EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Time varying GARCH"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 7 ARCH-Modell 7 Estimation 7 Schätzung 7 Volatility 7 Volatilität 7 Time series analysis 6 Zeitreihenanalyse 6 Volatility spillovers 5 Estimation theory 4 Financial crisis 4 Schätztheorie 4 Börsenkurs 3 Financial market 3 Finanzmarkt 3 Share price 3 Spillover effect 3 Spillover-Effekt 3 Aktienmarkt 2 Bond prices 2 Capital income 2 Correlation 2 Finanzkrise 2 Kapitaleinkommen 2 Korrelation 2 Modellierung 2 Multivariate Analyse 2 Multivariate analysis 2 Scientific modelling 2 Statistical test 2 Statistischer Test 2 Stock market 2 Stock prices 2 Structural breaks 2 Theorie 2 Theory 2 Time varying GARCH models 2 Time-varying GARCH models 2 autoregressive conditional heteroskedasticity 2 multiplicative time-varying GARCH 2
more ... less ...
Online availability
All
Free 5 Undetermined 5 CC license 1
Type of publication
All
Article 6 Book / Working Paper 5
Type of publication (narrower categories)
All
Working Paper 5 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 3 Aufsatz in Zeitschrift 3
Language
All
English 8 Undetermined 3
Author
All
Silvennoinen, Annastiina 4 Teräsvirta, Timo 4 Ali, Faek Menla 3 Eraslan, Sercan 2 Jakobsen, Johan Stax 2 Kang, Jian 2 Karanasos, Menelaos 2 Karoglou, Michail 2 Paraskevopoulos, Alexandros G. 2 Wade, Glen 2 Yfanti, Stavroula 2 Amado, Cristina 1 Campos-Martins, Susana 1 Chen, Cathy W.S. 1 Gerlach, Richard 1 Lin, Edward M.H. 1 Menla Ali, Faek 1 Rohan, Neelabh 1
more ... less ...
Published in...
All
Bundesbank Discussion Paper 1 CREATES research paper 1 Computational Statistics & Data Analysis 1 Department of Economics discussion paper series / University of Oxford 1 Discussion paper 1 Econometrics : open access journal 1 Journal of Empirical Finance 1 Journal of empirical finance 1 NCER working paper series 1 Statistics & Probability Letters 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1
more ... less ...
Source
All
ECONIS (ZBW) 7 RePEc 3 EconStor 1
Showing 1 - 10 of 11
Cover Image
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
Cover Image
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...
Persistent link: https://www.econbiz.de/10013459316
Saved in:
Cover Image
Modelling time-varying volatility interactions
Campos-Martins, Susana; Amado, Cristina - 2021
Persistent link: https://www.econbiz.de/10012696992
Saved in:
Cover Image
Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011664820
Saved in:
Cover Image
Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
Saved in:
Cover Image
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
Cover Image
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 347-364
Persistent link: https://www.econbiz.de/10011649097
Saved in:
Cover Image
Modelling stock volatilities during financial crises: A time varying coefficient approach
Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of Empirical Finance 29 (2014) C, pp. 113-128
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the...
Persistent link: https://www.econbiz.de/10011116282
Saved in:
Cover Image
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
Chen, Cathy W.S.; Gerlach, Richard; Lin, Edward M.H. - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 194-209
Smoothly time-varying (TV) GARCH models via an asymmetric logistic function mechanism are proposed, which are incorporated into the conditional volatility equation for capturing smooth structural breaks in the volatility of financial time series. The proposed models allow smooth transitions of...
Persistent link: https://www.econbiz.de/10011056410
Saved in:
Cover Image
Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
Saved in:
  • 1
  • 2
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...