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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Statistical test"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Statistical test
Estimation theory
32
Schätztheorie
32
Time series analysis
18
Zeitreihenanalyse
18
Theorie
15
Theory
15
Volatilität
10
ARCH model
8
ARCH-Modell
8
Nichtlineare Regression
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Nonlinear regression
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Autocorrelation
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Autokorrelation
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Börsenkurs
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Exchange rate
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Share price
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Statistischer Test
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VAR model
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VAR-Modell
4
Wechselkurs
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Multivariate Analyse
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Multivariate analysis
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Correlation
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Estimation
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Korrelation
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Modellierung
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Schätzung
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Scientific modelling
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modelling volatility
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smooth transition GARCH
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1960-1994
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Australia
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Australien
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Capital income
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Graue Literatur
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Alizadeh, Sassan
Teräsvirta, Timo
Phillips, Peter C. B.
25
Sentana, Enrique
23
Amengual, Dante
15
Koopman, Siem Jan
13
Canay, Ivan A.
11
Fiorentini, Gabriele
11
Härdle, Wolfgang
11
Dufour, Jean-Marie
10
Reiß, Markus
10
Spokojnyj, Vladimir G.
10
Chernozhukov, Victor
9
Hsu, Yu-Chin
9
Breunig, Christoph
8
Bugni, Federico A.
8
Cai, Zongwu
8
Dette, Holger
8
Kitagawa, Toru
8
Kristensen, Dennis
8
Leon-Gonzalez, Roberto
8
Xu, Yongdeng
8
Bibinger, Markus
7
Lucas, André
7
Shi, Xiaoxia
7
Sun, Yixiao
7
Andrews, Donald W. K.
6
Blasques, Francisco
6
Brandt, Michael W.
6
Chen, Xiaohong
6
Horowitz, Joel
6
Kleibergen, Frank
6
Küchler, Uwe
6
Linton, Oliver
6
Minford, Patrick
6
Wan, Yuanyuan
6
Wickens, Michael R.
6
Arai, Yoichi
5
Bei, Xinyue
5
Christopeit, Norbert
5
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Rodney L. White Center for Financial Research
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
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2
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
Saved in:
3
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
4
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:
5
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
6
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
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7
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
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8
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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9
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Kadlec, Gregory B.
; …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002001001
Saved in:
10
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Kadlec, Gregory B.
; …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002004134
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