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isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~language:"eng"
~subject:"ARCH-Modell"
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Volatility
ARCH-Modell
Estimation theory
367
Schätztheorie
367
Theorie
167
Theory
167
Time series analysis
86
Zeitreihenanalyse
86
Nichtparametrisches Verfahren
41
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21
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Francq, Christian
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Zakoïan, Jean-Michel
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Teräsvirta, Timo
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Silvennoinen, Annastiina
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Jasiak, Joann
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Nielsen, Morten Ørregaard
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Cavaliere, Giuseppe
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Kristensen, Dennis
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Demetrescu, Matei
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Demetrescum, Matei
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Série des documents de travail / Centre de Recherche en Économie et Statistique
CREATES research paper
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Discussion paper / Tinbergen Institute
37
Econometric reviews
31
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
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International journal of forecasting
18
Finance research letters
17
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International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
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Journal of risk
13
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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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
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Econometrics : open access journal
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SFB 649 discussion paper
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Handbook of financial time series
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Working paper / Department of Econometrics and Business Statistics, Monash University
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
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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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
4
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:
5
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:
6
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
7
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:
8
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:
9
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
Saved in:
10
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
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