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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Pelletier, Denis"
~person:"Spokojnyj, Vladimir G."
~subject:"ARCH-Modell"
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Pelletier, Denis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Discussion papers of interdisciplinary research project 373
2
Applied quantitative finance
1
Discussion paper / Center for Economic Research, Tilburg University
1
Handbook of financial time series
1
Journal of financial econometrics
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
1
SFB 649 discussion paper
1
The econometrics journal
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ECONIS (ZBW)
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Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
Saved in:
2
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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