Works about ARCH model (Econometrics)

Results: 480

Changing Inflation Dynamics and Uncertainty in the United States.

Published in:

Southern Economic Journal, 2009, v. 75, n. 3, p. 736, doi. 10.1002/j.2325-8012.2009.tb00929.x

By:

Miles, William;
Vijverberg, Chu-Ping C.

Publication type:

Article

News and Market Efficiency in the Japanese Stock Market.

Published in:

Journal of Behavioral Finance, 2021, v. 22, n. 3, p. 306, doi. 10.1080/15427560.2020.1774886

By:

Du, Wenti

Publication type:

Article

Emotions in the Stock Market.

Published in:

Journal of Behavioral Finance, 2020, v. 21, n. 1, p. 42, doi. 10.1080/15427560.2019.1588275

By:

Griffith, John;
Najand, Mohammad;
Shen, Jiancheng

Publication type:

Article

Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 3, p. 319, doi. 10.1007/s10690-010-9133-1

By:

Allali, Abdelwahab;
Oueslati, Amor;
Trabelsi, Abdelwahed

Publication type:

Article

Mixed vector autoregression and GARCH–Copula approach for long-term streamflow probabilistic forecasting in a multisite system.

Published in:

Stochastic Environmental Research & Risk Assessment, 2025, v. 39, n. 3, p. 1039, doi. 10.1007/s00477-025-02906-4

By:

Ji, Saijin;
Xu, Bin;
Sun, Yu;
Mo, Ran;
Wang, Sen;
Lu, Peng

Publication type:

Article

COULD DYNAMIC BETA MEASURES ENHANCE PERFORMANCE OF CAPITAL-ASSET-PRICING MODEL ON FITTING STOCK RETURNS? A REALITY TEST.

Published in:

Manchester School (1463-6786), 2011, v. 79, n. 3, p. 349, doi. 10.1111/j.1467-9957.2009.02161.x

By:

LI, MING-YUAN LEON

Publication type:

Article

Measuring and Analyzing the Impact of Public Debt on Investment in Iraq for the period (2004-2019).

Published in:

Iraqi Journal For Economic Sciences, 2023, v. 21, n. 79, p. 393, doi. 10.31272/IJES2023.79.E22

By:

Noori, Nyaz Najmalddin;
Saeed, Sazan Taher

Publication type:

Article

Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process.

Published in:

Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1080-6

By:

Yu, Shihang

Publication type:

Article

A note on simultaneous calibrated prediction intervals for time series.

Published in:

Statistical Methods & Applications, 2021, v. 30, n. 1, p. 317, doi. 10.1007/s10260-020-00526-6

By:

Fonseca, Giovanni;
Giummolè, Federica;
Vidoni, Paolo

Publication type:

Article

Improved multivariate prediction regions for Markov process models.

Published in:

Statistical Methods & Applications, 2017, v. 26, n. 1, p. 1, doi. 10.1007/s10260-016-0362-y

By:

Vidoni, Paolo

Publication type:

Article

ORDINARY LEAST SQUARES ESTIMATION OF A DYNAMIC GAME MODEL.

Published in:

International Economic Review, 2016, v. 57, n. 2, p. 623, doi. 10.1111/iere.12170

By:

Miessi Sanches, Fabio A.;
Silva, Daniel Junior;
Srisuma, Sorawoot

Publication type:

Article

Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 1, p. 13, doi. 10.3390/math11010013

By:

Tan, Shay Kee;
Ng, Kok Haur;
Chan, Jennifer So-Kuen

Publication type:

Article

Dynamics under Uncertainty: Modeling Simulation and Complexity.

Published in:

2021

By:

Pamučar, Dragan;
Marinković, Dragan;
Kar, Samarjit

Publication type:

Editorial

Volatility Forecasting for High-Frequency Financial Data Based on Web Search Index and Deep Learning Model.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 4, p. 320, doi. 10.3390/math9040320

By:

Lei, Bolin;
Zhang, Boyu;
Song, Yuping;
Rosazza Gianin, Emanuela

Publication type:

Article

A Robust Algorithm for Classification and Diagnosis of Brain Disease Using Local Linear Approximation and Generalized Autoregressive Conditional Heteroscedasticity Model.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 8, p. 1268, doi. 10.3390/math8081268

By:

Hamzenejad, Ali;
Jafarzadeh Ghoushchi, Saeid;
Baradaran, Vahid;
Mardani, Abbas

Publication type:

Article

The Impact of International Sanctions on Russian Financial Markets.

Published in:

Economies, 2020, v. 8, n. 4, p. 107, doi. 10.3390/economies8040107

By:

Sultonov, Mirzosaid

Publication type:

Article

Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models.

Published in:

Economic Research-Ekonomska Istrazivanja, 2018, v. 31, n. 1, p. 1198, doi. 10.1080/1331677X.2018.1456358

By:

Ahmed, Rizwan Raheem;
Vveinhardt, Jolita;
Streimikiene, Dalia;
Channar, Zahid Ali

Publication type:

Article

Football et Bourse : Analyse de la volatilité autour des annonces de résultats.

Published in:

Recherches en Sciences de Gestion, 2012, n. 91, p. 85

By:

Benkraiem, Ramzi;
Le Roy, Frédéric;
Louhichi, Waël

Publication type:

Article

Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series.

Published in:

Indonesian Capital Market Review, 2020, v. 12, n. 1, p. 12

By:

Bakhtiar, M. Rifki

Publication type:

Article

Modelling and Prediction of Oil Price Fluctuations of the OPEC Reference Basket (ORB).

Published in:

Caspian Journal of Applied Sciences Research, 2016, v. 5, n. 1, p. 15

By:

Abbasi, Farzaneh;
Pazouki, Azadeh

Publication type:

Article

Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages.

Published in:

Journal of Econometric Methods, 2021, v. 10, n. 1, p. 33, doi. 10.1515/jem-2020-0004

By:

Kawakatsu, Hiroyuki

Publication type:

Article

VADELİ PAMUK EMTİASI GETİRİSİ İLE PAMUK REEL PİYASA DİNAMİKLERİNİN ETKİLEŞİMİ.

Published in:

Istanbul Commerce University Journal of Social Sciences / İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 2020, v. 19, n. 37, p. 733

By:

ÖZAYDIN, Orhan;
ÇANKAYA, Serkan

Publication type:

Article

Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space.

Published in:

Econometrics Journal, 2024, v. 27, n. 1, p. 107, doi. 10.1093/ectj/utad022

By:

Nielsen, Heino Bohn;
Rahbek, Anders

Publication type:

Article

Weighted composite quantile regression estimation of DTARCH models.

Published in:

Econometrics Journal, 2014, v. 17, n. 1, p. 1, doi. 10.1111/ectj.12023

By:

Jiang, Jiancheng;
Jiang, Xuejun;
Song, Xinyuan

Publication type:

Article

Misspecification tests based on quantile residuals.

Published in:

Econometrics Journal, 2012, v. 15, n. 2, p. 358, doi. 10.1111/j.1368-423X.2011.00364.x

By:

Kalliovirta, Leena

Publication type:

Article

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student- t innovations.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 105, doi. 10.1111/j.1368-423X.2008.00253.x

By:

Ardia, David

Publication type:

Article

Testing for volatility interactions in the Constant Conditional Correlation GARCH model.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 147, doi. 10.1111/j.1368-423X.2008.00261.x

By:

Nakatani, Tomoaki;
Teräsvirta, Timo

Publication type:

Article

Causality and forecasting in temporally aggregated multivariate GARCH processes.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 127, doi. 10.1111/j.1368-423X.2008.00276.x

By:

Hafner, Christian M.

Publication type:

Article

Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent.

Published in:

Econometrics Journal, 2008, v. 11, n. 3, p. 638, doi. 10.1111/j.1368-423X.2008.00257.x

By:

Sandberg, Rickard

Publication type:

Article

Illuminating ARIMA model-based seasonal adjustment with three fundamental seasonal models.

Published in:

SERIEs, 2016, v. 7, n. 1, p. 11, doi. 10.1007/s13209-016-0139-4

By:

Findley, David;
Lytras, Demetra;
Maravall, Agustin

Publication type:

Article

RBI Forecast Vs. GARCH-Based ARIMA Forecast for Indian Rupee-US Dollar Exchange Rate: A Comparison.

Published in:

IUP Journal of Bank Management, 2010, v. 9, n. 4, p. 7

By:

Datta, Kanchan;
Mukhopadhyay, Chandan Kumar

Publication type:

Article

Herding During Market Upturns and Downturns: International Evidence.

Published in:

IUP Journal of Applied Finance, 2013, v. 19, n. 2, p. 5

By:

Mabrouk Houda, Ben;
Mohamed, Fakhfekh

Publication type:

Article

Modeling Volatility for the Indian Stock Market.

Published in:

IUP Journal of Applied Economics, 2010, v. 9, n. 1, p. 79

By:

Thiripalraju, M.;
Acharya, H. Rajesh

Publication type:

Article

Expiration Day Effects of Derivatives in India.

Published in:

SCMS Journal of Indian Management, 2016, v. 13, n. 3, p. 25

By:

Chadha, Neetu;
Singhal, Neha

Publication type:

Article

VALUE-AT-RISK (VAR) ANALYSIS AND LONG MEMORY: EVIDENCE FROM FIAPARCH IN ISTANBUL STOCK EXCHANGE (ISE).

Published in:: Ataturk University Journal of Economics & Administrative Sciences, 2010, v. 24, n. 4, p. 217
Publication type:: Article

Stochastic models with heteroskedasticity: a Bayesian approach for Ibovespa returns.

Published in:

Acta Scientiarum: Technology, 2013, v. 35, n. 2, p. 339, doi. 10.4025/actascitechnol.v35i2.13547

By:

de Oliveiral, Sandra Cristina;
Gomes de Andrade, Marinho

Publication type:

Article

A general framework for spatial GARCH models.

Published in:

Statistical Papers, 2023, v. 64, n. 5, p. 1721, doi. 10.1007/s00362-022-01357-1

By:

Otto, Philipp;
Schmid, Wolfgang

Publication type:

Article

Stochastic properties of spatial and spatiotemporal ARCH models.

Published in:

Statistical Papers, 2021, v. 62, n. 2, p. 623, doi. 10.1007/s00362-019-01106-x

By:

Otto, Philipp;
Schmid, Wolfgang;
Garthoff, Robert

Publication type:

Article

Asymptotic normality of the MLE in the level-effect ARCH model.

Published in:

Statistical Papers, 2021, v. 62, n. 1, p. 117, doi. 10.1007/s00362-019-01086-y

By:

Dahl, Christian M.;
Iglesias, Emma M.

Publication type:

Article

Wild bootstrap tests for autocorrelation in vector autoregressive models.

Published in:

Statistical Papers, 2017, v. 58, n. 4, p. 1189, doi. 10.1007/s00362-016-0744-0

By:

Ahlgren, Niklas;
Catani, Paul

Publication type:

Article

Analysis of Corporate Bond Yield Spread Based on the Volatility Clustering Effect.

Published in:

IAENG International Journal of Applied Mathematics, 2019, v. 49, n. 4, p. 605

By:

Jiemin Huang;
Jiaoju Ge;
Yixiang Tian

Publication type:

Article

Rocking Stability of Masonry Arches in Seismic Regions.

Published in:

Earthquake Spectra, 2008, v. 24, n. 4, p. 847, doi. 10.1193/1.2985763

By:

DeJong, Matthew J.;
De Lorenzis, Laura;
Adams, Stuart;
Ochsendorf, John A.

Publication type:

Article

Housing and Stock Market Returns: An Application of GARCH Enhanced VECM.

Published in:

ICFAI Journal of Financial Economics, 2008, v. 6, n. 2, p. 30

By:

Anoruo, Emmanuel;
Braha, Habtu

Publication type:

Article

The Contribution of R&D Expenditure to Economic Growth in Developing Economies.

Published in:

Social Indicators Research, 2015, v. 124, n. 3, p. 727, doi. 10.1007/s11205-014-0807-3

By:

Inekwe, John

Publication type:

Article

Explaining the Dynamics and Drivers of Financial Well-Being in the European Union.

Published in:

Social Indicators Research, 2015, v. 120, n. 3, p. 701, doi. 10.1007/s11205-014-0612-z

By:

Răileanu-Szeles, Monica

Publication type:

Article

Hierarchical Bayesian strategy for modeling correlated compositional data with observed zero counts.

Published in:

Environmental & Ecological Statistics, 2012, v. 19, n. 3, p. 327, doi. 10.1007/s10651-012-0189-0

By:

Huston, Carolyn;
Schwarz, Carl

Publication type:

Article

Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications* Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications.

Published in:

Oxford Bulletin of Economics & Statistics, 2012, v. 74, n. 5, p. 716, doi. 10.1111/j.1468-0084.2011.00669.x

By:

Sucarrat, Genaro;
Escribano, Alvaro

Publication type:

Article

GMM Estimation with Non-causal Instruments.

Published in:

Oxford Bulletin of Economics & Statistics, 2011, v. 73, n. 5, p. 581, doi. 10.1111/j.1468-0084.2010.00631.x

By:

Lanne, Markku;
Saikkonen, Pentti

Publication type:

Article

The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange.

Published in:

Cogent Economics & Finance, 2022, v. 10, n. 1, p. 1, doi. 10.1080/23322039.2022.2158007

By:

Muguto, Hilary Tinotenda;
Muguto, Lorraine;
Bhayat, Azra;
Ncalane, Hawaa;
Jack, Kara Jasmine;
Abdullah, Saadia;
Nkosi, Thabile Siphesihle;
Muzindutsi, Paul-Francois

Publication type:

Article

Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange.

Published in:

Cogent Economics & Finance, 2019, v. 7, n. 1, p. 1, doi. 10.1080/23322039.2019.1600233

By:

Rupande, Lorraine;
Muguto, Hilary Tinotenda;
Muzindutsi, Paul-Francois;
Yang, Zhaojun

Publication type:

Article