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~language:"eng"
~person:"Kamihigashi, Takashi"
~person:"McAleer, Michael"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Theorie
79
Theory
79
Volatility
59
Volatilität
57
Welt
40
World
40
ARCH model
39
ARCH-Modell
39
Forecasting model
32
Prognoseverfahren
32
Estimation
30
Schätzung
29
Time series analysis
26
Zeitreihenanalyse
26
Risikomaß
24
Risk measure
24
USA
23
United States
23
Taiwan
22
Bibliometrics
21
Bibliometrie
21
Portfolio selection
20
Portfolio-Management
20
Stochastic process
20
Dynamic programming
18
Markov chain
18
Markov-Kette
18
Capital market returns
17
Dynamische Optimierung
17
Kapitalmarktrendite
17
Risk management
17
Modellierung
16
Risikomanagement
16
Scientific modelling
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Spillover effect
15
Spillover-Effekt
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Eigenfactor
14
Optimal growth
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English
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Kamihigashi, Takashi
McAleer, Michael
Mumtaz, Haroon
11
Chiarella, Carl
10
Alòs, Elisa
8
Theodoridis, Konstantinos
8
Yu, Jun
8
Beaudry, Paul
6
Galizia, Dana
6
Portier, Franck
6
Sandal, Leif K.
6
Asai, Manabu
5
Härdle, Wolfgang
5
Platen, Eckhard
5
Stachurski, John
5
Vredeveld, Tjark
5
Apesteguia, Jose
4
Govindan, Kannan
4
Hafner, Christian M.
4
León, Jorge A.
4
Nguyen, Hoang
4
Phillips, Peter C. B.
4
Österholm, Pär
4
Ashley, Richard A.
3
Barndorff-Nielsen, Ole E.
3
Bianchi, Michele Leonardo
3
Cai, Yongyang
3
Carriero, Andrea
3
Clark, Todd E.
3
Creemers, Stefan
3
Di Guilmi, Corrado
3
Evstigneev, Igor V.
3
Fabozzi, Frank J.
3
Fattahi, Mohammad
3
Gholami, Reza Azad
3
Gil-Alaña, Luis A.
3
Hainaut, Donatien
3
Haque, Qazi
3
Hayo, Bernd
3
Judd, Kenneth L.
3
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University of Canterbury / Dept. of Economics and Finance
2
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Working paper
13
Discussion paper series / Research Institute for Economics and Business Administration, Kobe University
4
Econometric Institute research papers
2
ANU working papers in economics and econometrics
1
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ECONIS (ZBW)
20
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1
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
2
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
3
A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410197
Saved in:
4
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010410204
Saved in:
5
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10011296515
Saved in:
6
Block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008688575
Saved in:
7
Investor preferences for oil spot and futures based on mean-variance and stochastic dominance
Hooi Hooi Lean
;
McAleer, Michael
;
Wong, Wing Keung
-
2010
Persistent link: https://www.econbiz.de/10008688580
Saved in:
8
Asymmetry and long memory in volatility modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695596
Saved in:
9
Exact draws from the stationary distribution of entry-exit models
Kamihigashi, Takashi
;
Stachurski, John
-
2012
Persistent link: https://www.econbiz.de/10009631183
Saved in:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
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