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subject:"ARCH-Modell"
subject:"Börsenkurs"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of risk"
~subject:"Sampling"
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ARCH-Modell
Börsenkurs
Sampling
Estimation theory
168
Schätztheorie
168
Time series analysis
65
Zeitreihenanalyse
65
Estimation
31
Schätzung
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Teräsvirta, Timo
6
Silvennoinen, Annastiina
4
Nielsen, Morten Ørregaard
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Pedersen, Rasmus Søndergaard
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Feng, Yuanhua
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CREATES research paper
Journal of risk
Journal of econometrics
124
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Economics letters
52
Discussion paper / Tinbergen Institute
41
Econometric theory
39
Statistics in transition : an international journal of the Polish Statistical Association
33
Econometric reviews
28
Journal of empirical finance
24
Journal of the American Statistical Association : JASA
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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
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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NBER Working Paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Econometrics : open access journal
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Economic modelling
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Finance research letters
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Journal of banking & finance
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Applied economics
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Journal of financial econometrics
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International journal of forecasting
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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International journal of economics and financial issues : IJEFI
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Discussion paper / Center for Economic Research, Tilburg University
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Discussion paper series / IZA
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Applied economics letters
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Discussion paper / Central Bureau voor de Statistiek
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NBER working paper series
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Cambridge working papers in economics
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Journal of applied econometrics
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Journal of risk and financial management : JRFM
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Working paper
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CEMMAP working papers / Centre for Microdata Methods and Practice
11
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
11
The North American journal of economics and finance : a journal of financial economics studies
11
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ECONIS (ZBW)
29
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1
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
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
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:
4
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:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
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:
7
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
8
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
9
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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10
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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