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subject:"Deutschland"
subject:"Forecasting model"
~person:"Luger, Richard"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Estimation theory
6
Schätztheorie
6
Capital income
4
Estimation
4
Kapitaleinkommen
4
Schätzung
4
ARCH-Modell
3
Börsenkurs
3
Share price
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Statistical test
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Statistischer Test
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Monte Carlo simulation
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Prognoseverfahren
2
Regression analysis
2
Regressionsanalyse
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Absolute returns
1
Adaptive MCMC
1
Bootstrap approach
1
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1
CAPM
1
Conditional heteroskedasticity
1
Conditional skewness and kurtosis
1
Copula model
1
Direction-of-change model
1
Einheitswurzeltest
1
Exact distribution-free inference
1
Exact inference
1
Folded distribution
1
Generalised autoregressive conditional heteroscedasticity (Garch)
1
Induktive Statistik
1
Market risk
1
Markov chain
1
Markov chains
1
Markov-Kette
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Monte Carlo bounds test
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Aufsatz in Zeitschrift
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Luger, Richard
Francq, Christian
18
Zakoïan, Jean-Michel
14
Teräsvirta, Timo
13
Kumar, Dilip
12
Lütkepohl, Helmut
11
Rahbek, Anders
8
Cai, Zongwu
7
Ling, Shiqing
7
Linton, Oliver
7
Swanson, Norman R.
7
Tsay, Ruey S.
7
Ardia, David
6
Baltagi, Badi H.
6
Bauwens, Luc
6
Demetrescu, Matei
6
Kapetanios, George
6
Kim, Donggyu
6
Lahiri, Kajal
6
Maheswaran, S.
6
Paolella, Marc S.
6
Peng, Liang
6
Shang, Han Lin
6
Taylor, James W.
6
Baillie, Richard
5
Chan, Ngai Hang
5
Fosten, Jack
5
Hafner, Christian M.
5
Horváth, Lajos
5
Koop, Gary
5
Krämer, Walter
5
Lechner, Michael
5
Lee, Ji Hyung
5
Li, Guodong
5
McAleer, Michael
5
McCracken, Michael W.
5
Rossi, Barbara
5
Shi, Yanlin
5
Sucarrat, Genaro
5
Tu, Yundong
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of financial econometrics
1
Journal of risk
1
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ECONIS (ZBW)
5
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1
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
2
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
Saved in:
3
Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin
;
Luger, Richard
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
Saved in:
4
Unfolded GARCH models
Liu, Xiaochun
;
Luger, Richard
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 186-217
Persistent link: https://www.econbiz.de/10011574655
Saved in:
5
Testing for GARCH effects with quasilikelihood ratios
Luger, Richard
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 23-59
Persistent link: https://www.econbiz.de/10013262927
Saved in:
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