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  • Search: subject:"GARCH"
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Year of publication
Subject
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ARCH-Modell 11,613 ARCH model 11,513 Volatility 7,698 Volatilität 7,568 Theorie 3,413 Theory 3,366 Schätzung 3,064 Estimation 3,029 GARCH 2,492 Zeitreihenanalyse 2,416 Time series analysis 2,398 Börsenkurs 2,393 Share price 2,364 Kapitaleinkommen 2,309 Capital income 2,305 Stock market 2,161 Aktienmarkt 2,160 Prognoseverfahren 2,075 Forecasting model 2,054 Schätztheorie 1,561 Estimation theory 1,554 Welt 1,227 World 1,219 Spillover-Effekt 1,208 Spillover effect 1,203 Risikomaß 1,165 Risk measure 1,162 Exchange rate 1,135 Wechselkurs 1,126 USA 1,076 United States 1,043 Correlation 1,016 Korrelation 1,016 Portfolio selection 947 Portfolio-Management 947 Risk 903 Risiko 901 Aktienindex 868 Stock index 860 Finanzmarkt 782
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Online availability
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Free 6,436 Undetermined 4,675 CC license 435
Type of publication
All
Article 10,088 Book / Working Paper 5,929 Other 30
Type of publication (narrower categories)
All
Article in journal 8,178 Aufsatz in Zeitschrift 8,178 Working Paper 2,288 Graue Literatur 1,925 Non-commercial literature 1,925 Arbeitspapier 1,907 Aufsatz im Buch 284 Book section 284 Article 255 Hochschulschrift 149 Thesis 143 research-article 76 Conference paper 50 Konferenzbeitrag 50 Collection of articles written by one author 35 Sammlung 35 Collection of articles of several authors 23 Sammelwerk 23 Dissertation u.a. Prüfungsschriften 18 Aufsatzsammlung 15 Bibliografie enthalten 13 Bibliography included 13 Lehrbuch 11 Systematic review 11 Übersichtsarbeit 11 Konferenzschrift 10 Case study 9 Fallstudie 9 Textbook 9 Forschungsbericht 6 Rezension 4 Conference Paper 3 Research Report 3 Amtsdruckschrift 2 Conference proceedings 2 Congress Report 2 Government document 2 review-article 2 Accompanied by computer file 1 Audio- / visual Ressource 1
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Language
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English 13,542 Undetermined 2,259 German 87 Spanish 67 French 30 Portuguese 19 Czech 10 Polish 9 Italian 8 Lithuanian 4 Romanian 3 Turkish 3 Russian 2 Chinese 2 Bulgarian 1 Hungarian 1 Indonesian 1 Korean 1 Slovak 1 Swedish 1
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Author
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McAleer, Michael 291 Chang, Chia-Lin 121 Caporale, Guglielmo Maria 117 Gupta, Rangan 114 Teräsvirta, Timo 89 Hafner, Christian M. 88 Bauwens, Luc 81 Conrad, Christian 79 Spagnolo, Nicola 77 Engle, Robert F. 74 Karanasos, Menelaos 74 Caporin, Massimiliano 70 Francq, Christian 64 Mittnik, Stefan 64 Herwartz, Helmut 63 Paolella, Marc S. 63 Bouri, Elie 57 Ardia, David 53 Guesmi, Khaled 53 Ma, Feng 52 Spagnolo, Fabio 51 Serletis, Apostolos 49 Bollerslev, Tim 47 Rombouts, Jeroen V. K. 47 Asai, Manabu 46 Laurent, Sébastien 46 Linton, Oliver 46 Nguyen, Duc Khuong 46 Zakoïan, Jean-Michel 46 Manera, Matteo 45 Rahbek, Anders 45 Haas, Markus 44 Lütkepohl, Helmut 43 Allen, David E. 42 Silvennoinen, Annastiina 42 Kang, Sang Hoon 40 Fountas, Stilianos 39 Koopman, Siem Jan 37 McMillan, David G. 37 Salisu, Afees A. 37
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 231 EconWPA 48 HAL 41 School of Economics and Management, University of Aarhus 41 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 34 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 32 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 26 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 25 Erasmus University Rotterdam, Econometric Institute 25 Society for Computational Economics - SCE 23 Tinbergen Instituut 23 Institut für Schweizerisches Bankwesen <Zürich> 22 Center for Financial Studies 21 Econometric Society 21 Institut de Préparation à l'Administration et à la Gestion (IPAG) 21 National Bureau of Economic Research 21 CESifo 19 Henley Business School, University of Reading 17 Tinbergen Institute 17 Agricultural and Applied Economics Association - AAEA 16 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 16 European Central Bank 15 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 14 Ekonomiska forskningsinstitutet <Stockholm> 14 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 13 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 13 Université Paris-Dauphine (Paris IX) 13 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 12 Department of Economics, National University of Ireland 11 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 11 Tilburg University, Center for Economic Research 11 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 11 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 10 Centre for Analytical Finance <Århus> 10 Department of Economics and Finance, College of Business and Economics 10 Department of Economics and Related Studies, University of York 10 Finance Discipline Group, Business School 10 Institute of Economic Research, Kyoto University 10 Institut für Weltwirtschaft (IfW) 9 Institutionen för Nationalekonomi, Umeå Universitet 9
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Published in...
All
Energy economics 292 Finance research letters 267 MPRA Paper 231 Economic modelling 186 Applied economics 184 Journal of econometrics 174 International review of financial analysis 156 International review of economics & finance : IREF 152 Research in international business and finance 144 The North American journal of economics and finance : a journal of financial economics studies 144 Journal of empirical finance 142 Economics letters 130 Discussion paper / Tinbergen Institute 118 Journal of banking & finance 118 Journal of forecasting 114 International journal of forecasting 112 Journal of international financial markets, institutions & money 109 Applied financial economics 106 Journal of risk and financial management : JRFM 101 Applied economics letters 93 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 89 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 86 The European journal of finance 86 The journal of futures markets 83 Econometric theory 80 International Journal of Energy Economics and Policy : IJEEP 78 Working paper 78 Journal of financial econometrics : official journal of the Society for Financial Econometrics 76 Econometric Institute research papers 69 Computational economics 66 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 66 International journal of finance & economics : IJFE 62 Working Paper 61 Cogent economics & finance 57 Econometric reviews 56 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 56 International journal of economics and financial issues : IJEFI 56 CREATES research paper 53 Journal of Risk and Financial Management 53 Journal of international money and finance 52
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Source
All
ECONIS (ZBW) 12,320 RePEc 2,826 EconStor 645 BASE 98 Other ZBW resources 80 USB Cologne (business full texts) 55 USB Cologne (EcoSocSci) 23
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Showing 41 - 50 of 16,047
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Forecasting Chinese stock market volatility with high-frequency intraday and current return information
Wu, Xinyu; Zhao, An; Wang, Yuyao; Han, Yang - In: Pacific-Basin finance journal 86 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015097250
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Markovian analysis of U.S. Treasury volatility : asymmetric responses to macroeconomic announcements
Gigante, Gimede; Guarniero, Pieralberto; Pasini, Simona - In: Economics letters 239 (2024), pp. 1-6
Persistent link: https://www.econbiz.de/10015076688
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Volatility spillover among the sectors of emerging and developed markets : a hedging perspective
Sahoo, Satyaban; Kumar, Sanjay - In: Cogent economics & finance 12 (2024) 1, pp. 1-17
, auto, oil and gas, Information Technology (IT), healthcare and real estate sectors, the research employs the BEKK GARCH and … GO-GARCH models to analyze the daily data. Results reveal that the own market's conditional volatility is primarily …
Persistent link: https://www.econbiz.de/10015394016
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Influence of political stability on the stock market returns and volatility : GARCH and EGARCH approach
Alim, Wajid; Khan, Naqib Ullah; Zhang, Vince Wanhao; … - In: Financial innovation : FIN 10 (2024), pp. 1-17
study uses the Generalized Autoregressive Conditional Heteroskedastic (GARCH) and Exponential Generalized Autoregressive … Conditional Heteroskedastic (EGARCH) models to achieve the main objectives. The findings of the GARCH and EGARCH models confirm …
Persistent link: https://www.econbiz.de/10015361533
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Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-connectedness approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
adopted the recent DCC-GARCH-CONNECTEDNESS approach proposed by Gabauer (2020) to conduct a time-varying analysis that …
Persistent link: https://www.econbiz.de/10014494631
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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
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L1 regularization for high-dimensional multivariate GARCH models
Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset … series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK …
Persistent link: https://www.econbiz.de/10014497339
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Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type Value-at-Risk model performance in Thailand's transportation sector during covid-19
Danai Likitratcharoen; Lucksuda Suwannamalik - In: Risks : open access journal 12 (2024) 3, pp. 1-19
of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …
Persistent link: https://www.econbiz.de/10014497424
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GARCHX-NoVaS : a model-free approach to incorporate exogenous variables
Wu, Kejin; Karmakar, Sayar; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014553270
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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
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