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person:"Stambaugh, Robert F."
subject:"Share price"
~isPartOf:"Journal of econometrics"
~person:"Li, Guodong"
~person:"Luger, Richard"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Share price
Time series analysis
Estimation theory
5
Schätztheorie
5
ARCH model
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ARCH-Modell
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Zeitreihenanalyse
3
Estimation
2
Regression analysis
2
Regressionsanalyse
2
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Asymmetric power GARCH
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Asymmetry testing
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Börsenkurs
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Capital income
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Conditional heteroskedasticity
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Long-range dependence
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Method of moments
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Stambaugh, Robert F.
Li, Guodong
Luger, Richard
Phillips, Peter C. B.
11
Taylor, Robert
9
Linton, Oliver
8
Leybourne, Stephen James
7
Todorov, Viktor
7
Li, Jia
6
Tauchen, George Eugene
6
Andersen, Torben
5
Chen, Xiaohong
5
Davis, Richard A.
5
Francq, Christian
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Yingying
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zhu, Ke
5
Chambers, Marcus J.
4
Harvey, David I.
4
Li, Qi
4
Ng, Serena
4
Sun, Yixiao
4
Zakoïan, Jean-Michel
4
Baillie, Richard
3
Baltagi, Badi H.
3
Blasques, Francisco
3
Bollerslev, Tim
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
Gao, Jiti
3
Johansen, Søren
3
Kim, Dukpa
3
Koop, Gary
3
Li, Degui
3
Li, Dong
3
Li, Wai Keung
3
Lütkepohl, Helmut
3
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Journal of econometrics
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of financial economics
1
Journal of risk
1
Staff working paper / Bank of Canada
1
Technical working paper / National Bureau of Economic Research
1
Working paper series / Center for Research in Security Prices
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Working papers / Rodney L. White Center for Financial Research
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ECONIS (ZBW)
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Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
2
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
Saved in:
3
Linear double autoregression
Zhu, Qianqian
;
Zheng, Yao
;
Li, Guodong
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
Saved in:
4
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
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