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subject:"ARCH-Modell"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"Time series analysis"
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ARCH-Modell
Time series analysis
ARCH model
10
Theorie
6
Theory
6
Zeitreihenanalyse
5
Volatility
4
Volatilität
4
Estimation
2
Heteroscedasticity
2
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1999-2000
1
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Kapitaleinkommen
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Maximum likelihood estimation
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Christiansen, Charlotte
2
Koulikov, Dmitri
2
Lunde, Asger
2
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2
Busch, Thomas
1
Hansen, Peter Reinhard
1
Jensen, Morten Berg
1
Kristensen, Dennis
1
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1
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Ekonomiska forskningsinstitutet <Stockholm>
15
University of Canterbury / Dept. of Economics and Finance
8
Econometrisch Instituut <Rotterdam>
7
Instituto Valenciano de Investigaciones Económicas
6
Shakai-Keizai-Kenkyūsho <Osaka>
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3
National Institute of Economic and Social Research
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3
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2
Center for Economic Research <Tilburg>
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Federal Reserve Bank of St. Louis
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Gottfried Wilhelm Leibniz Universität Hannover
2
London School of Economics and Political Science
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Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
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School of Finance and Business Economics <Perth, Western Australia>
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Springer Fachmedien Wiesbaden
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Svenska Handelshögskolan <Helsinki>
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Université de Montréal / Département de sciences économiques
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William Davidson Institute <Ann Arbor, Mich.>
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Canada / Mines Branch (1950- )
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1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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1
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
10
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ECONIS (ZBW)
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1
A robust LR test for the GARCH model
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002069045
Saved in:
2
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
3
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
Saved in:
4
Volatility-spillover effects in European bond markets
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838842
Saved in:
5
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
6
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
7
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
8
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
9
The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
Saved in:
10
A comparison of volatility models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
Saved in:
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