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~person:"Baruník, Jozef"
~person:"Ergemen, Yunus Emre"
~subject:"ARCH model"
~subject:"Estimation theory"
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ARCH model
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long memory
7
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Long memory
6
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volatility
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Baruník, Jozef
Ergemen, Yunus Emre
Sibbertsen, Philipp
21
Asai, Manabu
9
Leschinski, Christian
8
McAleer, Michael
7
Ajmi, Ahdi Noomen
6
Martin, Gael M.
6
Poskitt, Donald Stephen
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Boubaker, Heni
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Feng, Yuanhua
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Lux, Thomas
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Nasr, Adnen Ben
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Nguyen, Duc Binh Benno
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Nielsen, Morten Ørregaard
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Prokopczuk, Marcel
5
Rodriguez, Gabriel
5
Walther, Thomas
5
Aloui, Chaker
4
Baillie, Richard
4
Beran, Jan
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Chkili, Walid
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Christensen, Bent Jesper
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Iacone, Fabrizio
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Nadarajah, K.
4
Nguyen, Duc Khuong
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3
Dark, Jonathan
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Hammoudeh, Shawkat
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Jiang, Yong
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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1
Parametric estimation of
long
memory
in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
2
Parametric estimation of
long
memory
in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Estimation of
long
memory
in volatility using wavelets
Kraicova, Lucie
;
Baruník, Jozef
-
2015
Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling
long
memory
in volatility of financial assets. The newly …
Persistent link: https://www.econbiz.de/10010499588
Saved in:
4
System estimation of panel data models under long-range dependence
Ergemen, Yunus Emre
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10012175866
Saved in:
5
Estimation of
long
memory
in volatility using wavelets
Baruník, Jozef
;
Kraicová, Lucie
-
2014
-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing
long-memory
and asymmetry in volatility …
Persistent link: https://www.econbiz.de/10010429915
Saved in:
6
Estimation of
long
memory
in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
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