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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Stochastischer Prozess
Volatility
Estimation theory
358
Schätztheorie
358
Time series analysis
117
Zeitreihenanalyse
117
Estimation
69
Schätzung
66
Statistical distribution
55
Statistische Verteilung
55
Regression analysis
44
Regressionsanalyse
44
Nichtparametrisches Verfahren
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Nonparametric statistics
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Volatilität
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ARCH model
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ARCH-Modell
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Stochastic process
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29
Prognoseverfahren
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Statistical test
28
Statistischer Test
28
Cointegration
27
Kointegration
27
Risikomaß
27
Risk measure
27
Maximum likelihood estimation
24
Maximum-Likelihood-Schätzung
24
Multivariate Verteilung
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Multivariate distribution
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Theorie
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Theory
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Bootstrap-Verfahren
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Risk
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Teräsvirta, Timo
5
Silvennoinen, Annastiina
4
Nielsen, Morten Ørregaard
3
Zhang, Zhimin
3
Avanzi, Benjamin
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Guillou, Armelle
2
Kristensen, Dennis
2
Li, Jing
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Taylor, Greg
2
Wong, Bernard
2
Abbara, Omar
1
Amado, Cristina
1
Anatolyev, Stanislav
1
Andersen, Torben
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Casas, Isabel
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Cavaliere, Giuseppe
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Chan, Jennifer So Kuen
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Chavez-Demoulin, Valérie
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Cheng, Jie
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Chevallier, Julien
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Chuffart, Thomas
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Demetrescum, Matei
1
Enders, Walter
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Ergemen, Yunus Emre
1
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1
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CREATES research paper
Insurance / Mathematics & economics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
Economic modelling
27
Econometric theory
24
Journal of empirical finance
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
International journal of forecasting
17
Finance research letters
16
Quantitative finance
16
International journal of theoretical and applied finance
15
Journal of banking & finance
15
Journal of financial econometrics
15
SFB 649 discussion paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Cowles Foundation discussion paper
13
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
Mathematics of operations research
11
Computational economics
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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
10
Finance and stochastics
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Journal of mathematical finance
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Operations research
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
NBER Working Paper
9
Working paper
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
8
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ECONIS (ZBW)
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Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
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:
3
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
5
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:
6
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:
7
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:
8
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:
9
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
Avanzi, Benjamin
;
Taylor, Greg
;
Wong, Bernard
;
Yang, Xinda
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012649204
Saved in:
10
Statistical estimation for some dividend problems under the compound poisson risk model
Xie, Jiayi
;
Zhang, Zhimin
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 101-115
Persistent link: https://www.econbiz.de/10012419256
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