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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH model"
~subject:"Monte-Carlo-Simulation"
~subject:"Wahrscheinlichkeitsrechnung"
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ARCH model
Monte-Carlo-Simulation
Wahrscheinlichkeitsrechnung
Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH-Modell
17
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17
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Enders, Walter
2
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Anatolyev, Stanislav
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
111
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
55
Econometric theory
52
Discussion paper / Tinbergen Institute
51
Econometric reviews
44
Computational economics
28
The econometrics journal
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
25
International journal of forecasting
25
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23
European journal of operational research : EJOR
21
Statistics in transition : an international journal of the Polish Statistical Association
21
Applied economics letters
20
Economic modelling
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NBER Working Paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
18
CEMMAP working papers / Centre for Microdata Methods and Practice
16
Econometrics : open access journal
16
Insurance / Mathematics & economics
16
Journal of empirical finance
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Journal of forecasting
16
Discussion paper / Center for Economic Research, Tilburg University
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of risk
15
Journal of risk and financial management : JRFM
15
Working paper / National Bureau of Economic Research, Inc.
15
CREATES research paper
14
Journal of economic dynamics & control
14
Report / Econometric Institute, Erasmus University Rotterdam
14
Journal of the American Statistical Association : JASA
13
Journal of time series econometrics
13
Working paper / Department of Econometrics and Business Statistics, Monash University
13
NBER working paper series
12
International journal of economics and financial issues : IJEFI
11
Order statistics: applications
11
Risks : open access journal
11
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
3
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
6
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
7
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
8
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
9
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
10
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
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