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isPartOf:"Gabler Edition Wissenschaft"
subject:"Zeitreihenanalyse"
~isPartOf:"CREATES research paper"
~person:"Teräsvirta, Timo"
~subject:"Schätzung"
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Zeitreihenanalyse
Schätzung
Correlation
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Estimation
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Time series analysis
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ARCH-Modell
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changing seasonality
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long monthly Chinese temperature series
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modelling correlations
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modelling volatility
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multiplicative time-varying GARCH
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Teräsvirta, Timo
Nielsen, Morten Ørregaard
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Bollerslev, Tim
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Hillebrand, Eric
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CREATES research paper
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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
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2022
Persistent link: https://www.econbiz.de/10012816369
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2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
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2021
Persistent link: https://www.econbiz.de/10012815962
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3
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316892
Saved in:
4
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
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