
Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries
Wu, Fei
;
Ji, Qiang
;
Ma, Yan-Ran
;
Zhang, Dayong
- In:
Journal of the Asia Pacific economy
29
(
2024
)
3
,
pp. 1257-1283
Persistent link: https://www.econbiz.de/10015053452
Saved in:
654
The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation : evidence from India
Rastogi, Shailesh
;
Kanoujiya, Jagjeevan
- In:
South Asian journal of business studies
13
(
2024
)
2
,
pp. 180-200
Persistent link: https://www.econbiz.de/10015053653
Saved in:
655
Volatility spillovers and nexus among agridex and non-agri indexes in Indian commodity markets
Reddy, P. Lakshminarasa
;
Visalakshmi, S.
- In:
International journal of services, economics and management
15
(
2024
)
3
,
pp. 324-341
Persistent link: https://www.econbiz.de/10015069895
Saved in:
656
Research on jumps and volatility in China's carbon market
Chen, Xiangjun
;
Yan, Bo
- In:
Economic change & restructuring
57
(
2024
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10014491073
Saved in:
657
Time-varying jump intensity and volatility forecasting of crude oil returns
Zhang, Lei
;
Chen, Yan
;
Bouri, Elie
- In:
Energy economics
129
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014559002
Saved in:
658
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula
Liu, Junting
;
Wang, Qi
;
Zhang, Yuanyuan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1189-1223
Persistent link: https://www.econbiz.de/10014553980
Saved in:
659
A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
Han, Guanghui
;
Liu, Panpan
;
Zhang, Yueqiang
;
Li, Xiaobo
- In:
The journal of risk model validation
18
(
2024
)
1
,
pp. 83-96
Persistent link: https://www.econbiz.de/10014556673
Saved in:
660
Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation : evidence from DCC-MIDAS-X model
Liu, Han
;
Yang, Peng
;
He, Yongda
;
Oxley, Les
;
Guo, Pengwei
- In:
Energy economics
129
(
2024
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014558922
Saved in:
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