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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Cointegration"
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Search: subject_exact:"Estimation theory"
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Volatility
Cointegration
Estimation theory
102
Schätztheorie
102
Time series analysis
49
Zeitreihenanalyse
49
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
14
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cointegration
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Schweikert, Karsten
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Blazsek, Szabolcs
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Bu, Ruijun
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Candelon, Bertrand
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Daníelsson, Jón
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1
Flachaire, Emmanuel
1
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1
Hadri, Kaddour
1
Haurin, Donald R.
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Im, KyungSo
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Jensen, Mark J.
1
Jong, Robert M. de
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Kok Haur Ng
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Kraicová, Lucie
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Li, Jing
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
177
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Econometric reviews
45
Economics letters
42
Econometric theory
38
Economic modelling
32
Econometrics : open access journal
26
The econometrics journal
22
Journal of empirical finance
21
Applied economics letters
20
International journal of forecasting
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International journal of economics and financial issues : IJEFI
17
Quantitative finance
17
Applied economics
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of banking & finance
15
Journal of financial econometrics
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of forecasting
13
Journal of risk and financial management : JRFM
12
The North American journal of economics and finance : a journal of financial economics studies
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
International journal of economics and finance
11
Journal of time series econometrics
10
Computational economics
9
Oxford bulletin of economics and statistics
9
Finance and stochastics
8
International Journal of Energy Economics and Policy : IJEEP
8
Central European journal of economic modelling and econometrics
7
Energy economics
7
Journal of applied econometrics
7
Journal of mathematical finance
7
Journal of quantitative economics
7
Theoretical economics letters
7
CBN journal of applied statistics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
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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
Buffered vector error-correction models : an application to the U.S. Treasury bond rates
Lu, Renjie
;
Yu, Philip L. H.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 267-287
Persistent link: https://www.econbiz.de/10012806530
Saved in:
5
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
Saved in:
6
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:
7
Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012406026
Saved in:
8
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:
9
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:
10
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
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