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2010, 1. Aufl., ISBN 9780470683910, xiv, 489
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced... 
Investments | Finance | Mathematical models
Book
European Review of Agricultural Economics, ISSN 0165-1587, 2014, Volume 41, Issue 2, pp. 301 - 325
This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, Europe and Asia. We follow a multivariate... 
multivariate GARCH | futures markets | volatility transmission | agricultural commodities | UNITED-STATES | SPOT | STOCK RETURNS | MODELS | AGRICULTURAL ECONOMICS & POLICY | GENERALIZED ARCH | CONDITIONAL HETEROSKEDASTICITY | ECONOMICS | MULTIVARIATE GARCH ANALYSIS | PRICE DISCOVERY | Studies | Commodity markets | Stochastic models | Multivariate analysis | Volatility | Futures market
Journal Article
Energy conversion and management, ISSN 0196-8904, 2015, Volume 105, pp. 880 - 890
Journal Article
Finance research letters, ISSN 1544-6123, 2016, Volume 16, pp. 85 - 92
This paper explores the financial asset capabilities of bitcoin using GARCH models. The initial model showed several similarities to gold and the dollar... 
Volatility | GARCH | Bitcoin | BUSINESS, FINANCE | Portfolio management | Analysis | Financial markets
Journal Article
Energy economics, ISSN 0140-9883, 2018, Volume 74, pp. 287 - 298
Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large... 
Log-GARCH | Volatility | Exponential GARCH | ARCH | Nord Pool | Dynamic conditional correlations | Leverage | Financial return | Multivariate GARCH | Electricity prices | EGARCH MODELS | SERIES | INFERENCE | OUTLIERS | GARCH MODELS | FINANCIAL RETURNS | CONDITIONAL HETEROSKEDASTICITY | ECONOMICS | VARIANCE
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2009, Volume 153, Issue 2, pp. 122 - 132
Journal Article
Journal of international financial markets, institutions & money, ISSN 1042-4431, 2012, Volume 22, Issue 5, pp. 1091 - 1109
► We examine return co-movements and volatility spillovers between major exchange rates in the pre- and post-euro period. ► Co-movements and spillovers are, on... 
Exchange returns co-movement | Variance decomposition | Volatility spillover | VAR | Multivariate GARCH | BUSINESS, FINANCE | MULTIVARIATE MODELS | MARKET | ECONOMICS | IMPULSE-RESPONSE ANALYSIS
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2010, Volume 159, Issue 1, pp. 55 - 73
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a... 
Kernel estimation | GARCH | Semiparametric | Local stationarity | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY | TIME-SERIES | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | GARCH MODEL | HETEROSCEDASTICITY | GARCH Kernel estimation Local stationarity Semiparametric
Journal Article
Journal of business & economic statistics, ISSN 0735-0015, 2017, Volume 37, Issue 2, pp. 363 - 375
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating second moments can be approached from two... 
Dynamic conditional correlation | Composite likelihood | GARCH | Markowitz portfolio selection | Nonlinear shrinkage | EIGENVALUES | SPECTRUM ESTIMATION | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | VARIANCE
Journal Article
Journal Article
International Review of Financial Analysis, ISSN 1057-5219, 2009, Volume 18, Issue 1, pp. 58 - 65
This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of... 
GARCH-X | BEKK GARCH-X and variance | GARCH | Hedge ratio | BEKK GARCH | Hedge ratio GARCH BEKK GARCH GARCH-X BEKK GARCH-X and variance | Hedging (Finance) | Futures market | Commodity futures
Journal Article
Journal of Business & Economic Statistics, ISSN 0735-0015, 04/2020, Volume 38, Issue 2, pp. 229 - 242
We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component... 
Mixed-frequency data | Volatility component models | Long-term volatility | GARCH-MIDAS | LM test
Journal Article
Applied energy, ISSN 0306-2619, 2017, Volume 193, pp. 414 - 425
•We assessed the market performance of Shenzhen’s emission trading scheme.•Trading records were used to estimate the degree of volatility and return... 
Climate change | Emission trading | Allowance price | GARCH model | China | Carbon market | ENERGY & FUELS | MODEL | CHALLENGES | ENGINEERING, CHEMICAL | STOCK RETURNS | SCHEME | PILOTS | TIME-SERIES | UNIT-ROOT | GARCH | ALLOWANCE PRICES | VOLATILITY | Air pollution | Financial markets | Global temperature changes | Emissions credit trading | Pricing
Journal Article
Physica A, ISSN 0378-4371, 2017, Volume 465, pp. 374 - 383
Aiming to investigate the evolution of mean and volatility spillovers between oil and stock markets in the time and frequency dimensions, we employed WTI crude... 
Wavelet | GARCH–BEKK model | Multi-scale | Volatility spillover | Stock index | Oil price | PHYSICS, MULTIDISCIPLINARY | BEHAVIOR | CHINA | RETURNS | CRUDE-OIL | TRANSMISSION | FUTURES | GARCH-BEKK model | VOLATILITY SPILLOVERS | INDEX | PRICE SHOCKS | EQUITY | Stocks | Stock markets
Journal Article
Journal of financial economics, ISSN 0304-405X, 2009, Volume 91, Issue 1, pp. 24 - 37
Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] predict a positive... 
Cross-sectional returns | GARCH | Time-varying | Idiosyncratic risk | MARKET | INFORMATION | TIME | BUSINESS, FINANCE | MODELS | CONDITIONAL HETEROSKEDASTICITY | EQUILIBRIUM | ECONOMICS | ILLIQUIDITY | VOLATILITY | EFFICIENCY | ASSET PRICING TESTS | Idiosyncratic risk Cross-sectional returns Time-varying GARCH | Financial markets
Journal Article