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11 research outputs found
The DCC-VARMA Model: A Simple Estimation Procedure of the Conditional Correlation Dynamics Parameters for Large Variance-Covariance Matrices
Author
J D Hamilton
R F Engle
+4 more
R F Engle
R F Engle
T Bollersev
Valerio Poti
Publication venue
'Elsevier BV'
Publication date
01/01/2003
Field of study
No full text
Crossref
The Pricing of Interest Rate and Credit Risks in Equity Returns: An Empirical Cross-Country Comparison
Author
Anthony Chambet
C R Nelson
+24 more
C W J Granger
De Santis
Duffie D
F Alessandrini
F Longstaff
G Chang
H R Ayres
J C Cox
J T Scruggs
J Y Campbell
J Y Campbell
K Daniel
M Crouhy
M J Brennan
R A Jarrow
R C Merton
R Duffeeg
R F Engle
R F Engle
Rajna Gibson
T Bollersev
T Bollersev
T Wilson
Termspread Percentageofthecovariancewhichisnegative
Publication venue
'Elsevier BV'
Publication date
01/01/2002
Field of study
No full text
Crossref
Mierzenie ryzyka cenowego na rynkach towarowych
Author
B. Borkowski
C. Alexander
+14 more
D. Findley
E. Haug
F. Knight
G. Box
G. Holton
G. Moschini
J. Ferris
Mariusz Hamulczuk
R. Engle
S. Figiel
Szczepan Figiel
T. Andersen
T. Bollersev
Z. Zieliński
Publication venue
'Walter de Gruyter GmbH'
Publication date
Field of study
No full text
Crossref
Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-Linear GARCH Approach
Author
Balázs Égert
D A Dickey
+17 more
D B Nelson
D P H Franses
E Sentana
F Formari
F Formari
G E Hagerud
G E Hagerud
G Gonz�lez-Rivera
J M Zako�an
L R Glosten
M Kasch-Haroutounian
R Enge
R F Engle
S Lundbergh
S Poshakwale
T Bollersev
Yosra Koubaa
Publication venue
'Elsevier BV'
Publication date
01/01/2004
Field of study
No full text
Crossref
Seasonality and January Effect Anomalies in the Jordanian Capital Market
Author
A Corhay
A Nassir
+30 more
A Pagan
Aktham Issa Maghyereh
B Branch
C Lamoureux
D Ikenberry
D Keim
D Nelson
E Balaban
E Dyl
E Fama
E Fama
F Diebold
G Omet
J Ramsey
J Zakoian
L Glosten
M El-Erian
M Gultekin
M Rozeff
R Engle
R Rabemanananjara
R Thaler
S Fountas
S Fountas
T Bollersev
T Bollerslev
T Koutianoudis
W Brock
W Brock
Yan-Ki Ho
Publication venue
'Elsevier BV'
Publication date
01/01/2003
Field of study
No full text
Crossref
Have European Stocks Become More Volatile? An Empirical Investigation of Volatilities and Correlations in EMU Equity Markets at the Firm, Industry and Market Level
Author
A Goyal
B M Barber
+27 more
B Malkiel
B Panel
C A Sims
C Kearney
Colm Kearney
E G Falkenstein
G Hardouvelis
G W Schwert
H Guo
J H Cochrane
J H Cochrane
J Lintner
J Y Campbell
J Y Campbell
L Baele
L Cappiello
L P Hansen
M Fratzschler
M Lettau
M Lettau
R C Merton
S Benartzi
T Bloomfield
T Bollersev
Valerio Potì
W F Sharpe
W K Newy
Publication venue
'Elsevier BV'
Publication date
01/01/2004
Field of study
No full text
Crossref
Have European Stocks Become More Volatile
Author
A Goyal
B M Barber
+30 more
B Malkiel
C A Sims
C Kearney
C Kearney
C R Harvey
Colm Kearney
E G Falkenstein
G Mizon
G W Schwert
H Guo
J H Cochrane
J Lintner
J Y Campbell
J Y Campbell
K R French
L Cappiello
Luigi Guiso
M H Pesaran
M H Pesaran
M Lettau
N Barberis
R C Merton
R Dell&apos
S Benartzi
T Bloomfield
T Bollersev
T Sargent
Valerio Potì
W Enders
W F Sharpe
Publication venue
'Elsevier BV'
Publication date
01/01/2005
Field of study
No full text
Crossref
The Death of a King and Volatility in the Jordanian Capital Market
Author
A Alesina
A Alesina
+42 more
A Alesina
A Alesina
A Glen
A Pagan
A Singh
A Singh
A Singh
A Singh
Aktham Issa Maghyereh
B Diba
C Erb
C Lamoureux
D Cutler
D Nelson
F Caselli
F Diebold
G Bekaert
G Bekaert
G Bekaert
G Bittlingmayer
Ghassan Said Omet
J De Long
J De Long
J Kim
J Ramsey
J Zakoian
K Willard
L Glosten
N Campos
R Engle
R Engle
R Flood
R Flood
R Levine
R Rabemanananjara
R Roll
R Shiller
S Leroy
S Spyrou
T Bollersev
T Bollerslev
W Schwert
Publication venue
'Elsevier BV'
Publication date
01/01/2002
Field of study
No full text
Crossref
Multiple Time Scales and the Exponential Ornstein-Uhlenbeck Stochastic Volatility Model
Author
A Dragulescu
A Lo
+34 more
B Lebaron
B Pochart
C W Gardiner
E Bacry
E Bacry
E Stein
F Black
G Bekaert
J C Hull
J Masoliver
J Perell�
J Perell�
J Perell�
J Wiggins
J.-P Bouchaud
J.-P Bouchaud
J.-P Fouque
J.-P Fouque
J.-P Fouque
Jaume Masoliver
Josep Perelló
L Calvet
L Scott
M Kendall
M Pasquini
R Baillie
R Engle
R Engle
R Vicente
S Heston
S Miccich�
T Bollersev
Y Liu
Z Ding
Publication venue
'Elsevier BV'
Publication date
01/01/2005
Field of study
No full text
Crossref
Asset Pricing with Unknown Consumption and Financial Risk
Author
A Timmermann
C Sims
+34 more
E Fama
E Fama
Evgenia Gvozdeva
G Bakshi
I Davidson
J Bernardo
J Campbell
J Campbell
J Geweke
J Heaton
K Judd
K Kadiyala
L Epstein
L Ljungqvist
L Pastor
L Pastor
L Pastor
M Brandt
M Degroot
M Johannes
M Rabin
M Weitzman
N Kocherlakota
P Veronesi
P Weil
Praveen Kumar
R Bansal
R Bollersev
R Mehra
R Mehra
R Shiller
S Chib
S Leroy
T Cogley
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
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