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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
Energy Economics, ISSN 0140-9883, 11/2012, Volume 34, Issue 6, pp. 2167 - 2181
Journal Article
2009, The Econometric Institute lecture series, ISBN 0691116415, vi, 154
Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with... 
Economic forecasting | Econometric models | Mathematical models | Correlation (Statistics) | Risk management | Finance | Self-help & Practical Interests | Stock price forecasting | Economics | Business
Book
Journal of Applied Econometrics, ISSN 0883-7252, 1/2006, Volume 21, Issue 1, pp. 79 - 109
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 07/2014, Volume 44, Issue 1, pp. 72 - 92
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of... 
Backtesting | Model risk | Value-at-risk | REGRESSION | TESTS | SWITCHING GARCH | MANAGEMENT | COMMERCIAL-BANKS | FORECASTS | EXPECTED SHORTFALL | INFERENCE | BUSINESS, FINANCE | EVALUATING VALUE | REGIME | ECONOMICS | Risk assessment | Models | Economies and finances | Humanities and Social Sciences
Journal Article
Journal of Econometrics, ISSN 0304-4076, 03/2014, Volume 179, Issue 1, pp. 16 - 30
This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting, even with rich dynamics. We call them... 
Covariance targeting | RARCH | RDCC | Common persistence | RBEKK | Multivariate volatility | DYNAMIC CONDITIONAL CORRELATION | GO-GARCH | INFERENCE | GARCH MODELS | COVARIANCE-MATRIX | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | LIKELIHOOD RATIO TESTS | GENERALIZED ARCH | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | HETEROSKEDASTICITY
Journal Article
Economics Letters, ISSN 0165-1765, 09/2017, Volume 158, pp. 3 - 6
We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data. It is found that the best model is the... 
GARCH | Cryptocurrency | Volatility | Bitcoin | ECONOMICS | Comparative analysis | Models | Crypto-currencies
Journal Article
Applied Economics, ISSN 0003-6846, 07/2019, Volume 51, Issue 31, pp. 3345 - 3364
Models for conditional heteroskedasticity belonging to the GARCH class are now common tools in many economics and finance applications. Among the many possible... 
GARCH models | leverage | C52 | C22 | C13 | C12 | C58 | asymmetry | Conditional volatility models | ECONOMICS | VOLATILITY | Asymmetry | Volatility | Stochastic models
Journal Article
Journal of Econometrics, ISSN 0304-4076, 02/2013, Volume 172, Issue 2, pp. 292 - 306
Journal Article
Journal of Business & Economic Statistics, ISSN 0735-0015, 10/2017, Volume 35, Issue 4, pp. 528 - 542
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The...