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~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
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Zeitreihenanalyse
ARCH model
1,666
ARCH-Modell
1,666
Volatility
832
Volatilität
831
Theorie
589
Theory
589
Estimation
445
Schätzung
445
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389
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255
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255
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238
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238
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236
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236
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216
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214
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213
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213
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160
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160
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142
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142
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126
GARCH
126
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126
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117
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117
Welt
116
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116
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115
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115
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106
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106
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104
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104
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104
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104
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84
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389
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1,074
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1,074
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403
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373
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373
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40
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35
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35
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30
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10
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McAleer, Michael
33
Teräsvirta, Timo
12
Koopman, Siem Jan
10
Lütkepohl, Helmut
10
Bauwens, Luc
9
Caporin, Massimiliano
9
Rombouts, Jeroen V. K.
9
Lucas, André
8
Nielsen, Morten Ørregaard
8
Gupta, Rangan
7
Hansen, Peter Reinhard
7
Medeiros, Marcelo C.
7
Saikkonen, Pentti
7
Allen, David E.
6
Chang, Chia-Lin
6
Dijk, Dick van
6
Hallin, Marc
6
Härdle, Wolfgang
6
Silvennoinen, Annastiina
6
Caporale, Guglielmo Maria
5
Conrad, Christian
5
Feng, Yuanhua
5
Hafner, Christian M.
5
Krämer, Walter
5
Lux, Thomas
5
Rahbek, Anders
5
Shephard, Neil G.
5
Blasques, Francisco
4
Carnero, M. Angeles
4
Cavaliere, Giuseppe
4
Chen, Xiaohong
4
Christensen, Bent Jesper
4
Gonçalves, Sílvia
4
Grassi, Stefano
4
Harvey, Andrew C.
4
Kilian, Lutz
4
Klüppelberg, Claudia
4
Meitz, Mika
4
Mittnik, Stefan
4
Ooms, Marius
4
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Centre for Analytical Finance <Århus>
5
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
5
Econometrisch Instituut <Rotterdam>
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
University of Canterbury / Dept. of Economics and Finance
2
William Davidson Institute <Ann Arbor, Mich.>
2
Center for Economic Research <Tilburg>
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
European University Institute / Department of Economics
1
Konjunkturinstitutet <Stockholm>
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
University of Strathclyde / Department of Economics
1
Université de Montréal / Département de sciences économiques
1
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Discussion paper / Tinbergen Institute
44
CREATES research paper
19
Working paper
18
Econometric Institute research papers
15
CORE discussion papers : DP
8
ECARES working paper
8
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
CESifo working papers
7
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
7
Working paper series
7
Discussion papers / Deutsches Institut für Wirtschaftsforschung
6
SFB 649 discussion paper
6
Working papers
6
Discussion papers of interdisciplinary research project 373
5
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
5
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
5
CORE discussion paper : DP
4
Department of Economics discussion paper series / University of Oxford
4
Discussion paper / Center for Economic Research, Tilburg University
4
Discussion paper series
4
Discussion papers / Department of Economics, University of Copenhagen
4
Finmap working paper
4
IWQW discussion paper series
4
Queen's Economics Department working paper
4
SSE EFI working paper series in economics and finance
4
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
4
CFS working paper series
3
Cambridge working papers in economics
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
3
Economics and finance working paper series
3
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3
IES working paper
3
LSF research working paper series
3
Research paper series / Swiss Finance Institute
3
Umeå economic studies
3
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
2
CAMA working paper series
2
CEMMAP working papers / Centre for Microdata Methods and Practice
2
CIE working paper series
2
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ECONIS (ZBW)
389
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1
Bootstrapping
GARCH
models under dependent innovations
Beutner, Eric
;
Schaumburg, Julia
;
Spanjers, Barend
-
2024
This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for
GARCH
models under …
Persistent link: https://www.econbiz.de/10014457811
Saved in:
2
Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł
;
Ślepaczuk, Robert
;
Windorbski, …
-
2023
Persistent link: https://www.econbiz.de/10014448210
Saved in:
3
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:
4
On the growth rate of superadditive processes and the stability of functional
GARCH
models
Kandji, Baye Matar
-
2023
Persistent link: https://www.econbiz.de/10014321021
Saved in:
5
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu
;
Matsuda, Yasumasa
-
2023
Persistent link: https://www.econbiz.de/10014310363
Saved in:
6
Deep learning for multivariate volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei
;
Matsuda, Yasumasa
-
2024
Persistent link: https://www.econbiz.de/10014526627
Saved in:
7
Real-time forecast of DSGE models with time-varying volatility in
GARCH
form
Ivashchenko, Sergey
;
Ҫekin, Semih Emre
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10012800653
Saved in:
8
Measuring Interdependence of Inflation Uncertainty
Lee, Seohyun
-
2022
VAR
GARCH
model. The interdependence of uncertainty is estimated using a probability model. The results imply that the …
Persistent link: https://www.econbiz.de/10014078814
Saved in:
9
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
10
Ination dynamics and time-varying persistence : the importance of the uncertainty channel
Canepa, Alessandra
-
2022
Persistent link: https://www.econbiz.de/10013366360
Saved in:
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