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person:"Stambaugh, Robert F."
subject:"Share price"
~isPartOf:"CREATES research paper"
~person:"Callot, Laurent"
~person:"Krämer, Walter"
~person:"Teräsvirta, Timo"
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Share price
Estimation theory
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Schätztheorie
13
Time series analysis
6
Zeitreihenanalyse
6
ARCH model
5
ARCH-Modell
5
Nichtlineare Regression
5
Nonlinear regression
5
Statistical test
4
Statistischer Test
4
Volatility
4
Volatilität
4
Autocorrelation
3
Autokorrelation
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Börsenkurs
3
Correlation
3
Korrelation
3
Multivariate Analyse
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Multivariate analysis
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VAR model
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VAR-Modell
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Estimation
2
Modellierung
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Regression analysis
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Regressionsanalyse
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Scientific modelling
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Australia
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Australien
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Behavioural finance
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Changing seasonality
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Cointegration
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Deterministically varying correlation
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Gaussian process
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Kointegration
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Stambaugh, Robert F.
Callot, Laurent
Krämer, Walter
Teräsvirta, Timo
Silvennoinen, Annastiina
2
Grassi, Stefano
1
Hall, Anthony D.
1
Kock, Anders B.
1
Medeiros, Marcelo C.
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Violante, Francesco
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CREATES research paper
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Discussion paper / Tinbergen Institute
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Econometrics : open access journal
1
Forschungsbericht / Universität Dortmund, Fachbereich Statistik
1
Journal of empirical finance
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Journal of financial economics
1
NCER working paper series
1
SSE EFI working paper series in economics and finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
Tinbergen Institute Discussion Paper 14-147/III
1
Universität Dortmund / Research Paper
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Working paper series / Center for Research in Security Prices
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ECONIS (ZBW)
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Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
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2
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
3
Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent
;
Kock, Anders B.
;
Medeiros, Marcelo C.
-
2014
Persistent link: https://www.econbiz.de/10010433252
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