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~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Volatilität"
~type_genre:"Working Paper"
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ARCH model
Estimation theory
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Markov chain
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756
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754
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Bauwens, Luc
9
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9
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8
Martin, Gael M.
8
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5
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Liu, Ruipeng
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Netšunajev, Aleksei
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Zhang, Xibin
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Billio, Monica
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Bos, Charles S.
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King, Maxwell L.
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León-González, Roberto
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Preminger, Arie
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Pérez-Quirós, Gabriel
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Working paper / Department of Econometrics and Business Statistics, Monash University
14
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13
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10
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ECONIS (ZBW)
270
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1
An estimation of regime switching models with nonlinear endogenous switching
Chotipong Charoensom
-
2024
Persistent link: https://www.econbiz.de/10014486831
Saved in:
2
Improving the robustness of Markov-Switching dynamic factor models with time-varying volatility
Aumond, Romain
;
Royer, Julien
-
2024
Persistent link: https://www.econbiz.de/10014486414
Saved in:
3
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
4
A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)
Witzany, Jiří
;
Fičura, Milan
-
2023
Persistent link: https://www.econbiz.de/10014338462
Saved in:
5
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
-
2023
Persistent link: https://www.econbiz.de/10014448099
Saved in:
6
Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng
;
Segnon, Mawuli
;
Cepni, Oguzhan
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014448138
Saved in:
7
Strong consistency and rate of convergence of switched least squares system identification for autonomous Markov jump linear systems
Sayedana, Borna
;
Afshari, Mohammad
;
Caines, Peter E.
; …
-
2023
Persistent link: https://www.econbiz.de/10014226806
Saved in:
8
The effects of volatility on liquidity in the treasury market
Meldrum, Andrew
;
Sokolinskiy, Oleg
-
2023
Persistent link: https://www.econbiz.de/10014284237
Saved in:
9
An analysis of business cycle fluctuations in Slovenia and the euro area
Radovan, Jan
-
2023
Persistent link: https://www.econbiz.de/10014301314
Saved in:
10
Time varying Markov process with partially observed aggregate data : an application to coronavirus
Gouriéroux, Christian
;
Jasiak, Joann
-
2020
-
Revised: May 8, 2020
Persistent link: https://www.econbiz.de/10012286438
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