//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~institution:"Erasmus University Rotterdam, Econometric Institute"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~subject:"Volatility"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
A Markov-Chain Sampling Algori...
Similar by subject
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Volatility
GARCH
94
Bayesian inference
11
EGARCH
10
volatility
6
exchange rates
5
GJR
4
GMM
4
Markov chain Monte Carlo
4
importance sampling
4
neural networks
4
ARCH
3
CAPM
3
Forecasting
3
HAR
3
Istanbul Stock Exchange
3
Romanian Capital Market
3
Skewness
3
asymmetry
3
emerging markets
3
global financial crisis
3
leverage
3
APARCH
2
Asset pricing
2
Asymmetry
2
Bayesian
2
Bayesian decision making
2
Bootstrap Methods
2
Calendar Anomalies
2
Commodity Transaction Tax
2
Conditional Asymmetry
2
Confidence Intervals and Sets
2
Coverage Accuracy and Expected Length
2
Exchange Rates
2
Fiducial Inference
2
Futures
2
Garch
2
Inflation
2
KLIC
2
Korean tourist arrivals
2
more ...
less ...
Online availability
All
Free
19
Type of publication
All
Book / Working Paper
19
Language
All
Undetermined
19
Author
All
Onour, Ibrahim
3
Dumitriu, Ramona
2
Sinha, Gyanesh
2
Sinha, Pankaj
2
Stefanescu, Razvan
2
Antunes, João Marques
1
Ari, Yakup
1
Bhattacharyya, Surajit
1
Caiado, Jorge
1
Chen, C-C.
1
Chu, L.F.
1
Crato, Nuno
1
Douch, Mohamed
1
Enrique, Luis
1
Essaddam, Naceur
1
Ezzat, Hassan
1
Fuinhas, José Alberto
1
Hasan, Syed Akif
1
Jing, Li
1
Marques, António Cardoso
1
McAleer, M.J.
1
Mulyadi, Martin Surya
1
Osman, Ms. Amber
1
Saxena, Arunima
1
Schroeder, Gerhard
1
Subhani, Muhammad Imtiaz
1
Sánchez, Pedauga
1
Thompson, Henry
1
more ...
less ...
Institution
All
Erasmus University Rotterdam, Econometric Institute
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Federal Reserve Bank of St. Louis
2
University of Chicago / Graduate School of Business
2
Université Paris-Dauphine (Paris IX)
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Centro de Estudos e Formação Avançada em Gestão e Economia (CEFAGE-UE), Universidade de Évora
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Department of Economics and Finance, College of Business and Economics
1
Department of Economics, Oxford University
1
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
1
Dipartimento di Statistica, Università degli Studi di Milano-Bicocca
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Economics Group, Nuffield College, University of Oxford
1
Facoltà di Economia, Università degli Studi dell'Insubria
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
HAL
1
Institute of Economic Research, Kyoto University
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien (IAMO)
1
London School of Economics (LSE)
1
National Bureau of Economic Research
1
National Centre for Econometric Research (NCER)
1
Nuffield College
1
School of Economics and Management, University of Aarhus
1
School of Economics, Universiteit Utrecht
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Society for Computational Economics - SCE
1
Université Paris-Dauphine
1
Westfälische Wilhelms-Universität Münster
1
Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
1
eSocialSciences
1
more ...
less ...
Published in...
All
MPRA Paper
18
Econometric Institute Report
1
Source
All
RePEc
19
Showing
1
-
10
of
19
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange
Stefanescu, Razvan
;
Dumitriu, Ramona
-
Volkswirtschaftliche Fakultät, …
-
2013
sub-samples corresponding to different stages of the Romanian financial markets evolution. The
GARCH
models employed in …
Persistent link: https://www.econbiz.de/10011258604
Saved in:
2
An Application of
GARCH
while investigating volatility in stock returns of the World.
Subhani, Muhammad Imtiaz
;
Hasan, Syed Akif
;
Osman, Ms. Amber
-
Volkswirtschaftliche Fakultät, …
-
2012
periods.
GARCH
(1, 1) was deployed for investigating the possible eventualities of volatilities of stock markets. The findings …, almost for all countries
GARCH
(1, 1) yielded significant results confirming the existence of volatility of stock markets for …
Persistent link: https://www.econbiz.de/10011260497
Saved in:
3
Volatility spillover in Indonesia, USA, and Japan capital market
Mulyadi, Martin Surya
-
Volkswirtschaftliche Fakultät, …
-
2009
GARCH
(1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting …
Persistent link: https://www.econbiz.de/10005019445
Saved in:
4
Forward-Looking Beta Estimates:Evidence from an Emerging Market
Onour, Ibrahim
-
Volkswirtschaftliche Fakultät, …
-
2008
Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...
Persistent link: https://www.econbiz.de/10004961496
Saved in:
5
Natural Gas markets:How Sensitive to Crude Oil Price Changes?
Onour, Ibrahim
-
Volkswirtschaftliche Fakultät, …
-
2009
This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels...
Persistent link: https://www.econbiz.de/10004961504
Saved in:
6
Volatility Spillover in India, USA and Japan Investigation of Recession Effects
Sinha, Pankaj
;
Sinha, Gyanesh
-
Volkswirtschaftliche Fakultät, …
-
2010
the very same day), or dynamic/lagged (with one day lag). A
GARCH
(1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10008543770
Saved in:
7
How Volatile is ENSO?
Chu, L.F.
;
McAleer, M.J.
;
Chen, C-C.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a …
Persistent link: https://www.econbiz.de/10005034225
Saved in:
8
A
GARCH
-based method for clustering of financial time series: International stock markets evidence
Caiado, Jorge
;
Crato, Nuno
-
Volkswirtschaftliche Fakultät, …
-
2007
generalized autoregressive conditional heteroskedasticity (
GARCH
) models we estimate the distances between the stock return …
Persistent link: https://www.econbiz.de/10005619617
Saved in:
9
Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
Antunes, João Marques
;
Fuinhas, José Alberto
; …
-
Volkswirtschaftliche Fakultät, …
-
2014
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993...
Persistent link: https://www.econbiz.de/10011108622
Saved in:
10
Volatility Spillover in India, USA and Japan Investigation of Recession Effects
Sinha, Pankaj
;
Sinha, Gyanesh
-
Volkswirtschaftliche Fakultät, …
-
2010
the very same day), or dynamic/lagged (with one day lag). A
GARCH
(1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10011108677
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->