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Search: subject:"FIGARCH"
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Subject
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FIGARCH
79
ARCH-Modell
42
ARCH model
40
Volatility
38
Zeitreihenanalyse
38
Time series analysis
37
Volatilität
33
Long memory
25
long memory
23
Estimation
19
Schätzung
19
Theorie
17
Theory
17
Aktienmarkt
15
Stock market
15
ARFIMA
14
Börsenkurs
14
Capital income
14
Kapitaleinkommen
14
Share price
14
Exchange rate
13
Wechselkurs
13
Long Memory
11
Forecasting model
10
Prognoseverfahren
10
ARFIMA-FIGARCH
9
Efficient market hypothesis
9
Effizienzmarkthypothese
9
Welt
9
World
9
ARMA model
8
ARMA-Modell
8
Structural break
8
Strukturbruch
8
FIGARCH Model
7
volatility
7
Estimation theory
6
GARCH
6
Schätztheorie
6
Devisenmarkt
5
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Online availability
All
Free
70
Undetermined
50
Type of publication
All
Article
114
Book / Working Paper
39
Other
1
Type of publication (narrower categories)
All
Article in journal
54
Aufsatz in Zeitschrift
54
Working Paper
12
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Article
4
research-article
2
Aufsatz im Buch
1
Book section
1
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1
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English
90
Undetermined
59
Czech
1
Italian
1
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1
Spanish
1
Turkish
1
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Author
All
Baillie, Richard T.
6
Han, Young Wook
6
Morana, Claudio
5
Dark, Jonathan
4
Gandali Alikhani, Nadiya
4
Kumar, Anoop S.
4
Naderi, Esmaeil
4
Yoon, Seong-Min
4
Aloui, Chaker
3
Amiri, Ashkan
3
Gunay, Samet
3
Gündüz, Yalin
3
Hammoudeh, Shawkat
3
Han, Young-Wook
3
Ho, Kin-Yip
3
Kang, Sang Hoon
3
Kaya, Orcun
3
Kiliç, Rehim
3
Kumar, Dilip
3
Li, Youwei
3
Maheswaran, S.
3
Nazarian, Rafik
3
Nguyen, Duc Khuong
3
Nielsen, Morten Ørregaard
3
Shi, Yanlin
3
Tsiaras, Konstantinos
3
Al-Mohamad, Somar
2
Antypas, Antonios
2
Baillie, Richard
2
Bakry, Walid
2
Beine, Michel
2
Caporin, Massimiliano
2
Chaiboonsri, Chukiat
2
Chaitip, Prasert
2
Chen, Shu-Ling
2
Chkili, Walid
2
Chokethaworn, Kanchana
2
Delavari, Majid
2
Duppati, Geeta
2
Ghorbel, Ahmed
2
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
5
Department of Econometrics and Business Statistics, Monash Business School
3
EconWPA
2
International Centre for Economic Research (ICER)
2
School of Economics and Finance, Queen Mary
2
Agricultural and Applied Economics Association - AAEA
1
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
1
Deutsche Bundesbank
1
Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
1
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
1
Econometric Society
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
HAL
1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
Society for Computational Economics - SCE
1
Solvay Brussels School of Economics and Management, Université Libre de Bruxelles
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Vytautas Magnus University
1
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MPRA Paper
5
Physica A: Statistical Mechanics and its Applications
5
Economic modelling
4
Journal of empirical finance
4
Economic Modelling
3
International journal of economics and financial issues : IJEFI
3
Monash Econometrics and Business Statistics Working Papers
3
Studies in Nonlinear Dynamics & Econometrics
3
Working Paper
3
Annals of the University of Petrosani, Economics
2
Central Bank Review
2
East Asian economic review
2
Econometrics
2
Finance research letters
2
Global business review
2
ICER Working Papers - Applied Mathematics Series
2
International Journal of Economics and Financial Issues
2
International Journal of Energy Economics and Policy : IJEEP
2
International Journal of Monetary Economics and Finance
2
Journal of East Asian economic integration
2
Journal of Empirical Finance
2
Review of Accounting and Finance
2
The empirical economics letters : a monthly international journal of economics
2
Working Papers / School of Economics and Finance, Queen Mary
2
"Marco Fanno" Working Papers
1
2010 Annual Meeting, July 25-27, 2010, Denver, Colorado
1
Acta Oeconomica Pragensia
1
Advances in Economic and Financial Research - DOFIN Working Paper Series
1
Applied economics letters
1
Applied financial economics
1
Argomenti : rivista di economia, cultura e ricerca sociale
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
Bundesbank Discussion Paper
1
CREATES research paper
1
Computational Statistics & Data Analysis
1
Computing in Economics and Finance 2006
1
Current issues in finance, economy and politics : theoretical and empirical finance and economic researches
1
Discussion Papers / Deutsche Bundesbank
1
Dynamic Econometric Models
1
Econometric Society 2004 Australasian Meetings
1
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Source
All
RePEc
77
ECONIS (ZBW)
60
EconStor
11
BASE
4
Other ZBW resources
2
Showing
1
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154
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1
Applications of long-memory and structure breaks for carbon indexes
Do Thi Van Trang
;
Chen, Jo-hui
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
3
,
pp. 579-585
Persistent link: https://www.econbiz.de/10014368332
Saved in:
2
Long-memory models in testing the efficiency market hypothesis of the algerian exchange market
Benzai, Yassine
;
Aouad, Hadjar Soumia
;
Djellouli, Nassima
- In:
Management dynamics in the knowledge economy
10
(
2022
)
4/38
,
pp. 376-390
Persistent link: https://www.econbiz.de/10013499339
Saved in:
3
The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires: A sectoral analysis
Gunay, Samet
;
Bakry, Walid
;
Al-Mohamad, Somar
- In:
Journal of Risk and Financial Management
14
(
2021
)
4
,
pp. 1-19
conditional heteroskedasticity (DCC-
FIGARCH
) model. We found high time-varying correlations between the Chinese stock market and …
Persistent link: https://www.econbiz.de/10012611732
Saved in:
4
Optimal dynamic hedging in selected markets
Yılmaz, Tunahan
- In:
International Econometric Review (IER)
13
(
2021
)
4
,
pp. 89-117
the most efficient hedging portfolio for each emerging country, firstly, we used Dcc-
Figarch
specifications to measure …
Persistent link: https://www.econbiz.de/10014518990
Saved in:
5
The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires : a sectoral analysis
Gunay, Samet
;
Bakry, Walid
;
Al-Mohamad, Somar
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
4
,
pp. 1-19
conditional heteroskedasticity (DCC-
FIGARCH
) model. We found high time-varying correlations between the Chinese stock market and …
Persistent link: https://www.econbiz.de/10012522165
Saved in:
6
Optimal dynamic hedging in selected markets
Yilmaz, Tunahan
- In:
International econometric review
13
(
2021
)
4
,
pp. 89-117
the most efficient hedging portfolio for each emerging country, firstly, we used Dcc-
Figarch
specifications to measure …
Persistent link: https://www.econbiz.de/10013382400
Saved in:
7
The impact of expected and unexpected events on Bitcoin price development : introduction of futures market and COVID-19
Cevik, Emrah Ismail
;
Gunay, Samet
;
Dibooglu, Sel
; …
- In:
Finance research letters
54
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014472736
Saved in:
8
An improved
FIGARCH
model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
9
Fractional integration and volatility transmission between real estate and stock markets : novel evidence from a
FIGARCH
-BEKK approach
Kyriakou, Maria I.
;
Koulakiotis, Athanasios
;
Kiohos, …
- In:
The journal of real estate finance and economics
66
(
2023
)
4
,
pp. 939-962
Persistent link: https://www.econbiz.de/10014258997
Saved in:
10
Contagion in futures metal markets during the recent global financial crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium
Tsiaras, Konstantinos
- In:
SPOUDAI - Journal of Economics and Business
70
(
2020
)
3/4
,
pp. 42-55
ARCH (
FIGARCH
) dynamic conditional correlation (cDCC) model to generate the potential contagion effects between the markets …
Persistent link: https://www.econbiz.de/10014477241
Saved in:
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