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subject:"Time series analysis"
~person:"Engle, Robert F."
~subject:"Nichtparametrisches Verfahren"
~type_genre:"Graue Literatur"
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Time series analysis
Nichtparametrisches Verfahren
Estimation theory
10
Schätztheorie
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7
ARCH model
5
ARCH-Modell
5
Zeitreihenanalyse
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1990-1991
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long- and short-term volatility
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mixed frequency data
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volatility cycles
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Engle, Robert F.
Gao, Jiti
59
Linton, Oliver
44
Härdle, Wolfgang
39
Phillips, Peter C. B.
35
Koopman, Siem Jan
30
Chen, Xiaohong
29
Nielsen, Morten Ørregaard
25
Newey, Whitney K.
24
Dette, Holger
23
Cai, Zongwu
22
Hoderlein, Stefan
22
Johansen, Søren
22
Maravall Herrero, Agustín
21
Otsu, Taisuke
21
Lütkepohl, Helmut
20
Sibbertsen, Philipp
19
Horowitz, Joel
18
Kapetanios, George
18
Teräsvirta, Timo
18
Franses, Philip Hans
17
Chernozhukov, Victor
16
Feng, Yuanhua
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Lewbel, Arthur
16
Peng, Bin
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Gouriéroux, Christian
15
Lucas, André
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Mammen, Enno
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Koop, Gary
14
Li, Degui
14
Florens, Jean-Pierre
13
Swanson, Norman R.
13
Van Keilegom, Ingrid
13
Beran, Jan
12
Breunig, Christoph
12
Brännäs, Kurt
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Gooijer, Jan G. de
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Marcellino, Massimiliano
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Neumeyer, Natalie
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Nielsen, Bent
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Racine, Jeffrey
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Working paper / National Bureau of Economic Research, Inc.
2
Discussion paper / Department of Economics, University of California San Diego
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ECONIS (ZBW)
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Modelling volatility cycles : the (MF)2 GARCH model
Conrad, Christian
;
Engle, Robert F.
-
2021
-
This draft: March 14, 2021
Persistent link: https://www.econbiz.de/10012488645
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2
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
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3
The econometrics of ultra-high frequency data
Engle, Robert F.
-
1996
Persistent link: https://www.econbiz.de/10000613076
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4
Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1994
Persistent link: https://www.econbiz.de/10000147454
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