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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Computational economics"
~subject:"ARCH model"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Stochastischer Prozess"
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Volatility
ARCH model
Maximum-Likelihood-Schätzung
Stochastischer Prozess
Estimation theory
180
Schätztheorie
180
Time series analysis
51
Zeitreihenanalyse
51
Estimation
34
Schätzung
33
Regression analysis
27
Regressionsanalyse
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Monte Carlo simulation
24
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Francq, Christian
3
Boubaker, Heni
2
Horváth, Lajos
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Zakoïan, Jean-Michel
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Akira Toda, Alexis
1
Aloy, Marcel
1
Andreasen, Martin Møller
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Andreou, Alena
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Audrino, Francesco
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Balter, Janine
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Bartolucci, Francesco
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Bos, Charles S.
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Bu, Ruijun
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Cagnone, Silvia
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Carrasco, Marine
1
Cervellera, Gian P.
1
Chen, Yi-ting
1
Choudhry, Taufiq
1
Christoffersen, Peter F.
1
Conrad, Christian A.
1
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Dempsey, Michael
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Di, Jianing
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Engle, Robert F.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Journal of econometrics
233
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Economics letters
67
Discussion paper / Tinbergen Institute
65
Econometric theory
64
Econometric reviews
54
CREATES research paper
39
Journal of empirical finance
31
The econometrics journal
31
Economic modelling
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Econometrics : open access journal
24
Journal of forecasting
24
European journal of operational research : EJOR
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Finance research letters
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International journal of forecasting
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Journal of the American Statistical Association : JASA
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Insurance / Mathematics & economics
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Journal of banking & finance
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Journal of financial econometrics
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SFB 649 discussion paper
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Cowles Foundation discussion paper
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Applied economics
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Applied economics letters
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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NBER Working Paper
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Quantitative finance
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Discussion papers of interdisciplinary research project 373
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Operations research
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of theoretical and applied finance
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Journal of mathematical finance
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Journal of time series econometrics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of economic dynamics & control
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Journal of risk
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1
Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors
Gooijer, Jan G. de
- In:
Computational economics
62
(
2023
)
1
,
pp. 407-424
Persistent link: https://www.econbiz.de/10014327543
Saved in:
2
Estimating the unrestricted and restricted Liu estimators for the Poisson regression model : method and application
Månsson, Kristofer
;
Kibria, B. M. Golam
- In:
Computational economics
58
(
2021
)
2
,
pp. 311-326
Persistent link: https://www.econbiz.de/10012615004
Saved in:
3
Maximum likelihood estimation methods for Copula models
Zhang, Jinyu
;
Gao, Kang
;
Li, Yong
;
Zhang, Qiaosen
- In:
Computational economics
60
(
2022
)
1
,
pp. 99-124
Persistent link: https://www.econbiz.de/10013262501
Saved in:
4
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
5
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
6
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
7
Estimation of STAR-GARCH models with iteratively weighted least squares
Midiliç, Murat
- In:
Computational economics
55
(
2020
)
1
,
pp. 87-117
Persistent link: https://www.econbiz.de/10012222593
Saved in:
8
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
9
A perturbation method to optimize the parameters of autoregressive conditional heteroscedasticity model
Feng, Xuejie
;
Zhang, Chiping
- In:
Computational economics
55
(
2020
)
3
,
pp. 1021-1044
Persistent link: https://www.econbiz.de/10012223692
Saved in:
10
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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