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person:"Zakoïan, Jean-Michel"
~person:"Hallin, Marc"
~subject:"Conditional heteroskedasticity"
~subject:"Faktorenanalyse"
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Conditional heteroskedasticity
Faktorenanalyse
ARCH model
48
ARCH-Modell
48
Theorie
27
Theory
27
Estimation theory
24
Schätztheorie
24
Time series analysis
18
Volatility
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Capital income
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Heteroskedastizität
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Portfolio selection
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Statistical inference
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Stochastic process
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Stochastischer Prozess
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Factor analysis
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GARCH
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High-dimensional time series
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Analysis of variance
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Dynamic Factor Models
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Zakoïan, Jean-Michel
Hallin, Marc
Barigozzi, Matteo
6
De Nard, Gianluca
4
Lütkepohl, Helmut
3
Wolf, Michael
3
Aguilar, Mike
2
Alessi, Lucia
2
Amado, Cristina
2
Aramonte, Sirio
2
Brüggemann, Ralf
2
Capasso, Marco
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Francq, Christian
2
Jentsch, Carsten
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La Vecchia, Davide
2
Ledoit, Olivier
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Santos, André A. P.
2
Teräsvirta, Timo
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Trenkler, Carsten
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Wu, Jason
2
Akdemir, A.
1
Alper, C. Emre
1
Andreou, Elena
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Beck, Elliot
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Berger, Tino
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Buonocore, R. J.
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Caldeira, João F.
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Chan, Nigel
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Connor, Gregory
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Di Matteo, Tiziana
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Ederington, Louis H.
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Fan, Jianqing
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ECONIS (ZBW)
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
-
2018
Persistent link: https://www.econbiz.de/10012064840
Saved in:
4
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
5
Semiparametrically efficient R-estimation for dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
-
2014
Persistent link: https://www.econbiz.de/10010418928
Saved in:
6
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
-
2014
Persistent link: https://www.econbiz.de/10010483698
Saved in:
7
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
8
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
Saved in:
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