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subject:"Time series analysis"
~person:"Lucas, André"
~subject:"Stock index"
~type:"article"
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Search: subject_exact:"ARCH-Modell"
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Time series analysis
Stock index
ARCH model
7
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7
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5
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5
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Lucas, André
McAleer, Michael
15
Teräsvirta, Timo
14
Blazsek, Szabolcs
9
Kumar, Dilip
9
Li, Wai Keung
9
Degiannakis, Stavros
8
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8
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8
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7
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7
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7
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7
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7
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6
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6
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6
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6
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6
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6
Ling, Shiqing
6
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6
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6
So, Mike Ka-pui
6
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5
Chen, Cathy W. S.
5
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5
Hammoudeh, Shawkat
5
Hsing, Yu
5
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5
Klein, Tony
5
Koopman, Siem Jan
5
Lau, Chi Keung
5
Laurent, Sébastien
5
Politis, Dimitris N.
5
Rodriguez, Gabriel
5
Shi, Yanlin
5
Silvennoinen, Annastiina
5
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5
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5
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International journal of forecasting
2
Applied financial economics
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
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1
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
2
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
3
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
4
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
Saved in:
5
Short patches of outliers, ARCH and volatility modelling
Franses, Philip Hans
;
Dijk, Dick van
;
Lucas, André
- In:
Applied financial economics
14
(
2004
)
4
,
pp. 221-231
Persistent link: https://www.econbiz.de/10001939247
Saved in:
6
Testing for ARCH in the presence of addiative outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
- In:
Journal of applied econometrics
14
(
1999
)
5
,
pp. 539-562
Persistent link: https://www.econbiz.de/10001421498
Saved in:
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