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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~institution:"Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>"
~institution:"Technische Universität Dresden / Fakultät Wirtschaftswissenschaften"
~language:"eng"
~subject:"ARCH-Modell"
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Risiko
ARCH-Modell
Theorie
106
Theory
106
Option pricing theory
14
Optionspreistheorie
14
Stochastic process
11
Stochastischer Prozess
11
Yield curve
11
Zinsstruktur
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Estimation
9
Estimation theory
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Schätztheorie
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Schätzung
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Volatility
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English
German
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Huschens, Stefan
3
Kurz-Kim, Jeong-Ryeol
2
Rahbek, Anders
2
Schmidli, Hanspeter
2
Christiansen, Charlotte
1
Jensen, Morten Berg
1
Kim, Jeong-Ryeol
1
Koulikov, Dmitri
1
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1
Lunde, Asger
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Centre for Analytical Finance <Århus>
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
National Bureau of Economic Research
213
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
18
Ekonomiska forskningsinstitutet <Stockholm>
16
Edward Elgar Publishing
9
European University Institute / Department of Economics
8
Chambre de commerce et d'industrie de Paris
6
University of Dundee / Department of Economic Studies
6
Australian National University / Faculty of Economics and Commerce
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Federal Reserve System / Board of Governors
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Shakai-Keizai-Kenkyūsho <Osaka>
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University of Southampton / Department of Economics
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Georgetown University / Economics Department
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Umeå universitet
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University of Exeter / Department of Economics
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Birkbeck College / Department of Economics
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Centre for Quantitative Economics & Computing
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Econometrisch Instituut <Rotterdam>
3
Federal Reserve System / Division of Research and Statistics
3
Foerder Institute for Economic Research <Tēl-Āvîv>
3
Institute of Finance and Accounting <London>
3
Internationaler Währungsfonds
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Robert Schuman Centre for Advanced Studies
3
Trinity College Dublin / Department of Economics
3
Universität Dortmund / Wirtschafts- und Sozialwissenschaftliche Fakultät
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Australian National University / Faculty of Economics
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Bank für Internationalen Zahlungsausgleich
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Brown University / Department of Economics
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California Agricultural Experiment Station / Department of Agricultural and Resource Economics
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Conference on Risk and the Rate of Return <1973, Vail, Colo.>
2
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Friedrich-Schiller-Universität Jena
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
Dresdner Beiträge zu quantitativen Verfahren
3
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ECONIS (ZBW)
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1
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
2
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
3
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
4
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
5
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
6
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the large claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724275
Saved in:
7
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the small claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724276
Saved in:
8
The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
Saved in:
9
Measuring risk in value-at-risk based on student's t-distribution
Huschens, Stefan
;
Kurz-Kim, Jeong-Ryeol
-
1998
Persistent link: https://www.econbiz.de/10001422900
Saved in:
10
Measuring risk in value-at-risk in the presence of infinite variance
Huschens, Stefan
-
1998
Persistent link: https://www.econbiz.de/10013440918
Saved in:
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