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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Cointegration"
~subject:"Estimation"
~subject:"Statistical distribution"
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Stochastischer Prozess
Volatility
Cointegration
Estimation
Statistical distribution
Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
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Regressionsanalyse
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Kointegration
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Markov-Kette
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Prognoseverfahren
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cointegration
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Nichtlineare Regression
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Nonlinear regression
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Statistische Verteilung
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Structural break
7
Strukturbruch
7
VAR model
7
VAR-Modell
7
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Enders, Walter
2
Lee, Junsoo
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Li, Jing
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Schweikert, Karsten
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Abbara, Omar
1
Anatolyev, Stanislav
1
Banerjee, Anurag Narayan
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Baruník, Jozef
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Bekiros, Stelios
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Byoung Hark Yoo
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Daníelsson, Jón
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Dark, Jonathan Graeme
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
397
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
177
Economics letters
168
Econometric reviews
105
Econometric theory
87
Discussion paper / Tinbergen Institute
86
Applied economics letters
74
Economic modelling
71
CEMMAP working papers / Centre for Microdata Methods and Practice
69
Discussion paper series / IZA
64
The econometrics journal
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
62
NBER Working Paper
61
Applied economics
58
Insurance / Mathematics & economics
57
Econometrics : open access journal
54
NBER working paper series
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CREATES research paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
51
International journal of forecasting
47
Journal of the American Statistical Association : JASA
47
Journal of applied econometrics
43
Working paper
43
European journal of operational research : EJOR
41
Journal of banking & finance
40
Working paper / National Bureau of Economic Research, Inc.
40
Cowles Foundation discussion paper
39
CESifo working papers
38
Quantitative economics : QE ; journal of the Econometric Society
38
Discussion papers of interdisciplinary research project 373
37
IZA Discussion Paper
37
Journal of empirical finance
37
Computational economics
34
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
34
Empirical economics : a quarterly journal of the Institute for Advanced Studies
34
Journal of forecasting
34
SFB 649 discussion paper
34
Discussion paper / Center for Economic Research, Tilburg University
33
Discussion paper
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ECONIS (ZBW)
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Time-specific average estimation of dynamic panel regressions
Chu, Ba
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
Saved in:
5
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
6
Buffered vector error-correction models : an application to the U.S. Treasury bond rates
Lu, Renjie
;
Yu, Philip L. H.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 267-287
Persistent link: https://www.econbiz.de/10012806530
Saved in:
7
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
8
Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity
Lee, Myoung-jae
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 81-91
Persistent link: https://www.econbiz.de/10012594174
Saved in:
9
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
10
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
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