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Search: subject:"GARCH"
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Regressionsanalyse
Theory
ARCH model
74
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74
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38
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35
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35
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11
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11
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2
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1
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1
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1
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Econometric theory
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Journal of econometrics
61
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52
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46
International journal of forecasting
43
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40
Finance research letters
37
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36
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35
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35
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33
The European journal of finance
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
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31
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29
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23
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23
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22
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22
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20
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20
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19
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19
Research in international business and finance
19
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18
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16
CORE discussion paper : DP
16
Journal of economic dynamics & control
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of international money and finance
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Econometric Institute research papers
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International journal of finance & economics : IJFE
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Risks : open access journal
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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
On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David
;
Malongo, Hassan
- In:
Econometric theory
33
(
2017
)
3
,
pp. 636-663
Persistent link: https://www.econbiz.de/10011810178
Saved in:
3
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
- In:
Econometric theory
33
(
2017
)
3
,
pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
Saved in:
4
Adaptive long memory testing under heteroskedasticity
Harris, David
;
Kew, Hsein
- In:
Econometric theory
33
(
2017
)
3
,
pp. 755-778
Persistent link: https://www.econbiz.de/10011810197
Saved in:
5
Detecting for smooth structural changes in
GARCH
models
Chen, Bin
;
Hong, Yongmiao
- In:
Econometric theory
32
(
2016
)
3
,
pp. 740-791
Persistent link: https://www.econbiz.de/10011606827
Saved in:
6
A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Su, Liangjun
;
Ullah, Aman
- In:
Econometric theory
29
(
2013
)
1
,
pp. 187-212
Persistent link: https://www.econbiz.de/10009747860
Saved in:
7
Penalized sieve estimation and inference of seminonparametric dynamic models : a selective review
Chen, Xiaohong
-
2013
Persistent link: https://www.econbiz.de/10010247717
Saved in:
8
QML estimation of a class of multivariate asymmetric
GARCH
models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
28
(
2012
)
1
,
pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
Saved in:
9
Parameter estimation in nonlinear AR-
GARCH
models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
10
Estimation of a semiparametric IGARCH (1,1) model
Kim, Woocheol
;
Linton, Oliver
- In:
Econometric theory
27
(
2011
)
3
,
pp. 639-661
Persistent link: https://www.econbiz.de/10009266722
Saved in:
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