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~person:"Teräsvirta, Timo"
~type_genre:"Arbeitspapier"
~type_genre:"Working Paper"
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Search: subject:"ARCH-Modell"
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ARCH-Modell
34
ARCH model
28
Volatilität
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modelling volatility
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Teräsvirta, Timo
McAleer, Michael
133
Chang, Chia-Lin
52
Hafner, Christian M.
39
Caporale, Guglielmo Maria
35
Bauwens, Luc
32
Gupta, Rangan
30
Conrad, Christian
24
Rombouts, Jeroen V. K.
24
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Saikkonen, Pentti
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Mittnik, Stefan
19
Karanasos, Menelaos
18
Koopman, Siem Jan
17
Meitz, Mika
17
Silvennoinen, Annastiina
17
Linton, Oliver
16
Weber, Enzo
16
Asai, Manabu
15
Shephard, Neil G.
15
Laurent, Sébastien
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Polasek, Wolfgang
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Allen, David E.
13
Andersen, Torben
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Diebold, Francis X.
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Francq, Christian
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Haas, Markus
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Manera, Matteo
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13
Hansen, Peter Reinhard
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12
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2018
Persistent link: https://www.econbiz.de/10011864902
Saved in:
4
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
5
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
6
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
7
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
8
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
Saved in:
9
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779686
Saved in:
10
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779696
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