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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH model"
~subject:"Volatilität"
~subject:"Wahrscheinlichkeitsrechnung"
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Search: subject_exact:"Estimation theory"
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ARCH model
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Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH-Modell
17
Volatility
17
Regression analysis
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Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
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Blazsek, Szabolcs
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Bu, Ruijun
1
Carnero, M. Angeles
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Chan, Jennifer So Kuen
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Jensen, Mark J.
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Kalyvitēs, Sarantēs
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Kok Haur Ng
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Kraicová, Lucie
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Lee, Kyungsub
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Ma, Jun
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
165
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
74
Econometric theory
57
Discussion paper / Tinbergen Institute
55
Economics letters
52
Econometric reviews
41
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
31
Journal of empirical finance
29
International journal of forecasting
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
CREATES research paper
24
The econometrics journal
23
Economic modelling
19
Finance research letters
19
Série des documents de travail / Centre de Recherche en Économie et Statistique
19
Journal of forecasting
18
Discussion paper / Center for Economic Research, Tilburg University
17
Journal of banking & finance
17
Journal of financial econometrics
17
Statistics in transition : an international journal of the Polish Statistical Association
17
NBER Working Paper
16
Quantitative finance
16
European journal of operational research : EJOR
15
Journal of risk and financial management : JRFM
15
Journal of risk
14
Applied economics
13
Computational economics
13
Econometrics : open access journal
13
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
SFB 649 discussion paper
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics letters
12
Insurance / Mathematics & economics
12
Journal of mathematical finance
12
Journal of time series econometrics
11
Order statistics: applications
11
Report / Econometric Institute, Erasmus University Rotterdam
11
Working papers
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
10
Nonstationary autoregressive conditional duration models
Mishra, Anuj
;
Ramanathan, Thekke Variyam
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011743716
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