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person:"Rombouts, Jeroen V. K."
~person:"Zerilli, Paola"
~subject:"1950-2006"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"GARCH model"
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1950-2006
Stochastic process
Stochastischer Prozess
ARCH model
42
ARCH-Modell
42
Theorie
19
Theory
19
Bayes-Statistik
13
Bayesian inference
13
Time series analysis
11
Volatility
11
Volatilität
11
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11
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10
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10
Estimation
9
Schätzung
9
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8
Markov-Kette
8
Option pricing theory
7
Optionspreistheorie
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6
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Estimation theory
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United States
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Analysis of variance
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Rombouts, Jeroen V. K.
Zerilli, Paola
McAleer, Michael
34
Hafner, Christian M.
12
Chang, Chia-Lin
10
Asai, Manabu
7
Gonçalves, Sílvia
7
Kilian, Lutz
7
Rahbek, Anders
7
Bos, Charles S.
6
Martinet, Guillaume Gaetan
6
Paolella, Marc S.
6
Bauwens, Luc
5
Fokianos, Konstantinos
5
Kim, Woocheol
5
Mittnik, Stefan
5
Allen, David E.
4
Andersen, Torben
4
Baum, Christopher F.
4
Feunou, Bruno
4
Fornari, Fabio
4
Francq, Christian
4
Herwartz, Helmut
4
Koopman, Siem Jan
4
Linton, Oliver
4
Lucas, André
4
Mele, Antonio
4
Preminger, Arie
4
Rodriguez, Gabriel
4
Zakoïan, Jean-Michel
4
Zhang, Zehua
4
Zhao, Ran
4
Chauveau, Thierry
3
Christoffersen, Peter F.
3
Clark, Todd E.
3
Elliott, Robert J.
3
Fabozzi, Frank J.
3
Ghysels, Eric
3
Grassi, Stefano
3
Gupta, Rangan
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2
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1
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ECONIS (ZBW)
9
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1
Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
2
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
3
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.
;
Zerilli, Paola
-
2014
Persistent link: https://www.econbiz.de/10011293875
Saved in:
4
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.
;
Zerilli, Paola
- In:
Energy economics
53
(
2016
),
pp. 175-181
Persistent link: https://www.econbiz.de/10011660506
Saved in:
5
Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003646288
Saved in:
6
Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003628635
Saved in:
7
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003326701
Saved in:
8
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003396156
Saved in:
9
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003297128
Saved in:
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