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~isPartOf:"Journal of time series econometrics"
~subject:"Risikomaß"
~subject:"Schätztheorie"
~subject:"Theory"
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Search: subject:"conditional heteroscedasticity"
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Risikomaß
Schätztheorie
Theory
ARCH model
20
ARCH-Modell
20
Time series analysis
13
Zeitreihenanalyse
13
Estimation theory
10
Theorie
8
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8
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8
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5
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5
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4
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long memory
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Asai, Manabu
3
Arvanitis, Stelios
2
So, Mike Ka-pui
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1
Ardia, David
1
Bluteau, Keven
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Boubaker, Heni
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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
Milunovich, George
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Palm, Franz C.
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Wang, Fangfang
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Journal of time series econometrics
Journal of econometrics
107
Journal of empirical finance
71
Econometric theory
62
International journal of forecasting
61
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Applied economics
56
Discussion paper / Tinbergen Institute
56
Finance research letters
56
Economics letters
53
Journal of forecasting
53
Journal of banking & finance
50
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
The North American journal of economics and finance : a journal of financial economics studies
47
Economic modelling
46
Energy economics
46
Journal of financial econometrics : official journal of the Society for Financial Econometrics
43
Econometric reviews
40
The European journal of finance
37
International review of financial analysis
36
Journal of risk and financial management : JRFM
36
The econometrics journal
35
Journal of risk
30
International review of economics & finance : IREF
29
Journal of international financial markets, institutions & money
28
Applied economics letters
26
Journal of financial econometrics
26
Working paper
26
Research in international business and finance
25
Computational economics
24
Econometric Institute research papers
24
International journal of economics and financial issues : IJEFI
24
Journal of applied econometrics
24
Working papers
24
CORE discussion papers : DP
23
CREATES research paper
21
Econometrics : open access journal
20
Journal of economic dynamics & control
20
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19
Quantitative finance
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ECONIS (ZBW)
18
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18
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date (oldest first)
1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
2
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
3
Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie
;
Politis, Dimitris N.
- In:
Journal of time series econometrics
12
(
2020
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
Saved in:
4
Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
Tófoli, Paula V.
;
Ziegelmann, Flávio A.
;
Candido, Osvaldo
- In:
Journal of time series econometrics
11
(
2019
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012022874
Saved in:
5
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
6
Volatility modeling with leverage effect under laplace errors
Jiang, Zhengjun
;
Xia, Weixuan
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011817685
Saved in:
7
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
8
Testing for nonlinearity in conditional covariances
Sanhaji, Bilel
- In:
Journal of time series econometrics
9
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011701865
Saved in:
9
A note on the QMLE limit theory in the non-stationary ARCH(1) model
Arvanitis, Stelios
;
Louka, Alexandros
- In:
Journal of time series econometrics
8
(
2016
)
1
,
pp. 21-39
Persistent link: https://www.econbiz.de/10011440450
Saved in:
10
On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.
;
Laurent, Sébastien
;
Palm, Franz C.
- In:
Journal of time series econometrics
8
(
2016
)
2
,
pp. 91-113
Persistent link: https://www.econbiz.de/10011582755
Saved in:
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