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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Rahbek, Anders"
~subject:"ARCH model"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Corsi, Fulvio
Rahbek, Anders
Francq, Christian
20
Kumar, Dilip
16
Zakoïan, Jean-Michel
15
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Hafner, Christian M.
10
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9
Linton, Oliver
8
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7
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7
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7
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6
Bollerslev, Tim
6
Fan, Jianqing
6
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6
Li, Wai Keung
6
Ling, Shiqing
6
McAleer, Michael
6
Wang, Yazhen
6
Asai, Manabu
5
Bauwens, Luc
5
Dufour, Jean-Marie
5
Elliott, Robert J.
5
Feng, Yuanhua
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Horváth, Lajos
5
Härdle, Wolfgang
5
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5
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5
Li, Guodong
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Shin, Dong-wan
5
Silvennoinen, Annastiina
5
Sucarrat, Genaro
5
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5
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5
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1
Economics letters
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1
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
4
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
5
Nonstationary GARCH with tt-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
- In:
Economics letters
138
(
2016
),
pp. 19-21
Persistent link: https://www.econbiz.de/10011615340
Saved in:
6
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
7
Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
Saved in:
8
Estimation and asymptotic inference in the AR-ARCH model
Lange, Theis
;
Rahbek, Anders
;
Jensen, Søren Tolver
- In:
Econometric reviews
30
(
2011
)
2
,
pp. 129-153
Persistent link: https://www.econbiz.de/10008990449
Saved in:
9
Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometrica : journal of the Econometric Society, an …
72
(
2004
)
2
,
pp. 641-646
Persistent link: https://www.econbiz.de/10001978054
Saved in:
10
Asymptotic inference for nonstationary GARCH
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometric theory
20
(
2004
)
6
,
pp. 1203-1226
Persistent link: https://www.econbiz.de/10002424931
Saved in:
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