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Search: subject:"component GARCH"
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Volatility
12
ARCH model
11
ARCH-Modell
11
Volatilität
11
Börsenkurs
6
Component GARCH
6
Share price
6
Estimation
5
Risk premium
5
Schätzung
5
Risikoprämie
4
component GARCH
4
component GARCH model
4
Component-GARCH model
3
Uncovered interest parity
3
Aktienmarkt
2
Capital mobility
2
Component GARCH-in-mean
2
Devisenmarkt
2
Exchange rate
2
Exchange rates
2
FIGARCH
2
Financial crisis
2
Financialization
2
Finanzkrise
2
Foreign exchange market
2
GARCH
2
Hemler-Longstaff model
2
Information diffusion
2
Interest rate parity
2
Japan
2
MIDAS
2
Market spillovers
2
Oil futures price
2
SGX FTSE Xinhua China A50 index futures
2
Short-term interest rate
2
Spatial multiplicative component GARCH
2
Spillover effect
2
Spillover-Effekt
2
Stock market
2
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Undetermined
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Free
10
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Article
21
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Sosvilla-Rivero, Simón
4
Morales Zumaquero, Amalia
3
Asgharian, Hossein
2
Charteris, Ailie Heather
2
Christiansen, Charlotte
2
Feng, Yuanhua
2
Hou, Ai Jun
2
Li, Ziran
2
Maheu, John
2
Morley, Bruce
2
Strydom, Barry
2
Sun, Jiajing
2
Wang, Janchung
2
Wang, Shouyang
2
Wang, Weining
2
Aurora, Murgea
1
Bogda, Dima
1
Eeckels, Bruno
1
Filis, George
1
Floros, Christos
1
Gamboa-Estrada, Fredy
1
Ghoshray, Antanu
1
Ghoshray, Atanu
1
Haas, Markus
1
Ibrahim, Muhammad
1
Jung, Taehun
1
Karanasos, Menelaos
1
Karmakar, Madhusudan
1
Kim, Sangbae
1
Kumar, Satish
1
Li, Dandan
1
Liow, Kim
1
Liu, Dandan
1
Marilen, Pirtea
1
Morales-Zumaquero, Amalia
1
Odangiu, Andreea
1
Ovidiu, Mura Petru
1
Paul, Samit
1
Romero, José Vicente
1
Shi, Shimeng
1
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Asociación Española de Economía y Finanzas Internacionales - AEEFI
1
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
1
Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
1
Department of Economics and Related Studies, University of York
1
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Studies in Nonlinear Dynamics & Econometrics
3
Journal of international financial markets, institutions & money
2
Advances in Economic and Financial Research - DOFIN Working Paper Series
1
Annales Universitatis Apulensis Series Oeconomica
1
Applied Financial Economics
1
Applied economics
1
Borradores de economía
1
CIE working paper series
1
Discussion Papers / Department of Economics and Related Studies, University of York
1
Emerging Markets Finance and Trade
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Energy Economics
1
Energy economics
1
IRTG 1792 Discussion Paper
1
International Journal of Emerging Markets
1
International Review of Economics & Finance
1
International journal of emerging markets
1
International review of economics & finance : IREF
1
Journal of East Asian economic integration
1
Multinational finance journal
1
The European journal of finance
1
The Journal of Real Estate Finance and Economics
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Working Papers / Asociación Española de Economía y Finanzas Internacionales - AEEFI
1
Working Papers CIE
1
Working papers / ICEI
1
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ECONIS (ZBW)
14
RePEc
13
EconStor
1
Other ZBW resources
1
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Modelling CDS volatility at different tenures: an application for Latin-American countries
Gamboa-Estrada, Fredy
;
Romero, José Vicente
-
2022
Persistent link: https://www.econbiz.de/10013327085
Saved in:
2
Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
Asgharian, Hossein
;
Christiansen, Charlotte
;
Hou, Ai Jun
; …
-
2020
We propose a bivariate
component
GARCH
-MIDAS model to estimate the long- and short-run components of the variances and …
Persistent link: https://www.econbiz.de/10012433264
Saved in:
3
Long- and short-run components of factor betas : implications for stock pricing
Asgharian, Hossein
;
Christiansen, Charlotte
;
Hou, Ai Jun
; …
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012803274
Saved in:
4
Bitcoin futures : trade it or ban it?
Shi, Shimeng
;
Shi, Yukun
- In:
The European journal of finance
27
(
2021
)
4/5
,
pp. 381-396
Persistent link: https://www.econbiz.de/10012484365
Saved in:
5
Relative efficiency of
component
GARCH
-EVT approach in managing intraday market risk
Paul, Samit
;
Karmakar, Madhusudan
- In:
Multinational finance journal
21
(
2017
)
4
,
pp. 247-283
Persistent link: https://www.econbiz.de/10012547567
Saved in:
6
Volatility spillovers between foreing-exchange and stock markets
Morales Zumaquero, Amalia
;
Sosvilla-Rivero, Simón
-
2017
Persistent link: https://www.econbiz.de/10011716496
Saved in:
7
Does risk premium help uncover the uncovered interest parity failure?
Kumar, Satish
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012263300
Saved in:
8
Volatility spillovers between foreign exchange and stock markets in industrialized countries
Morales Zumaquero, Amalia
;
Sosvilla-Rivero, Simón
- In:
The quarterly review of economics and finance : journal …
70
(
2018
),
pp. 121-136
Persistent link: https://www.econbiz.de/10012035037
Saved in:
9
Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative
component
GARCH
with random effects
Feng, Yuanhua
-
2013
Persistent link: https://www.econbiz.de/10010194494
Saved in:
10
Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative
component
GARCH
with random effects
Feng, Yuanhua
-
Department Volkswirtschaftslehre, Fachbereich für …
-
2013
algorithm to carry out bivariate kernel estimation of the volatility surface. A spatial multiplicative
component
GARCH
with …
Persistent link: https://www.econbiz.de/10010902041
Saved in:
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