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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~subject:"ARCH-Modell"
~subject:"Nichtparametrisches Verfahren"
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Stochastischer Prozess
Volatility
ARCH-Modell
Nichtparametrisches Verfahren
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nonparametric statistics
19
Estimation
18
Schätzung
18
Theorie
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Theory
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Stochastic process
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Volatilität
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Cointegration
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Kointegration
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Prognoseverfahren
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VAR-Modell
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Autokorrelation
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Kristensen, Dennis
6
Nielsen, Morten Ørregaard
6
Teräsvirta, Timo
6
Cattaneo, Matias D.
4
Jansson, Michael
4
Silvennoinen, Annastiina
4
Crump, Richard K.
3
Kanaya, Shin
3
Taylor, Robert
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Cavaliere, Giuseppe
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Pedersen, Rasmus Søndergaard
2
Rahbek, Anders
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Amado, Cristina
1
Bu, Ruijun
1
Casas, Isabel
1
Catani, Paul
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Creel, Michael D.
1
Demetrescu, Matei
1
Demetrescum, Matei
1
Dobrev, Dobrislav
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gao, Jiti
1
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1
Grassi, Stefano
1
Guégan, Dominique
1
Hadri, Kaddour
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Iacone, Fabrizio
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CREATES research paper
Journal of econometrics
447
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Econometric theory
153
Economics letters
125
CEMMAP working papers / Centre for Microdata Methods and Practice
124
Econometric reviews
112
Journal of the American Statistical Association : JASA
83
The econometrics journal
79
Discussion paper / Tinbergen Institute
74
Discussion papers of interdisciplinary research project 373
53
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
50
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
48
Working paper / Department of Econometrics and Business Statistics, Monash University
46
Cowles Foundation discussion paper
45
SFB 649 discussion paper
45
Quantitative economics : QE ; journal of the Econometric Society
42
Economic modelling
39
European journal of operational research : EJOR
38
Série des documents de travail / Centre de Recherche en Économie et Statistique
38
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
37
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
37
Discussion paper series / IZA
36
Econometrics : open access journal
32
Econometrics papers
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Journal of empirical finance
32
International journal of forecasting
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
31
Cowles Foundation Discussion Paper
30
Journal of risk and financial management : JRFM
27
NBER Working Paper
27
Computational economics
26
Applied economics letters
25
Journal of banking & finance
25
NBER working paper series
25
Working papers / TSE : WP
25
Boston College working papers in economics
24
Insurance / Mathematics & economics
24
Applied economics
23
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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
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
6
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
7
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:
8
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:
9
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
10
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
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