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~subject:"ARCH model"
~subject:"Volatilität"
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Search: subject_exact:"Bernoulli process"
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ARCH model
Volatilität
Stochastic process
60
Stochastischer Prozess
60
Theorie
35
Theory
35
Volatility
22
Estimation theory
15
Schätztheorie
15
Time series analysis
11
Zeitreihenanalyse
11
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7
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Mathematical analysis
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Autocorrelation
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Capital income
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Barndorff-Nielsen, Ole E.
3
Kristensen, Dennis
3
Podolskij, Mark
3
Veraart, Almut E. D.
3
Andersen, Torben
2
Grassi, Stefano
2
Lunde, Asger
2
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2
Rahbek, Anders
2
Agosto, Arianna
1
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1
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1
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1
Benzoni, Luca
1
Bolko, Anine E.
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Corcuera, José Manual
1
Creel, Michael D.
1
Exterkate, Peter
1
Fissler, Tobias
1
Floor Brix, Anne
1
Fokianos, Konstantinos
1
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1
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1
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1
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1
Knapik, Oskar
1
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1
Posedel Šimović, Petra
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1
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1
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1
Simonato, Jean-Guy
1
Stelzer, Robert
1
Stentoft, Lars
1
Tjøstheim, Dag
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CREATES research paper
International journal of theoretical and applied finance
135
Journal of econometrics
113
Quantitative finance
84
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
58
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
The journal of computational finance
49
Finance and stochastics
47
Computational economics
46
Journal of economic dynamics & control
46
Econometric reviews
44
European journal of operational research : EJOR
38
Journal of mathematical finance
38
Working paper
36
Finance research letters
35
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
30
Journal of empirical finance
30
Economics letters
29
Research paper series / Swiss Finance Institute
29
The journal of futures markets
29
Energy economics
28
Risks : open access journal
28
The North American journal of economics and finance : a journal of financial economics studies
27
CAMA working paper series
24
Economic modelling
24
Review of derivatives research
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of risk and financial management : JRFM
23
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
20
Journal of financial economics
18
NBER working paper series
18
The European journal of finance
18
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17
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ECONIS (ZBW)
25
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1
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
2
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
3
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
4
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
5
Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
-
2015
Persistent link: https://www.econbiz.de/10011516997
Saved in:
6
A Jump-diffusion model with stochastic volatility and durations
Wei, Wei
;
Pelletier, Denis
-
2015
Persistent link: https://www.econbiz.de/10011327726
Saved in:
7
Which pricing approach for options under GARCH with non-normal innovations?
Simonato, Jean-Guy
;
Stentoft, Lars
-
2015
Persistent link: https://www.econbiz.de/10011327731
Saved in:
8
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, Tobias
;
Podolskij, Mark
-
2014
Persistent link: https://www.econbiz.de/10010442414
Saved in:
9
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
Saved in:
10
It’s all about volatility (of volatility) : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2013
Persistent link: https://www.econbiz.de/10009712566
Saved in:
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