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isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
subject:"Simulation"
~isPartOf:"CREATES research paper"
~subject:"ARCH model"
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Estimation theory
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Teräsvirta, Timo
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
CREATES research paper
Journal of econometrics
87
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Econometric theory
40
Economics letters
40
Econometric reviews
36
Discussion paper / Tinbergen Institute
29
European journal of operational research : EJOR
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Computational economics
19
The econometrics journal
18
Economic modelling
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Discussion paper / Center for Economic Research, Tilburg University
16
Finance research letters
16
International journal of forecasting
16
Operations research
16
Applied economics
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Discussion paper series / IZA
13
Journal of empirical finance
13
Journal of forecasting
13
Journal of risk
12
Journal of time series econometrics
12
International journal of economics and financial issues : IJEFI
11
Journal of banking & finance
11
Journal of economic dynamics & control
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
CORE discussion papers : DP
10
Econometrics : open access journal
10
Journal of risk and financial management : JRFM
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Applied economics letters
9
The North American journal of economics and finance : a journal of financial economics studies
9
Umeå economic studies
9
Working paper series
9
INFORMS journal on computing : JOC
8
Journal of applied econometrics
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Journal of financial econometrics
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
7
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
8
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
Saved in:
9
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
10
Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2012
Persistent link: https://www.econbiz.de/10009667363
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