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isPartOf:"The econometrics journal"
~subject:"Nonparametric statistics"
~subject:"Schätztheorie"
~subject:"Statistischer Test"
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Nonparametric statistics
Schätztheorie
Statistischer Test
ARCH model
40
ARCH-Modell
40
Theorie
20
Theory
20
Estimation theory
14
Time series analysis
13
Volatility
13
Volatilität
13
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13
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7
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Bayes-Statistik
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GARCH
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Markov-Kette
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Hafner, Christian M.
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Brown, Bryan W.
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Di, Jianing
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The econometrics journal
Journal of econometrics
58
Econometric theory
40
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Economics letters
26
Discussion paper / Tinbergen Institute
21
Econometric reviews
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
International journal of forecasting
18
Economic modelling
15
CREATES research paper
14
Finance research letters
14
Journal of empirical finance
14
Journal of banking & finance
13
The North American journal of economics and finance : a journal of financial economics studies
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Journal of financial econometrics
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of forecasting
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Journal of risk and financial management : JRFM
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Applied economics
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Journal of time series econometrics
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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CORE discussion papers : DP
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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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Econometrics : open access journal
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Energy economics
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International Journal of Energy Economics and Policy : IJEEP
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Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
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Journal of economic dynamics & control
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The European journal of finance
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Theoretical economics letters
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Cambridge working papers in economics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
4
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
5
Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Preminger, Arie
;
Storti, Giuseppe
- In:
The econometrics journal
20
(
2017
)
2
,
pp. 221-258
Persistent link: https://www.econbiz.de/10011757387
Saved in:
6
Nonparametric bootstrap tests for independence of generalized errors
Du, Zaichao
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 55-83
Persistent link: https://www.econbiz.de/10011487609
Saved in:
7
A class of indirect inference estimators : higher-order asymptotics and approximate bias correction
Arvanitis, Stelios
;
Dēmos, Antōnēs A.
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 200-241
Persistent link: https://www.econbiz.de/10011378482
Saved in:
8
Specification tests for nonlinear dynamic models
Kheifets, Igor L.
- In:
The econometrics journal
18
(
2015
)
1
,
pp. 67-94
Persistent link: https://www.econbiz.de/10011345998
Saved in:
9
Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
Saved in:
10
On the efficiency of a semi-parametric GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 257-277
Persistent link: https://www.econbiz.de/10009382636
Saved in:
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