Advanced Search
MyIDEAS: Login

Citations for "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics"

by Robert Engle

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Madhavan, Vinodh, 2013. "Nonlinearity in investment grade Credit Default Swap (CDS) Indices of US and Europe: Evidence from BDS and close-returns tests," Global Finance Journal, Elsevier, vol. 24(3), pages 266-279.
  3. Jaramillo-Villanueva, Jose Luis & Sarker, Rakhal, 2009. "Exchange Rate Sensitivity of Fresh Tomatoes Imports from Mexico to the United States," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists 51459, International Association of Agricultural Economists.
  4. Bischi, Gian-Italo & Gallegati, Mauro & Gardini, Laura & Leombruni, Roberto & Palestrini, Antonio, 2006. "Herd Behavior And Nonfundamental Asset Price Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 10(04), pages 502-528, September.
  5. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  6. Lorde, Troy & Jackman, Mahalia & Thomas, Chrystol, 2009. "The macroeconomic effects of oil price fluctuations on a small open oil-producing country: The case of Trinidad and Tobago," Energy Policy, Elsevier, Elsevier, vol. 37(7), pages 2708-2716, July.
  7. Torsten Schmidt & Lina Zwick, 2013. "Uncertainty and Episodes of Extreme Capital Flows in the Euro Area," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0461, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  8. H. Evren Damar & Césaire A. Meh & Yaz Terajima, 2010. "Leverage, Balance Sheet Size and Wholesale Funding," Working Papers, Bank of Canada 10-39, Bank of Canada.
  9. Liu, Heping & Erdem, Ergin & Shi, Jing, 2011. "Comprehensive evaluation of ARMA-GARCH(-M) approaches for modeling the mean and volatility of wind speed," Applied Energy, Elsevier, Elsevier, vol. 88(3), pages 724-732, March.
  10. Andrew stuart Duncan & Guangling"dave" Liu, 2009. "Modelling South African Currency Crises As Structural Changes In The Volatility Of The Rand," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 77(3), pages 363-379, 09.
  11. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007. "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper 7299, University Library of Munich, Germany.
  12. Mutu, Simona & Breşfelean, Vasile Paul & Göndör, Mihaela, 2011. "The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies," MPRA Paper 42102, University Library of Munich, Germany.
  13. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
  14. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  15. Viviana Fernandez, 2003. "Extreme Value Theory and Value at Risk," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(1), pages 57-85, June.
  16. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  17. Aizhen Li & Boris E. Bravo-Ureta & David K. Okello & Carl M. Deom & Naveen Puppala, 2013. "Groundnut Production and Climatic Variability: Evidence from Uganda," Working Papers, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy 17, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
  18. Chortareas, Georgios & Cipollini, Andrea & Eissa, Mohamed Abdelaziz, 2012. "Switching to floating exchange rates, devaluations, and stock returns in MENA countries," International Review of Financial Analysis, Elsevier, Elsevier, vol. 21(C), pages 119-127.
  19. Herbert S. Buscher & Hubert Gabrisch, 2011. "What Might Central Banks Lose or Gain in Case of Euro Adoption – A GARCH-Analysis of Money Market Rates for Sweden, Denmark and the UK," IWH Discussion Papers, Halle Institute for Economic Research 9, Halle Institute for Economic Research.
  20. Walid Abdmoulah, . "Testing the Evolving Efficiency of 11 Arab Stock Markets," API-Working Paper Series 0907, Arab Planning Institute - Kuwait, Information Center.
  21. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
  22. Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, UN - RCE - CID.
  23. Ross, Gordon J., 2013. "Modelling financial volatility in the presence of abrupt changes," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(2), pages 350-360.
  24. Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, Elsevier, vol. 37(12), pages 5787-5795, December.
  25. Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler, 2011. "Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201130, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  26. Tom Coupe & Olha Zadorozhna, 2010. "Weather Effects in Transition," Discussion Papers 36, Kyiv School of Economics.
  27. Yu Hsing, 2005. "Application of the IS-MP-IA model to the German economy and policy implications," Economics Bulletin, AccessEcon, vol. 15(5), pages 1-10.
  28. Yu Hsing, 2005. "Effects of Macroeconomic Policies and Stock Market Performance on the Estonian Economy," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2005(2), pages 109-116.
  29. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(1), pages 25-34, January.
  30. Chen, Yikai & Corr, David J. & Durango-Cohen, Pablo L., 2014. "Analysis of common-cause and special-cause variation in the deterioration of transportation infrastructure: A field application of statistical process control for structural health monitoring," Transportation Research Part B: Methodological, Elsevier, Elsevier, vol. 59(C), pages 96-116.
  31. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 43(C), pages 160-178.
  32. Yaman O. Erzurumlu & Giray Gozgor, 2014. "Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 457-464.
  33. Tamara Burdisso & Eduardo Ariel Corso, 2011. "Uncertainty and Portfolio Dollarization. The Argentine Case in the Last Half Century," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, Central Bank of Argentina, Economic Research Department, vol. 1(63), pages 41-95, July - Se.
  34. Tahsin Saadi Sedik & Oral Williams, 2011. "Global and Regional Spillovers to GCC Equity Markets," IMF Working Papers 11/138, International Monetary Fund.
  35. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer, Springer, vol. 21(2), pages 147-166, June.
  36. Matthias Bauer & Martin Zenker, 2012. "Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series 2012-35, Friedrich-Schiller-University Jena.
  37. repec:hal:journl:halshs-00390676 is not listed on IDEAS
  38. Doyle, John R. & Chen, Catherine Huirong, 2009. "The wandering weekday effect in major stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(8), pages 1388-1399, August.
  39. Oberndorfer, Ulrich & Ulbricht, Dirk, 2007. "Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis," ZEW Discussion Papers 07-030, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  40. Chen, Andrew H. & Robinson, Kenneth J. & Siems, Thomas F., 2004. "The wealth effects from a subordinated debt policy: evidence from passage of the Gramm-Leach-Bliley Act," Review of Financial Economics, Elsevier, Elsevier, vol. 13(1-2), pages 103-119.
  41. Mitchell, Thomas, 2007. "Comment," Japan and the World Economy, Elsevier, Elsevier, vol. 19(1), pages 133-137, January.
  42. Chang, Koyin & Kim, Yoonbai & Tomljanovich, Marc & Ying, Yung-Hsiang, 2013. "Do political parties foster business cycles? An examination of developed economies," Journal of Comparative Economics, Elsevier, vol. 41(1), pages 212-226.
  43. Hickey, Emily & Loomis, David G. & Mohammadi, Hassan, 2012. "Forecasting hourly electricity prices using ARMAX–GARCH models: An application to MISO hubs," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 307-315.
  44. Michael M. Bechtel & Roland Füss, 2010. "Capitalizing on Partisan Politics? The Political Economy of Sector-Specific Redistribution in Germany," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 42(2-3), pages 203-235, 03.
  45. Stanislav Radchenko, 2004. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Industrial Organization, EconWPA 0408001, EconWPA.
  46. Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012. "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(10), pages 2786-2794.
  47. Hermann Sintim-Aboagye & Chandana Chakraborty & Serapio Byekwaso, 2012. "Uncertainty of inflation and inflation rate: Does credibility of inflation policy matter?," Economic Issues Journal Articles, Economic Issues, Economic Issues, vol. 17(2), pages 95-110, September.
  48. Parke, William R. & Waters, George A., 2007. "An evolutionary game theory explanation of ARCH effects," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(7), pages 2234-2262, July.
  49. Zhang, Zibin & Wetzstein, Michael E., 2008. "New relationships: ethanol, corn, and gasoline volatility," Transition to a Bio Economy Conferences, Risk, Infrastructure and Industry Evolution Conference, June 24-25, 2008, Berkeley, California, Farm Foundation 48718, Farm Foundation.
  50. Lean, Hooi Hooi & Teng, Kee Tuan, 2013. "Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 333-342.
  51. Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M., 2014. "SOX, corporate transparency, and the cost of debt," Journal of Banking & Finance, Elsevier, Elsevier, vol. 38(C), pages 145-165.
  52. Viviana Fernández, 2003. "Extreme Value Theory: Value at Risk and Returns Dependence Around the World," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile 161, Centro de Economía Aplicada, Universidad de Chile.
  53. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, Elsevier, vol. 37(C), pages 141-151.
  54. Hassan Mohammadi & Daniel Rich, 2013. "Dynamics of Unemployment Insurance Claims: An Application of ARIMA-GARCH Models," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 41(4), pages 413-425, December.
  55. Yu Hsing, 2004. "Impacts of Macroeconomic Policies on Output in the Czech Republic: An Application of Romer's IS-MP-IA Model," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2004(4), pages 339-345.
  56. Vesna Bucevska, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 4(1), pages 49-64.
  57. Özcan Karahan & Olcay Çolak, 2012. "Does Uncovered Interest Rate Parity Hold in Turkey?," International Journal of Economics and Financial Issues, Econjournals, vol. 2(4), pages 386-394.
  58. James Laurenceson & Danielle Rodgers, 2010. "The impact of volatility on growth in China," Frontiers of Economics in China, Springer, Springer, vol. 5(4), pages 527-536, December.
  59. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany.
  60. Sabiruzzaman, Md. & Monimul Huq, Md. & Beg, Rabiul Alam & Anwar, Sajid, 2010. "Modeling and forecasting trading volume index: GARCH versus TGARCH approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(2), pages 141-145, May.
  61. Gordon J. Ross, 2012. "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers 1212.6016, arXiv.org.
  62. Rude, James & Surry, Yves, 2013. "Canadian Hog Supply Respose: A Provincial Level Analysis," Working Papers, Structure and Performance of Agriculture and Agri-products Industry (SPAA) 148590, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  63. Serra, Teresa, 2012. "Biofuel-related price volatility literature: a review and new approaches," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists 126057, International Association of Agricultural Economists.
  64. Abdelaziz Rouabah, 2007. "Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques," BCL working papers 25, Central Bank of Luxembourg.
  65. Akhter, Tahsina, 2013. "Short-Term Forecasting of Inflation in Bangladesh with Seasonal ARIMA Processes," MPRA Paper 43729, University Library of Munich, Germany.
  66. Humavindu, Michael N, 2008. "Essays on the Namibian Economy," Umeå Economic Studies 745, Umeå University, Department of Economics.
  67. repec:ebl:ecbull:v:15:y:2005:i:5:p:1-10 is not listed on IDEAS
  68. Juan Carlos Martínez-Ovando & Stephen G. Walker, 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers, Banco de México 2011-08, Banco de México.
  69. Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, Elsevier, vol. 21(2), pages 316-325, June.
  70. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(5), pages 1149-1175.
  71. Fernandez, Viviana, 2005. "Risk management under extreme events," International Review of Financial Analysis, Elsevier, Elsevier, vol. 14(2), pages 113-148.
  72. Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  73. Matthew S. Yiu, 2011. "The Effect of Capital Flow Management Measures in Five Asian Economies on the Foreign Exchange Market," Working Papers 412011, Hong Kong Institute for Monetary Research.
  74. Hammad A. Siddiqi, 2006. "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers 22279, East Asian Bureau of Economic Research.
  75. Oberndorfer, Ulrich & Schmidt, Peter & Wagner, Marcus & Ziegler, Andreas, 2013. "Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms," Journal of Environmental Economics and Management, Elsevier, vol. 66(3), pages 497-509.
  76. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp06-18, School of Economics, University of Wollongong, NSW, Australia.
  77. Davey, Alistair, 2010. "Deregulation of wholesale petrol prices: what happened to capital city petrol prices?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 54(1), March.
  78. Kim, Namhyoung & Lee, Jaewook, 2013. "No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 36-53.
  79. Afees A. Salisu & Ismail O. Fasanya, 2012. "Comparative Performance of Volatility Models for Oil Price," International Journal of Energy Economics and Policy, Econjournals, Econjournals, vol. 2(3), pages 167-183.
  80. Mirzha de Manuel Armendía, 2011. "Market Efficiency in the EU Emissions Trading Scheme. An outlook for the third trading period," Bruges European Economic Research Papers, European Economic Studies Department, College of Europe 20, European Economic Studies Department, College of Europe.
  81. Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile, Central Bank of Chile 462, Central Bank of Chile.
  82. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
  83. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 399(C), pages 70-74.
  84. Jordaan, Henry & Grove, Bennie & Jooste, Andre & Alemu, A.G., 2007. "Measuring the Price Volatility of Certain Field Crops in South Africa using the ARCH/GARCH Approach," Agrekon, Agricultural Economics Association of South Africa (AEASA), Agricultural Economics Association of South Africa (AEASA), vol. 46(3), September.
  85. Söderberg, Jonas, 2008. "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University 2009:9, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  86. Chiang, Wen-Chyuan & Russell, Robert A. & Urban, Timothy L., 2011. "Forecasting ridership for a metropolitan transit authority," Transportation Research Part A: Policy and Practice, Elsevier, Elsevier, vol. 45(7), pages 696-705, August.