//--> //--> //--> //-->
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
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 necessary and sufficient con...
Similar by subject
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
ARCH-Modell
10,525
ARCH model
10,331
Volatility
7,249
Volatilität
7,159
Theorie
5,835
Theory
5,523
Schätzung
4,887
Estimation
4,622
Ökonometrisches Modell
4,515
Zeitreihenanalyse
3,627
Time series analysis
3,412
Econometric model
3,043
Prognoseverfahren
3,039
Forecasting model
2,893
Börsenkurs
2,820
Kapitaleinkommen
2,773
Capital income
2,760
Share price
2,756
GARCH
2,433
Aktienmarkt
2,411
Stock market
2,400
Schätztheorie
2,147
Estimation theory
2,070
USA
1,849
United States
1,677
Welt
1,544
World
1,504
Wechselkurs
1,307
Exchange rate
1,290
Risikomaß
1,165
Cointegration
1,158
Risk measure
1,150
Spillover-Effekt
1,147
Spillover effect
1,140
EU-Staaten
975
Deutschland
958
Portfolio-Management
945
Portfolio selection
937
Korrelation
936
Correlation
928
more ...
less ...
Online availability
All
Free
19,905
Undetermined
4,951
Type of publication
All
Book / Working Paper
22,757
Article
11,768
Other
7
Journal
6
Type of publication (narrower categories)
All
Article in journal
8,230
Aufsatz in Zeitschrift
8,230
Working Paper
6,193
Graue Literatur
4,204
Non-commercial literature
4,204
Arbeitspapier
4,042
Hochschulschrift
571
Article
539
Aufsatz im Buch
487
Book section
487
Thesis
402
Collection of articles of several authors
235
Sammelwerk
235
Aufsatzsammlung
166
Dissertation u.a. Prüfungsschriften
155
Konferenzschrift
152
Bibliografie enthalten
122
Bibliography included
122
Collection of articles written by one author
87
Sammlung
87
Lehrbuch
78
Conference proceedings
73
Textbook
71
Conference paper
62
Konferenzbeitrag
62
Conference Paper
42
Systematic review
38
Übersichtsarbeit
38
research-article
30
Bibliografie
24
Case study
21
Fallstudie
21
Festschrift
20
Amtsdruckschrift
19
Government document
19
Forschungsbericht
17
Research Report
14
Rezension
14
Handbook
12
Handbuch
12
more ...
less ...
Language
All
English
25,654
Undetermined
7,653
German
722
Spanish
178
French
98
Portuguese
51
Polish
41
Russian
37
Italian
26
Turkish
23
Czech
21
Romanian
11
Korean
9
Bulgarian
4
Croatian
4
Hungarian
4
Lithuanian
4
Slovak
4
Ukrainian
4
Finnish
3
Danish
2
Dutch
2
Slovenian
2
Estonian
1
Norwegian
1
Swedish
1
Chinese
1
more ...
less ...
Author
All
McAleer, Michael
506
Caporale, Guglielmo Maria
439
Chang, Chia-Lin
232
Gil-Alana, Luis A.
228
Koopman, Siem Jan
224
Gil-Alaña, Luis A.
200
Gupta, Rangan
185
Phillips, Peter C. B.
147
Teräsvirta, Timo
144
Nielsen, Morten Ørregaard
126
Franses, Philip Hans
122
Sibbertsen, Philipp
117
Swanson, Norman R.
117
Dreger, Christian
111
Phillips, Peter C.B.
111
Bauwens, Luc
104
Herwartz, Helmut
101
Morana, Claudio
98
Caporin, Massimiliano
96
Manera, Matteo
95
Kapetanios, George
92
Hafner, Christian M.
91
Engle, Robert F.
90
Corradi, Valentina
85
Siliverstovs, Boriss
84
Lucas, André
82
McMillan, David G.
82
Saikkonen, Pentti
81
Bollerslev, Tim
77
Hautsch, Nikolaus
77
Yu, Jun
77
Conrad, Christian
76
Wolters, Jürgen
75
Ardia, David
73
Karanasos, Menelaos
73
Medeiros, Marcelo C.
72
Linton, Oliver
71
Blasques, Francisco
69
Francq, Christian
68
Ma, Feng
66
more ...
less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
942
School of Economics and Management, University of Aarhus
191
EconWPA
175
Cowles Foundation for Research in Economics, Yale University
141
National Bureau of Economic Research
135
Econometric Society
108
Society for Computational Economics - SCE
105
Department of Econometrics and Business Statistics, Monash Business School
104
Tinbergen Instituut
102
C.E.P.R. Discussion Papers
98
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
85
National Bureau of Economic Research (NBER)
68
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
67
London School of Economics (LSE)
66
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
65
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
64
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
63
Department of Economics, Oxford University
60
CESifo
58
Tinbergen Institute
58
Department of Economics, Faculty of Economic and Management Sciences
53
Banque de France
52
School of Economics and Finance, Queen Mary
49
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
48
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
47
Banco de España
45
Department of Economics and Finance, College of Business and Economics
45
Department of Economics, Boston College
45
Institutionen för Nationalekonomi, Umeå Universitet
43
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
43
Banca d'Italia
41
Department of Economics, Rutgers University-New Brunswick
41
Université Paris-Dauphine (Paris IX)
39
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
37
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
35
Economics Department, Queen's University
35
Faculty of Economics, University of Cambridge
34
Institut für Weltwirtschaft (IfW)
32
Institute of Economic Research, Kyoto University
32
Ekonomiska forskningsinstitutet <Stockholm>
31
more ...
less ...
Published in...
All
MPRA Paper
935
Energy economics
277
Working Paper
245
CESifo Working Paper
239
Discussion paper / Tinbergen Institute
225
ECB Working Paper
210
Finance research letters
204
CESifo working papers
195
Tinbergen Institute Discussion Paper
193
Applied economics
182
Journal of econometrics
175
CREATES Research Papers
170
Economic modelling
169
Tinbergen Institute Discussion Papers
160
CESifo Working Paper Series
153
International review of financial analysis
147
Working paper / National Bureau of Economic Research, Inc.
142
Cowles Foundation Discussion Papers
141
Journal of empirical finance
139
Working paper
127
Econometrics
126
International review of economics & finance : IREF
125
Research in international business and finance
125
The North American journal of economics and finance : a journal of financial economics studies
125
NBER working paper series
122
Discussion paper / Centre for Economic Policy Research
120
Economics letters
117
Journal of banking & finance
115
SSE/EFI Working Paper Series in Economics and Finance
113
Journal of international financial markets, institutions & money
108
International journal of forecasting
105
Journal of risk and financial management : JRFM
105
Applied financial economics
102
NBER Working Paper
102
CEPR Discussion Papers
99
Economic Modelling
96
Cowles Foundation Discussion Paper
95
Journal of forecasting
94
Monash Econometrics and Business Statistics Working Papers
94
Journal of Econometrics
91
more ...
less ...
Source
All
ECONIS (ZBW)
21,919
RePEc
9,227
EconStor
2,759
USB Cologne (EcoSocSci)
426
USB Cologne (business full texts)
65
OLC EcoSci
48
ArchiDok
34
Other ZBW resources
31
BASE
29
more ...
less ...
Showing
181
-
190
of
34,538
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
181
Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?
Katzke, Nico
;
Garbers, Chris
-
Department of Economics, Fakulteit Ekonomiese en …
-
2015
variants of the widely used
GARCH
family of second order persistence models that control for these effects, and compare the …
Persistent link: https://www.econbiz.de/10011228198
Saved in:
182
How Volatile is ENSO?
McAleer, Michael
;
Chu, Chu, L.
;
Chen, Chen, C-C.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning …
Persistent link: https://www.econbiz.de/10010837928
Saved in:
183
Stable mixture
GARCH
models
Broda, Simon A.
;
Haas, Markus
;
Krause, Jochen
; …
- In:
Journal of Econometrics
172
(
2013
)
2
,
pp. 292-306
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
Saved in:
184
Marginal likelihood for Markov-switching and change-point
GARCH
models
BAUWENS, Luc
;
DUFAYS, Arnaud
;
ROMBOUTS, Jeroen V.K.
-
Center for Operations Research and Econometrics (CORE), …
-
2011
GARCH
volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching
GARCH
and change-point
GARCH
models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10010610474
Saved in:
185
The functional central limit theorem for ARMA–
GARCH
processes
Lee, O.
- In:
Economics Letters
121
(
2013
)
3
,
pp. 432-435
In this paper, we study the functional central limit theorem for ARMA–
GARCH
processes. We prove that, under the finite … second moment assumption, the stationary ARMA–
GARCH
process is geometricallyL2-NED and that the functional central limit …
Persistent link: https://www.econbiz.de/10010729477
Saved in:
186
Time-varying mixture
GARCH
models and asymmetric volatility
Haas, Markus
;
Krause, Jochen
;
Paolella, Marc S.
; …
- In:
The North American Journal of Economics and Finance
26
(
2013
)
C
,
pp. 602-623
The class of mixed normal conditional heteroskedastic (MixN-
GARCH
) models, which couples a mixed normal distributional … structure with
GARCH
-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as … well as excellent out-of-sample forecasting performance, for financial asset returns. In this paper, we generalize the MixN-
GARCH
…
Persistent link: https://www.econbiz.de/10010730246
Saved in:
187
It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael
;
da Veiga, da Veiga, B.
;
Chan, Chan, F.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
Saved in:
188
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732596
Saved in:
189
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
conditional mean specifications. The QMLE for the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …
Persistent link: https://www.econbiz.de/10010732607
Saved in:
190
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732623
Saved in:
First
Prev
15
16
17
18
19
20
21
22
23
24
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->