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~isPartOf:"ECARES working paper"
~isPartOf:"Journal of banking & finance"
~subject:"ARCH model"
~subject:"Panel study"
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Search: subject:"Zeitreihenanalyse"
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ARCH model
Panel study
Time series analysis
107
Zeitreihenanalyse
107
Theorie
49
Theory
49
Volatility
34
Volatilität
34
Estimation
29
Schätzung
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24
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Hallin, Marc
11
Barigozzi, Matteo
5
Forni, Mario
2
Hotta, Luiz K.
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Lippi, Marco
2
Mazzeu, João H. G.
2
Pereira, Pedro L. Valls
2
Soccorsi, Stefano
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Trucíos, Carlos
2
Alj, Abdelkamel
1
Aramonte, Sirio
1
Audrino, Francesco
1
Azrak, Rajae
1
Barone-Adesi, Giovanni
1
Berger, Tino
1
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1
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1
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1
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1
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1
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1
Giudice Rodriguez, Marius del
1
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1
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Nilsson, Birger
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Nisol, Gilles
1
Okimoto, Tatsuyoshi
1
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1
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ECARES working paper
Journal of banking & finance
Journal of econometrics
82
Discussion paper / Tinbergen Institute
48
Economic modelling
39
Economics letters
38
International journal of forecasting
36
Journal of empirical finance
36
Applied economics
34
Energy economics
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
33
Finance research letters
28
Econometric reviews
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The North American journal of economics and finance : a journal of financial economics studies
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CREATES research paper
21
Working paper
20
Econometric Institute research papers
18
International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of forecasting
18
Journal of risk and financial management : JRFM
18
The econometrics journal
18
Applied economics letters
17
International review of economics & finance : IREF
17
Research in international business and finance
17
International Journal of Energy Economics and Policy : IJEEP
16
Econometric theory
14
Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Journal of time series econometrics
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CESifo working papers
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Computational economics
13
Journal of financial econometrics
13
Journal of international financial markets, institutions & money
13
International journal of economics and financial issues : IJEFI
12
Applied financial economics
11
Cambridge working papers in economics
11
Journal of risk
11
Working paper / Department of Econometrics and Business Statistics, Monash University
11
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ECONIS (ZBW)
29
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1
Dynamic factor models: a genealogy
Barigozzi, Matteo
;
Hallin, Marc
-
2023
Persistent link: https://www.econbiz.de/10014391458
Saved in:
2
Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian
;
Indriawan, Ivan
;
Tse, Yiuman
; …
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
Saved in:
3
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
4
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
5
High-dimensional functional factor models
Hallin, Marc
;
Nisol, Gilles
;
Tavakoli, Shahin
-
2019
Persistent link: https://www.econbiz.de/10012064780
Saved in:
6
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
-
2019
Persistent link: https://www.econbiz.de/10012064799
Saved in:
7
On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hotta, Luiz K.
; …
-
2019
Persistent link: https://www.econbiz.de/10012179660
Saved in:
8
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
-
2018
Persistent link: https://www.econbiz.de/10012064840
Saved in:
9
VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi
;
Wang, Zerong
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
Saved in:
10
Dynamic factor model with infinite dimensional factor space: forecasting
Forni, Mario
;
Giovannelli, Alessandro
;
Lippi, Marco
; …
-
2016
Persistent link: https://www.econbiz.de/10011672373
Saved in:
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