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Ключевое слово garch [18 articles]

Recent papers classified by the tag garch.
  • Stock market dynamics in a regime-switching asymmetric power GARCH model
    International Review of Financial Analysis, Vol. 15, No. 2. (2006), pp. 109-129.
    by Thierry Ane, Loredana Ureche-Rangau
    posted to finance garch time-series by RobHayward on 2006-04-28 08:48:38 as **
  • Chinese institutional investors' sentiment
    Journal of International Financial Markets, Institutions and Money, Vol. 18, No. 4. (October 2008), pp. 374-387.
    by Gerhard Kling, Lei Gao
    posted to sentiment momentum garch fx by RobHayward on 2008-06-18 22:13:22 as **
  • An evolutionary game theory explanation of ARCH effects
    Journal of Economic Dynamics and Control, Vol. In Press, Corrected Proof
    by William R Parke, George A Waters
    posted to game garch by RobHayward on 2006-09-12 16:30:16 as ** along with 1 person and 1 group f_goltz assetpricing
  • Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
    Journal of International Money and Finance, Vol. 25, No. 5. (August 2006), pp. 719-740.
    by Christian M Hafner, Helmut Herwartz
    posted to econometrics fx garch by RobHayward on 2006-09-11 14:57:50 as *****
  • Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market
    Pacific-Basin Finance Journal, Vol. 14, No. 2. (April 2006), pp. 193-208.
    by Mingshu Hua, Yin-Feng Gau
    posted to fx garch volatility by RobHayward on 2006-04-10 21:46:16 as **
  • The longer-horizon predictability of German stock market volatility
    International Journal of Forecasting, Vol. 22, No. 2. ( 2006), pp. 363-372.
    by Burkhard Raunig
    posted to garch volatility by RobHayward on 2006-05-02 20:52:08 as **
  • Dynamics of realized volatilities and correlations: An empirical study
    Journal of Banking & Finance, Vol. 30, No. 7. (July 2006), pp. 2109-2130.
    by Rene Ferland, Simon Lalancette
    posted to garch volatility by RobHayward on 2006-06-13 06:42:38 as **
  • Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
    Journal of Econometrics, Vol. In Press, Corrected Proof
    by Yongmiao Hong, Haitao Li, Feng Zhao
    posted to forecast fx garch time-series by RobHayward on 2007-03-05 15:49:00 as **
  • An Intelligent Statistical Arbitrage Trading System
    Social Science Research Network Working Paper Series
    by NICK Kondakis, Nikos S Thomaidis
    posted to trading statistics statarb neuralnetwork neuralnet garch arbitrage by pdlug on 2008-05-04 01:03:43 as **
  • Testing for a unit root in time series regression
    Biometrika, Vol. 75, No. 2. (1 June 1988), pp. 335-346.
    by Peter C Phillips, Pierre Perron
    posted to autocorrelation dipl-meth garch stationarity by ChristianRauh on 2008-04-04 18:02:10 as read along with 1 person RobHayward
  • notes Market Models: A Guide to Financial Data Analysis
    (15 November 2001)
    by Carol Alexander
    posted to dipl-meth event-study garch volatility-effects by ChristianRauh on 2007-08-17 09:16:25 as *****
  • Time-Varying Parameter Regression Models
    American Journal of Political Science, Vol. 27, No. 3. (1983), pp. 557-600.
    by Nathaniel Beck
    posted to dipl-meth garch volatility-effects by ChristianRauh on 2007-12-04 13:28:40 as ****
  • Distribution of the Estimators for Autoregressive Time Series With a Unit Root
    Journal of the American Statistical Association, Vol. 74, No. 366. (1979), pp. 427-431.
    by David A Dickey, Wayne A Fuller
    posted to stationarity garch dipl-meth by ChristianRauh on 2008-02-11 12:13:07 as ***
  • notes Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
    Econometrica, Vol. 50, No. 4. (1982), pp. 987-1007.
    by Robert F Engle
    posted to autocorrelation dipl-meth garch volatility-effects by ChristianRauh on 2008-02-12 09:01:12 as *** along with 1 person willhmoore
  • Democratic Processes and Financial Markets: Pricing Politics
    (24 July 2006)
    by William Bernhard, David Leblang
    posted to dipl-meth event-study financial-markets garch volatility-effects by ChristianRauh on 2007-12-04 09:17:20 as **
  • New frontiers for arch models
    Journal of Applied Econometrics, Vol. 17, No. 5. (2002), pp. 425-446.
    by Robert Engle
    posted to dipl-meth garch by ChristianRauh on 2007-12-04 09:12:05 as **
  • Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
    Journal of the American Statistical Association, Vol. 65, No. 332. (1970), pp. 1509-1526.
    by GEP Box, David A Pierce
    posted to autocorrelation dipl-meth event-study garch by ChristianRauh on 2008-02-11 19:07:37 as ***
  • On a Measure of Lack of Fit in Time Series Models
    Biometrika, Vol. 65, No. 2. (1978), pp. 297-303.
    by GM Ljung, GEP Box
    posted to autocorrelation dipl-meth event-study garch by ChristianRauh on 2008-02-11 19:06:41 as **
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