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isPartOf:"Applied economics"
~person:"Ayala, Astrid Loretta"
~person:"Li, Ye"
~subject:"ARCH model"
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ARCH model
ARCH-Modell
2
Time series analysis
2
Zeitreihenanalyse
2
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
1
Dynamic conditional score (DCS)
1
Estimation theory
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Exchange rate
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Forecasting model
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Random level shifts
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Schätztheorie
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Theorie
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Theory
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Volatility
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Volatilität
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Wechselkurs
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forecasting
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generalized autoregressive score (GAS)
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long-memory
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quasi-autoregressive (QAR) model
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scaling parameters of the conditional score function
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volatility
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Ayala, Astrid Loretta
Li, Ye
Blazsek, Szabolcs
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Kim, Jong-Min
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Licht, Adrian
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Al-Fayoumi, Nedal
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Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
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2
Modelling exchange rate volatility with random level shifts
Li, Ye
;
Perron, Pierre
;
Xu, Jiawen
- In:
Applied economics
49
(
2017
)
26
,
pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
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