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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Engle, Robert F."
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Engle, Robert F.
Franses, Philip Hans
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Lucas, André
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Kim, Chang-jin
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Working paper / National Bureau of Economic Research, Inc.
13
Discussion paper / Department of Economics, University of California San Diego
7
Journal of econometrics
5
The review of financial studies
4
Discussion paper / Centre for Economic Policy Research
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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A discrete-state continuous-time model of financial transactions prices and times : the autoregressive conditional multinomial-autoregressive conditional duration model
Russell, Jeffrey R.
;
Engle, Robert F.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
2
,
pp. 166-180
Persistent link: https://www.econbiz.de/10002781639
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2
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
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