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subject:"Volatilität"
type_genre:"Working Paper"
~person:"Silvennoinen, Annastiina"
~subject:"multivariate autoregressive conditional heteroskedasticity"
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Volatilität
multivariate autoregressive conditional heteroskedasticity
Estimation theory
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modelling volatility
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autoregressive conditional heteroskedasticity
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modelling correlations
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multiplicative time-varying GARCH
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nonstationary volatility
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testing parameter constancy
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Silvennoinen, Annastiina
Koopman, Siem Jan
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Brandt, Michael W.
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Härdle, Wolfgang
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Lucas, André
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Teräsvirta, Timo
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Bibinger, Markus
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Croux, Christophe
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Diebold, Francis X.
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Gouriéroux, Christian
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Hafner, Christian M.
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Reiß, Markus
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Rodriguez, Gabriel
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Spokojnyj, Vladimir G.
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Alizadeh, Sassan
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Blasques, Francisco
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Craig, Ben R.
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Daníelsson, Jón
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Dijk, Dick van
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Hautsch, Nikolaus
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Keller, Joachim G.
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Malec, Peter
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Sentana, Enrique
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Sibbertsen, Philipp
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Sluis, Pieter J. van der
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Swanson, Norman R.
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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:
2
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:
3
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
4
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
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