//--> //--> //--> //-->
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
~subject:"ARCH model"
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
Analytic approximations for mu...
Similar by person
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
ARCH model
Theorie
39
Theory
39
Volatility
33
Volatilität
33
Hedging
32
Option pricing theory
26
Optionspreistheorie
26
Risikomanagement
23
Portfolio selection
21
Portfolio-Management
21
ARCH-Modell
16
Derivat
15
Derivative
15
Risk management
12
GARCH
11
Risikomaß
11
Risk measure
11
Simulation
11
Statistical distribution
10
Statistische Verteilung
10
Option trading
9
Optionsgeschäft
9
Stochastic process
9
Stochastischer Prozess
9
Börsenkurs
8
Capital income
8
Kapitaleinkommen
8
Share price
8
Estimation theory
7
Risiko
7
Risk
7
Schätztheorie
7
Statistical method
7
Statistische Methode
7
VIX
7
Finanzanalyse
6
Marktrisiko
6
USA
6
United States
6
more ...
less ...
Online availability
All
Free
7
Undetermined
3
Type of publication
All
Article
11
Book / Working Paper
5
Type of publication (narrower categories)
All
Article in journal
11
Aufsatz in Zeitschrift
11
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
Working Paper
3
Language
All
English
16
Author
All
Alexander, Carol
16
Lazar, Emese
9
Stanescu, Silvia
6
Prokopczuk, Marcel
2
Sumawong, Anannit
2
Dakos, Michael
1
Han, Yang
1
Heck, Daniel F.
1
Kaeck, Andreas
1
Meng, Xiaochun
1
Sheedy, Elizabeth A.
1
more ...
less ...
Published in...
All
Discussion paper / ICMA Centre, Henley Business School, University of Reading
3
International journal of forecasting
2
Applied mathematical finance
1
Econometric reviews
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
Energy economics
1
ICMA Centre Discussion Papers in Finance DP
1
ICMA Centre Discussion Papers in Finance DP 2011-08
1
International review of financial analysis
1
Journal of applied econometrics
1
Journal of banking & finance
1
Oxford bulletin of economics and statistics
1
Quantitative finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
16
Showing
1
-
10
of
16
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Principal component models for generating large GARCH covariance matrices
Alexander, Carol
- In:
Economic notes : economic review of Banca Monte dei …
31
(
2002
)
2
,
pp. 337-359
Persistent link: https://www.econbiz.de/10001676004
Saved in:
2
Developing a stress testing framework based on market risk models
Alexander, Carol
;
Sheedy, Elizabeth A.
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
Saved in:
3
Normal mixture GARCH (1,1) : applications to exchange rate modelling
Alexander, Carol
;
Lazar, Emese
- In:
Journal of applied econometrics
21
(
2006
)
3
,
pp. 307-336
Persistent link: https://www.econbiz.de/10003315990
Saved in:
4
Modelling regime-specific stock price volatility
Alexander, Carol
;
Lazar, Emese
- In:
Oxford bulletin of economics and statistics
71
(
2009
)
6
,
pp. 761-797
Persistent link: https://www.econbiz.de/10003898987
Saved in:
5
Analytic approximations to GARCH aggregated returns distributions with applications to VaR and ETL
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
-
2011
Persistent link: https://www.econbiz.de/10009375528
Saved in:
6
Analytic moments for GARCH processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
-
2011
Persistent link: https://www.econbiz.de/10009375529
Saved in:
7
The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol
;
Prokopczuk, Marcel
;
Sumawong, Anannit
- In:
Energy economics
36
(
2013
),
pp. 698-707
Persistent link: https://www.econbiz.de/10009724605
Saved in:
8
Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
- In:
International review of financial analysis
30
(
2013
),
pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
Saved in:
9
The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol
;
Prokopczuk, Marcel
;
Sumawong, Anannit
-
2012
Persistent link: https://www.econbiz.de/10009520538
Saved in:
10
Analytic moments for GJR-GARCH (1, 1) processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 105-124
Persistent link: https://www.econbiz.de/10012692629
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->