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  • Search: subject:"IGARCH"
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Year of publication
Subject
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IGARCH 28 GARCH 13 IGARCH effect 10 ARCH model 8 ARCH-Modell 7 Volatility 6 ARCH 5 Heteroskedasticity 5 Volatilität 5 the Great Moderation 5 Estimation 4 Schätzung 4 Time series analysis 4 Zeitreihenanalyse 4 1) 3 BEKK-GARCH 3 Backtesting 3 Bootstrapping 3 CCC-GARCH 3 Co-persistence in variance 3 Conditional Volatility 3 Constant Mean Model 3 DCC-GARCH 3 EWMA 3 Estimation theory 3 GJR-GARCH 3 Japan 3 Mandelbrot 3 Misspecification Test 3 Multivariate Volatility Model 3 Persistence in variance 3 Schätztheorie 3 Stylized Facts 3 Univariate Volatility Model 3 Value at Risk 3 Volatility Clustering 3 economic growth and volatility 3 outlier 3 real GDP growth 3 stock returns 3
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Online availability
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Free 18 Undetermined 10 CC license 1
Type of publication
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Article 22 Book / Working Paper 22 Other 3
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 Working Paper 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 25 English 18 German 2 Spanish 2
Author
All
Miller, Stephen M. 9 Fang, WenShwo 7 Starica, Catalin 4 Cremers, Heinz 3 Krasnosselski, Nikolai 3 Sanddorf, Walter 3 Fang, WenSho 2 Han, Heejoon 2 Kishor, N. Kundan 2 Kumari, Swati 2 Lee, ChunShen 2 Mikosch, Thomas 2 Park, Joon Y. 2 Richter, Stefan 2 Song, Suyong 2 Sriananthakumar, Sivagowry 2 Wang, Weining 2 Wu, Wei Biao 2 Antypas, Antonios 1 Aragó, Vicent 1 Asseery, Ahmed 1 Bentes, Sónia R. 1 Bollerslev, Tim 1 Carrion, Josep Lluís 1 Castaño, Elkin 1 Castro-Otero, Aníbal 1 Delavari, Majid 1 Doğan Başar, Berna 1 Ekši, İbrahim Halil 1 Engle, Robert F. 1 Fabozzi, Frank J. 1 Fatima, Ambreen 1 Gallón, Santiago 1 Gandali Alikhani, Nadiya 1 Ginn, William 1 Gómez, Karoll 1 HERZEL, Stefano 1 Hamad, Karzan Qader 1 Heaney, Richard 1 Heaney, Richard A. 1
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Institution
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Department of Economics, University of Connecticut 4 EconWPA 4 Department of Economics, University of Nevada-Las Vegas 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials 1 Department of International and European Economic Studies, Athens University of Economics and Business (AUEB) 1 Dipartimento di Economia, Università degli Studi di Perugia 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Frankfurt School of Finance and Management 1 Society for Computational Economics - SCE 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1
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Published in...
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Econometrics 4 Working papers / Department of Economics, University of Connecticut 4 Economics Letters 2 Economics letters 2 Frankfurt School - Working Paper Series 2 MPRA Paper 2 Working Papers / Department of Economics, University of Nevada-Las Vegas 2 Annals of Economics and Finance 1 Cogent economics & finance 1 Computing in Economics and Finance 2006 1 DEA Working Papers 1 DEOS Working Papers 1 Economic Modelling 1 Economic modelling 1 Finance Research Letters 1 Finance research letters 1 IRTG 1792 Discussion Paper 1 International Economic Journal 1 International economic journal 1 Journal of Empirical Finance 1 Journal of empirical finance 1 Pakistan journal of applied economics 1 Physica A: Statistical Mechanics and its Applications 1 Quaderni del Dipartimento di Economia, Finanza e Statistica 1 REVISTA CUADERNOS DE ECONOMÍA 1 REVISTA FINANZAS Y POLÍTICA ECONÓMICA 1 Revista de economía del Rosario 1 SSE/EFI Working Paper Series in Economics and Finance 1 STICERD - Econometrics Paper Series 1 Studies in Nonlinear Dynamics & Econometrics 1 The econometrics journal 1 Working paper series / Frankfurt School of Finance & Management 1
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Source
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RePEc 30 ECONIS (ZBW) 11 BASE 4 EconStor 2
Showing 31 - 40 of 47
Did you mean: subject:"garch" (16,045 results)
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Time-varying correlation between stock market returns and real estate returns
Heaney, Richard A.; Sriananthakumar, Sivagowry - In: Journal of empirical finance 19 (2012) 4, pp. 583-594
Persistent link: https://www.econbiz.de/10009615660
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Common persistence in conditional variance : a reconsideration
Li, Chang-shuai - In: Economic modelling 29 (2012) 5, pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
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Modeling Volatility for the Chinese Equity Markets
Fabozzi, Frank J.; Tunaru, Radu; Wu, Tony - In: Annals of Economics and Finance 5 (2004) 1, pp. 79-92
A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The...
Persistent link: https://www.econbiz.de/10009150922
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Testing for Changes in the Unconditional Variance of Financial Time Series
Sansó, Andreu; Aragó, Vicent; Carrion, Josep Lluís - Departament d'Economia Aplicada, Facultat de Ciències … - 2003
Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used in financial time series analysis. In this article we show some serious drawbacks for using this test with this type of data. Specifically, it su.ers important size distortions...
Persistent link: https://www.econbiz.de/10005773037
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Medición de la volatilidad en series de tiempo financieras. Una evaluación a la tasa de cambio representativa del mercado (TRM) en Colombia
Robles, Roberto A. Montenegro - In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA (2010)
Existen diferentes métodos para la medición del agrupamiento de la volatilidad en las series financieras, en las cuales el supuesto sobre la distribución del error determina la estructura de la función de log verosimilitud. En este documento se explota la flexibilidad de los modelos ARCH...
Persistent link: https://www.econbiz.de/10009653387
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Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited
Fang, WenShwo; Miller, Stephen M. - Department of Economics, University of Nevada-Las Vegas - 2009
Previous studies (e.g., Hamori, 2000; Ho and Tsui, 2003; Fountas et al., 2004) find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing...
Persistent link: https://www.econbiz.de/10005650183
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Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited
Fang, WenShwo; Miller, Stephen M. - Department of Economics, University of Connecticut - 2008
Previous studies (e.g., Hamori, 2000; Ho and Tsui, 2003; Fountas et al., 2004) find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing...
Persistent link: https://www.econbiz.de/10005746102
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Optimal Test for Markov Switching GARCH Models
Hu, Liang; Shin, Yongcheol - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1528-1528
volatility of most stock return data are likely to follow an integrated GARCH (IGARCH) process. However, such an extremely high … nonstationary IGARCH process. Though there are a number of studies modelling asymmetry leverage effects and advancing a battery of … test. Furthermore, we consider the case in which the conditional variance follows an IGARCH process under the null whilst …
Persistent link: https://www.econbiz.de/10005246280
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Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models
Miller, Stephen M.; Fang, WenShwo; Lee, ChunShen - Department of Economics, University of Connecticut - 2007
in the variance equation of output for the six countries. That is, the integrated GARCH (IGARCH) effect proves spurious …
Persistent link: https://www.econbiz.de/10005746152
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The Great Moderation and the Relationship between Output Growth and Its Volatility
Miller, Stephen M.; Fang, WenSho - Department of Economics, University of Connecticut - 2007
This study examines the effect of the Great Moderation on the relationship between U.S. output growth and its volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process. In so doing, we employ GARCH-M and ARCH-M specifications...
Persistent link: https://www.econbiz.de/10005838979
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