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Search: subject:"GARCH"
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Theory
ARCH model
74
ARCH-Modell
74
Theorie
38
Estimation theory
35
Schätztheorie
35
GARCH
11
Time series analysis
11
Zeitreihenanalyse
11
Heteroscedasticity
7
Heteroskedastizität
6
Volatility
6
Volatilität
6
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5
Multivariate analysis
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
long range dependence
5
Markov chain
4
Markov-Kette
4
multivariate GARCH model
4
sample autocorrelation
4
volatility
4
BEKK
3
Correlation
3
Estimation
3
GARCH models
3
GARCH process
3
Korrelation
3
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3
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Saikkonen, Pentti
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3
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Chen, Xiaohong
2
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2
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Econometrics
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Journal of econometrics
58
Journal of empirical finance
52
Applied economics
43
International journal of forecasting
42
Journal of forecasting
37
Discussion paper / Tinbergen Institute
35
Finance research letters
35
Economics letters
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Journal of banking & finance
32
The European journal of finance
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
International review of financial analysis
29
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Econometric reviews
27
Economic modelling
27
Working paper
24
Journal of applied econometrics
23
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22
International review of economics & finance : IREF
21
The North American journal of economics and finance : a journal of financial economics studies
20
The econometrics journal
20
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19
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19
Journal of risk and financial management : JRFM
19
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18
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18
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18
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16
CORE discussion paper : DP
16
Journal of economic dynamics & control
16
Research in international business and finance
16
Journal of international money and finance
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Econometric Institute research papers
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Risks : open access journal
14
International journal of finance & economics : IJFE
13
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ECONIS (ZBW)
38
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1
On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David
;
Malongo, Hassan
- In:
Econometric theory
33
(
2017
)
3
,
pp. 636-663
Persistent link: https://www.econbiz.de/10011810178
Saved in:
2
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
- In:
Econometric theory
33
(
2017
)
3
,
pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
Saved in:
3
Adaptive long memory testing under heteroskedasticity
Harris, David
;
Kew, Hsein
- In:
Econometric theory
33
(
2017
)
3
,
pp. 755-778
Persistent link: https://www.econbiz.de/10011810197
Saved in:
4
Detecting for smooth structural changes in
GARCH
models
Chen, Bin
;
Hong, Yongmiao
- In:
Econometric theory
32
(
2016
)
3
,
pp. 740-791
Persistent link: https://www.econbiz.de/10011606827
Saved in:
5
A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Su, Liangjun
;
Ullah, Aman
- In:
Econometric theory
29
(
2013
)
1
,
pp. 187-212
Persistent link: https://www.econbiz.de/10009747860
Saved in:
6
Penalized sieve estimation and inference of seminonparametric dynamic models : a selective review
Chen, Xiaohong
-
2013
Persistent link: https://www.econbiz.de/10010247717
Saved in:
7
QML estimation of a class of multivariate asymmetric
GARCH
models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
28
(
2012
)
1
,
pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
Saved in:
8
Parameter estimation in nonlinear AR-
GARCH
models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
9
Estimation for a nonstationary semi-strong
GARCH
(1,1) model with heavy-tailed errors
Linton, Oliver
;
Pan, Jiazhu
;
Wang, Hui
- In:
Econometric theory
26
(
2010
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10003968440
Saved in:
10
On the relation between the vec and BEKK multivariate
GARCH
models
Stelzer, Robert
- In:
Econometric theory
24
(
2008
)
4
,
pp. 1131-1136
Persistent link: https://www.econbiz.de/10003736871
Saved in:
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