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subject:"Großbritannien"
subject:"Volatilität"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Prognoseverfahren"
~subject:"Stochastischer Prozess"
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Großbritannien
Volatilität
Prognoseverfahren
Stochastischer Prozess
Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatility
17
Regression analysis
14
Regressionsanalyse
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Cointegration
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Nichtparametrisches Verfahren
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cointegration
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Structural break
7
Strukturbruch
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VAR model
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Li, Jing
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Bekiros, Stelios
1
Blazsek, Szabolcs
1
Bu, Ruijun
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Chan, Jennifer So Kuen
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Cheng, Jie
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Chevallier, Julien
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Daníelsson, Jón
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1
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Escribano, Álvaro
1
Flachaire, Emmanuel
1
Fonseca, José da
1
Goutte, Stéphane
1
Grasselli, Martino
1
Hadri, Kaddour
1
Hou, Weijie
1
Ielpo, Florian
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
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Kraicová, Lucie
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Lahiri, Kajal
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Licht, Adrian
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Paccagnini, Alessia
1
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1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
207
International journal of forecasting
115
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
93
Journal of forecasting
74
Economics letters
57
Discussion paper / Tinbergen Institute
53
Econometric reviews
39
CREATES research paper
35
Econometric theory
35
Economic modelling
35
Journal of empirical finance
34
The econometrics journal
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Working paper / Department of Econometrics and Business Statistics, Monash University
24
European journal of operational research : EJOR
23
Journal of banking & finance
22
Quantitative finance
22
Insurance / Mathematics & economics
21
Discussion paper
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
20
Finance research letters
20
Journal of applied econometrics
20
Journal of financial econometrics
20
Oxford bulletin of economics and statistics
20
Working paper
20
Journal of the American Statistical Association : JASA
19
Computational economics
18
Cowles Foundation discussion paper
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
18
NBER working paper series
18
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
Journal of risk and financial management : JRFM
17
NBER Working Paper
17
SFB 649 discussion paper
17
Working paper / National Bureau of Economic Research, Inc.
17
Applied economics
16
Econometrics : open access journal
16
Applied economics letters
15
International journal of theoretical and applied finance
15
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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
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:
3
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:
4
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
5
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:
6
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:
7
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
8
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:
9
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
Saved in:
10
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
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