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isPartOf:"Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines"
type_genre:"Graue Literatur"
~isPartOf:"CORE discussion papers : DP"
~subject:"ARCH-Modell"
~subject:"Zeitreihenanalyse"
~type_genre:"Working Paper"
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ARCH-Modell
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Estimation theory
69
Schätztheorie
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27
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27
Nichtparametrisches Verfahren
14
Nonparametric statistics
14
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11
Time series analysis
10
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7
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Preminger, Arie
5
Hafner, Christian M.
4
Bauwens, Luc
3
Robinson, Peter M.
3
Storti, Giuseppe
3
Giraitis, Liudas
2
Otranto, Edoardo
2
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2
Bauwensa, Luc
1
Bouezmarni, Taoufik
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Braione, Manuela
1
Cosma, Antonio
1
Galli, Fausto
1
Harvey, Andrew C.
1
Koopman, Siem Jan
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Laurent, Sébastien
1
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1
Marinucci, Domenico
1
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1
Rothenberg, Thomas J.
1
Samarov, Alexander
1
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1
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1
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1
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Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
CORE discussion papers : DP
Discussion paper / Tinbergen Institute
103
Working paper / Department of Econometrics and Business Statistics, Monash University
65
CREATES research paper
64
Série des documents de travail / Centre de Recherche en Économie et Statistique
35
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
32
SFB 649 discussion paper
27
Cowles Foundation discussion paper
25
Working paper series
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Discussion paper / Center for Economic Research, Tilburg University
23
Technical working paper / National Bureau of Economic Research
22
Working paper / National Bureau of Economic Research, Inc.
21
Umeå economic studies
20
Working paper
19
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
18
Report / Econometric Institute, Erasmus University Rotterdam
18
CEMMAP working papers / Centre for Microdata Methods and Practice
17
EUI working paper / ECO
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Discussion papers / Department of Economics, University of Copenhagen
16
Discussion papers of interdisciplinary research project 373
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Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
15
CORE discussion paper : DP
15
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
15
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10
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Cambridge working papers in economics
9
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
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Modelling realized covariance matrices: a class of Hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
-
2020
Persistent link: https://www.econbiz.de/10012429316
Saved in:
2
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
3
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
4
Least squares estimation for Garch (1,1) model with heavy tailed errors
Preminger, Arie
;
Storti, Giuseppe
-
2017
Persistent link: https://www.econbiz.de/10011990826
Saved in:
5
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
6
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
7
Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2016
Persistent link: https://www.econbiz.de/10011894432
Saved in:
8
Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010385162
Saved in:
9
Nonparametric Beta kernel estimator for long memory time series
Bouezmarni, Taoufik
;
Van Bellegem, Sébastien
-
2011
Persistent link: https://www.econbiz.de/10008934759
Saved in:
10
A nonparametric ACD model
Cosma, Antonio
(
contributor
);
Galli, Fausto
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003375845
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