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subject:"Schätzung"
type_genre:"Article in journal"
~person:"Bollerslev, Tim"
~subject:"ARCH model"
~type_genre:"Lehrbuch"
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Schätzung
ARCH model
Theorie
40
Theory
40
Volatility
20
Volatilität
20
USA
13
United States
13
Estimation
12
Capital income
11
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11
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11
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1992-1993
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Article
16
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Article in journal
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16
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13
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Bollerslev, Tim
Gil-Alaña, Luis A.
32
Caporale, Guglielmo Maria
29
Serletis, Apostolos
28
Gupta, Rangan
26
Kumbhakar, Subal
26
McAleer, Michael
25
Bahmani-Oskooee, Mohsen
18
Engle, Robert F.
17
Wohar, Mark E.
17
Herwartz, Helmut
15
Moosa, Imad A.
15
Asai, Manabu
14
Chang, Tsangyao
14
Ghysels, Eric
14
Koopman, Siem Jan
14
Peel, David
14
Tsionas, Efthymios G.
14
Engsted, Tom
13
Fabozzi, Frank J.
13
Hafner, Christian M.
13
MacDonald, Ronald
13
Mittnik, Stefan
13
Apergēs, Nikolaos
12
Caporin, Massimiliano
12
Creedy, John
12
Duan, Jin-Chuan
12
Franses, Philip Hans
12
Taylor, Mark P.
12
Tzavalis, Elias
12
Blundell, Richard W.
11
Brooks, Chris
11
Brooks, Robert
11
Chan, Joshua
11
Chen, Cathy W. S.
11
Hong, Yongmiao
11
Jawadi, Fredj
11
Koop, Gary
11
Marcellino, Massimiliano
11
McMillan, David G.
11
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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
3
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
The journal of finance : the journal of the American Finance Association
2
International economic review
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of international money and finance
1
Symposium on forecasting and empirical methods in macroeconomics and finance
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ECONIS (ZBW)
16
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1
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10
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16
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1
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
Saved in:
2
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
3
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Saved in:
4
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
5
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
6
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
7
Modeling and forecasting realized volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
Saved in:
8
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro) : the GARCH-NIG model
Forsberg, Lars
;
Bollerslev, Tim
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 535-548
Persistent link: https://www.econbiz.de/10001709314
Saved in:
9
Financial econometrics: past developments and future challenges
Bollerslev, Tim
- In:
Journal of econometrics
100
(
2001
)
1
,
pp. 41-51
Persistent link: https://www.econbiz.de/10001546139
Saved in:
10
The forward premium anomaly is not as bad as you think
Baillie, Richard
;
Bollerslev, Tim
- In:
Journal of international money and finance
19
(
2000
)
4
,
pp. 471-488
Persistent link: https://www.econbiz.de/10001496571
Saved in:
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