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person:"Croux, Christophe"
subject:"Volatility"
~person:"Engle, Robert F."
~subject:"Schätzung"
~subject:"Time series analysis"
~type_genre:"Working Paper"
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Volatility
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Estimation theory
37
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16
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16
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12
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Croux, Christophe
Engle, Robert F.
Gao, Jiti
47
Koopman, Siem Jan
33
Phillips, Peter C. B.
30
Lütkepohl, Helmut
27
Härdle, Wolfgang
24
Nielsen, Morten Ørregaard
24
Franses, Philip Hans
23
Kapetanios, George
23
Pesaran, M. Hashem
23
Johansen, Søren
22
Maravall Herrero, Agustín
22
Cai, Zongwu
21
Linton, Oliver
21
Sibbertsen, Philipp
21
Teräsvirta, Timo
21
Marcellino, Massimiliano
20
Lucas, André
18
Gouriéroux, Christian
16
Swanson, Norman R.
16
Peng, Bin
15
Diebold, Francis X.
14
Koop, Gary
14
Sentana, Enrique
14
Hyndman, Rob J.
13
Bauwens, Luc
12
Berg, Gerard J. van den
11
Brännäs, Kurt
11
Giraitis, Liudas
11
Gómez, Víctor
11
Ooms, Marius
11
Schorfheide, Frank
11
Spokojnyj, Vladimir G.
11
Blasques, Francisco
10
Fang, Ying
10
Hafner, Christian M.
10
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10
Nielsen, Bent
10
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9
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11
Working paper / National Bureau of Economic Research, Inc.
2
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1
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1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
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ECONIS (ZBW)
17
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Modelling volatility cycles : the (MF)2 GARCH model
Conrad, Christian
;
Engle, Robert F.
-
2021
-
This draft: March 14, 2021
Persistent link: https://www.econbiz.de/10012488645
Saved in:
2
Robust estimation of linear state space models
Crevits, Ruben
;
Croux, Christophe
-
2017
Persistent link: https://www.econbiz.de/10011799036
Saved in:
3
An algorithm for the multivariate group lasso with covariance estimation
Wilms, I.
;
Croux, Christophe
-
2015
Persistent link: https://www.econbiz.de/10011658494
Saved in:
4
Real or nominal variables, does it matter for the impulse response?
Reusens, Peter
;
Croux, Christophe
-
2015
Persistent link: https://www.econbiz.de/10011290632
Saved in:
5
Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
Croux, Christophe
;
Öllerer, Viktoria
-
2015
Persistent link: https://www.econbiz.de/10011290636
Saved in:
6
Detecting time variation in the price puzzle : an improved prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
-
2014
Persistent link: https://www.econbiz.de/10010485677
Saved in:
7
Sparse and robust factor modelling
Croux, Christophe
;
Exterkate, Peter
-
2011
Persistent link: https://www.econbiz.de/10009720758
Saved in:
8
Jump robust daily covariance estimation by disentangling variance and correlation components
Boudt, Kris
;
Cornelissen, Jonathan
;
Croux, Christophe
-
2010
Persistent link: https://www.econbiz.de/10008989131
Saved in:
9
Regression-based, regression-free and model-free approaches for robust online scale estimation
Schettlinger, Karen
;
Gelper, Sarah
;
Gather, Ursula
; …
-
2008
Persistent link: https://www.econbiz.de/10003977730
Saved in:
10
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
-
2008
Persistent link: https://www.econbiz.de/10003977900
Saved in:
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