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isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Bayes-Statistik"
~subject:"Statistische Methodenlehre"
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Volatility
Bayes-Statistik
Statistische Methodenlehre
Estimation theory
339
Schätztheorie
339
Theorie
158
Theory
158
Time series analysis
77
Zeitreihenanalyse
77
Estimation
41
Schätzung
41
Nichtparametrisches Verfahren
32
Nonparametric statistics
32
ARCH model
26
ARCH-Modell
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Regression analysis
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Volatilität
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Statistical distribution
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Statistische Verteilung
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Markov chain
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Statistical test
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Statistischer Test
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Maximum likelihood estimation
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Kointegration
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Robert, Christian P.
6
Gouriéroux, Christian
4
Jasiak, Joann
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Gayraud, Ghislaine
2
Rousseau, Judith
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Abbara, Omar
1
Anatolyev, Stanislav
1
Ango Nze, Patrick
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Arbel, Julyan
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Baruník, Jozef
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Bertholon, Henri
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Blazsek, Szabolcs
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Bu, Ruijun
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Casella, George
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Celeux, Gilles
1
Chan, Jennifer So Kuen
1
Chan, Joshua
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Cressie, Noel A. C.
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Daníelsson, Jón
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Hadri, Kaddour
1
Hou, Weijie
1
Hwang, J. T.
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
195
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
90
Economics letters
61
Econometric reviews
57
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
55
Discussion paper / Tinbergen Institute
40
Econometric theory
40
Economic modelling
28
Working paper / Department of Econometrics and Business Statistics, Monash University
28
International journal of forecasting
25
Journal of empirical finance
23
NBER Working Paper
23
Econometrics : open access journal
21
The econometrics journal
21
Journal of the American Statistical Association : JASA
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Journal of applied econometrics
18
CREATES research paper
17
Finance research letters
17
Quantitative finance
17
Working paper series
17
Computational economics
16
Journal of forecasting
16
CORE discussion paper : DP
15
Discussion paper
15
Discussion papers / CEPR
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
European journal of operational research : EJOR
15
Journal of banking & finance
15
Working paper
15
Discussion paper / Center for Economic Research, Tilburg University
14
Journal of economic dynamics & control
14
Journal of financial econometrics
14
NBER working paper series
14
SFB 649 discussion paper
14
Discussion papers of interdisciplinary research project 373
13
International journal of theoretical and applied finance
13
Oxford bulletin of economics and statistics
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ECONIS (ZBW)
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
3
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
6
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
7
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
8
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
9
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
10
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
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