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~person:"Hafner, Christian M."
~subject:"Estimation theory"
~type_genre:"Non-commercial literature"
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Search: subject:"conditional heteroskedasticity"
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Estimation theory
ARCH model
32
ARCH-Modell
32
Theorie
17
Theory
17
Volatility
12
Volatilität
12
Schätztheorie
8
Stochastic process
8
Stochastischer Prozess
8
Multivariate Analyse
6
Multivariate analysis
6
Statistical test
6
Statistischer Test
6
Analysis of variance
5
Börsenkurs
5
Estimation
5
Schätzung
5
Share price
5
Varianzanalyse
5
Autocorrelation
4
Autokorrelation
4
Capital market returns
4
Heteroscedasticity
4
Heteroskedastizität
4
Kapitalmarktrendite
4
Time series analysis
4
Zeitreihenanalyse
4
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
2002-2010
2
ARMA model
2
ARMA-Modell
2
Causality analysis
2
Correlation
2
Currency changeover
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Derivat
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Derivative
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Deutschland
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8
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Hafner, Christian M.
Zakoïan, Jean-Michel
9
Francq, Christian
8
Teräsvirta, Timo
8
Wolf, Michael
8
Audrino, Francesco
7
Nielsen, Morten Ørregaard
7
Sheppard, Kevin
7
Linton, Oliver
6
Rahbek, Anders
6
Engle, Robert F.
5
Preminger, Arie
5
Romano, Joseph P.
5
Taylor, Robert
5
Trojani, Fabio
5
Cavaliere, Giuseppe
4
Koopman, Siem Jan
4
Lütkepohl, Helmut
4
Pedersen, Rasmus Søndergaard
4
Shephard, Neil G.
4
Silvennoinen, Annastiina
4
Violante, Francesco
4
Bauwens, Luc
3
Carnero, M. Angeles
3
Gorgi, Paolo
3
Grassi, Stefano
3
Lucas, André
3
McAleer, Michael
3
Monfort, Alain
3
Ooms, Marius
3
Rombouts, Jeroen V. K.
3
Storti, Giuseppe
3
Tinkl, Fabian
3
Amado, Cristina
2
Amilon, Henrik
2
Bertholon, Henri
2
Boswijk, Herman Peter
2
Bühlmann, Peter
2
Calzolari, Giorgio
2
Chang, Chia-Lin
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CORE discussion papers : DP
4
CORE discussion paper : DP
2
Econometric Institute research papers
1
Econometrics papers
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ECONIS (ZBW)
8
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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
2
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
3
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
-
2009
Persistent link: https://www.econbiz.de/10003942464
Saved in:
4
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003375885
Saved in:
5
Deciding between GARCH and stochastic volatility via strong decision rules
Preminger, Arie
(
contributor
); …
-
2006
), Generalized autoregressive
conditional
heteroskedasticity
. Journal of Econometrics , 31, 307-327. Bollerslev T., Engle R.F. and D …
Persistent link: https://www.econbiz.de/10003329726
Saved in:
6
Semi-parametric modelling of correlation dynamics
Hafner, Christian M.
(
contributor
); …
-
2005
introduction of the (Generalized) AutoRegres- sive
Conditional
Heteroskedasticity
((G)ARCH) model by Engle (1982) and Boller- slev …
Persistent link: https://www.econbiz.de/10003010850
Saved in:
7
Semiparametric multivariate GARCH models
Hafner, Christian M.
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001790716
Saved in:
8
Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian M.
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001876196
Saved in:
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