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~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Econometric theory"
~subject:"ARCH-Modell"
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ARCH-Modell
Estimation theory
852
Schätztheorie
852
Theorie
296
Theory
296
Time series analysis
174
Zeitreihenanalyse
174
Nichtparametrisches Verfahren
146
Nonparametric statistics
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132
Regressionsanalyse
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Statistical test
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Statistischer Test
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Estimation
42
Schätzung
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ARCH model
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Linton, Oliver
5
Kokoszka, Piotr
4
Chan, Ngai Hang
3
Horváth, Lajos
3
Berkes, István
2
Francq, Christian
2
Giraitis, Liudas
2
Saikkonen, Pentti
2
Zaffaroni, Paolo
2
Zakoïan, Jean-Michel
2
Zhang, Rongmao
2
Andrews, Beth
1
Avarucci, Marco
1
Beutner, Eric
1
Chan, Kung-sik
1
Comte, Fabienne
1
Dedecker, J.
1
Feng, Yuanhua
1
Franke, Jürgen
1
Gao, Feng
1
Ghysels, Eric
1
Hafner, Christian M.
1
Halunga, Andreea G.
1
Henze, Norbert
1
Holzberger, Harriet
1
Iglesias, Emma M.
1
Jensen, Søren Tolver
1
Jeong, Minsoo
1
Jiménez-Gamero, M. Dolores
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Kim, Woocheol
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Kristensen, Dennis
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Leipus, Remigijus
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Li, Degui
1
Li, Deyuan
1
Li, Guodong
1
Li, Wai Keung
1
Ling, Shiqing
1
Liu, Ji-chun
1
Liu, Rong
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Lu, Zu-di
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Discussion papers of interdisciplinary research project 373
Econometric theory
Journal of econometrics
50
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Discussion paper / Tinbergen Institute
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
14
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
CREATES research paper
12
Finance research letters
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Journal of risk
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International journal of economics and financial issues : IJEFI
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
CORE discussion papers : DP
9
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
Econometrics : open access journal
7
Journal of mathematical finance
7
Computational economics
6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The journal of risk model validation
5
Working paper series
5
Working papers
5
CBN journal of applied statistics
4
Discussion paper / Centre for Economic Forecasting
4
Discussion paper / Department of Economics, University of California San Diego
4
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
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ECONIS (ZBW)
37
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1
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
2
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
3
Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert
;
Jiménez-Gamero, M. Dolores
;
Meintanis, …
- In:
Econometric theory
35
(
2019
)
3
,
pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
Saved in:
4
Residual-based GARCH bootstrap and second order asymptotic refinement
Jeong, Minsoo
- In:
Econometric theory
33
(
2017
)
3
,
pp. 779-790
Persistent link: https://www.econbiz.de/10011810204
Saved in:
5
Spline estimation of a semiparametric GARCH model
Liu, Rong
;
Yang, Lijian
- In:
Econometric theory
32
(
2016
)
4
,
pp. 1023-1054
Persistent link: https://www.econbiz.de/10011644228
Saved in:
6
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
7
On a family of contrasts for parametric inference in degenerate ARCH models
Truquet, Lionel
- In:
Econometric theory
30
(
2014
)
6
,
pp. 1165-1206
Persistent link: https://www.econbiz.de/10010502121
Saved in:
8
On moment conditions for quasi-maximum likelihood estimation of multivariate arch models
Avarucci, Marco
;
Beutner, Eric
;
Zaffaroni, Paolo
- In:
Econometric theory
29
(
2013
)
3
,
pp. 545-566
Persistent link: https://www.econbiz.de/10009778514
Saved in:
9
Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
29
(
2013
)
5
,
pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
Saved in:
10
Rank-based estimation for GARCH processes
Andrews, Beth
- In:
Econometric theory
28
(
2012
)
5
,
pp. 1037-1064
Persistent link: https://www.econbiz.de/10009714725
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